# EDGAR Filing Document

**Accession Number:** 0001738073
**File Stem:** 0001752724-23-039222
**Filing Date:** 2023-2
**Character Count:** 328685
**Document Hash:** f3821ec0f6d38070317656ecf95aa885
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-039222.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0001752724-23-039222

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BlackRock Series Fund II, Inc.
- **CENTRAL INDEX KEY:** 0001738073
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23345
- **FILM NUMBER:** 23665223

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

## Series and Classes Contracts Data

### BlackRock U.S. Government Bond Portfolio (Series ID: S000062375)

| Class ID   | Class Name                               | Ticker Symbol   |
|:---|:---|:---|
| C000202341 | BlackRock U.S. Government Bond Portfolio |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** BlackRock Series Fund II, Inc.

- **b. Investment Company Act file number:** 811-23345

- **c. CIK number of Registrant:** 0001738073

- **d. LEI of Registrant:** 54930070STPUVHAQ8125

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

  - **Street Address 1:** 100 Bellevue Parkway

  - **City:** Wilmington

  - **State:** DE

  - **Foreign country:** US

  - **Zip / Postal Code:** 19809

  - **Telephone number:** 800-441-7762

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

- **a. Name of Series:** BlackRock U.S. Government Bond Portfolio

- **b. EDGAR series identifier (if any):** S000062375

- **c. LEI of Series:** I0IK7Y6YGCB847JHZW53

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $45301093.23

**Total Liabilities:** $11313778.42

**Net Assets:** $33987314.81

**Cash Not Reported:** $1978978.72

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 92.80000000 | **1-Year:** 70.24000000 | **5-Year:** 5929.59000000 | **10-Year:** 4363.98000000 | **30-Year:** 102.93000000

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

- **3-Month:** 480.95000000 | **1-Year:** 336.38000000 | **5-Year:** -9.74000000 | **10-Year:** 22.52000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000202341 | -1.57%               | 3.62%                | -0.82%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $334.78                  | $-573735.38                                |
| Month 2  | $51656.33                | $958946.29                                 |
| Month 3  | $-5878.57                | $-269756.54                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. Government/Mortgage Index

- **Index Identifier:** I01262US

### Schedule of Portfolio Investments

| Name                                                                      | Title                                                                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11473 | PA      | $10727.84     | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136439 | PA      | $111448.13    | 0.33%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJQF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12260 | PA      | $11372.79     | 0.03%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179XBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    109272 | PA      | $94752.59     | 0.28%             | 2052-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10932 | PA      | $9943.00      | 0.03%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQU26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       227 | PA      | $212.65       | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1355 | PA      | $1398.10      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9751 | PA      | $9143.22      | 0.03%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DM2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29303 | PA      | $24121.80     | 0.07%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81000 | PA      | $74407.83     | 0.22%             | 2053-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERA91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       903 | PA      | $809.80       | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJC97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5897 | PA      | $5514.27      | 0.02%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -682700 | PA      | $-555349.32   | -1.63%            | 2053-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36239 | PA      | $33362.81     | 0.10%             | 2050-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    226725 | PA      | $202972.67    | 0.60%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-151                                                | CUSIP: 38379UV45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    382234 | PA      | $13863.10     | 0.04%             | 2058-06-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    200000 | PA      | $874.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -148300 | PA      | $-128480.90   | -0.38%            | 2053-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFA43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25637 | PA      | $22087.69     | 0.06%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFFP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36691 | PA      | $30192.21     | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Bank                                                    | Federal Home Loan Bank                                                                                                       | CUSIP: 3130A0A26<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |    400000 | PA      | $396553.32    | 1.17%             | 2028-04-10      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410G4B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4113 | PA      | $4266.68      | 0.01%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123561 | PA      | $105667.82    | 0.31%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWCG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30139 | PA      | $23230.66     | 0.07%             | 2051-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVMA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    526943 | PA      | $467968.09    | 1.38%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10409 | PA      | $8930.81      | 0.03%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168060 | PA      | $150389.93    | 0.44%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2018-CX11, Class A5                                                                  | CUSIP: 12652UAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42000 | PA      | $39143.17     | 0.12%             | 2051-04-15      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE3D5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8823 | PA      | $8283.19      | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132ADQE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11562 | PA      | $10716.63     | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-MFM1, Class C                                                                                          | CUSIP: 05608VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30000 | PA      | $28588.04     | 0.08%             | 2034-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8062 | PA      | $7712.21      | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QQFB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11926 | PA      | $10867.47     | 0.03%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65650 | PA      | $56142.48     | 0.17%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KPKT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64115 | PA      | $61793.65     | 0.18%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XDS49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56425 | PA      | $46448.84     | 0.14%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DSX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5374 | PA      | $5053.80      | 0.01%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42790 | PA      | $35183.94     | 0.10%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20842 | PA      | $20137.35     | 0.06%             | 2040-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KJVE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36609 | PA      | $32456.71     | 0.10%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    610000 | PA      | $497888.67    | 1.46%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                            | Lehman Brothers Holdings, Inc., Term Loan                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    696839 | PA      | $0.07         | 0.00%             | 2023-12-31      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8768 | PA      | $8471.46      | 0.02%             | 2040-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $365.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60644 | PA      | $58280.56     | 0.17%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    700000 | PA      | $14403.91     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVLH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14260 | PA      | $11775.63     | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                                                        | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      2000 | PA      | $9723.06      | 0.03%             | 2038-11-18      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5K99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32272 | PA      | $30159.66     | 0.09%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEN57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23594 | PA      | $20288.16     | 0.06%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHNX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9582 | PA      | $8960.75      | 0.03%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $314.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YTMU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3126 | PA      | $2924.79      | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    610000 | PA      | $571732.03    | 1.68%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DM7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61518 | PA      | $50641.81     | 0.15%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMSG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61894 | PA      | $55477.90     | 0.16%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNNU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    112625 | PA      | $92303.24     | 0.27%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133BJEZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19756 | PA      | $19014.27     | 0.06%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Romark WM-R Ltd.                                                          | Romark WM-R Ltd., Series 2018-1A, Class A1                                                                                   | CUSIP: 77587AAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    395847 | PA      | $388523.97    | 1.14%             | 2031-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7343 | PA      | $6884.60      | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LSK41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3897 | PA      | $3742.14      | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFGB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     49680 | PA      | $42350.33     | 0.12%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23934 | PA      | $22380.51     | 0.07%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $166831.25    | 0.49%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-255.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1.23        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11613 | PA      | $10715.62     | 0.03%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTFX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       472 | PA      | $441.34       | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFM40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71287 | PA      | $61124.01     | 0.18%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MFCX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10341 | PA      | $9706.04      | 0.03%             | 2031-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620A6DC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5155 | PA      | $5276.62      | 0.02%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGZ36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16859 | PA      | $14526.02     | 0.04%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31329KW83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1925 | PA      | $1785.86      | 0.01%             | 2037-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHPB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13901 | PA      | $12999.09     | 0.04%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5JU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14896 | PA      | $13827.73     | 0.04%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335AAT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13043 | PA      | $12947.26     | 0.04%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152131 | PA      | $146101.55    | 0.43%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQLE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8683 | PA      | $8792.34      | 0.03%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179W7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    193286 | PA      | $167605.30    | 0.49%             | 2052-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPQP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4281 | PA      | $4116.46      | 0.01%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132D9DQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37841 | PA      | $35105.79     | 0.10%             | 2038-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140F5BJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3163 | PA      | $2867.67      | 0.01%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                          | CUSIP: 912828J27<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1470000 | PA      | $1398682.04   | 4.12%             | 2025-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWBS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3064 | PA      | $2865.08      | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $181.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CS47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10308 | PA      | $9558.90      | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140MNP75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14524 | PA      | $13374.82     | 0.04%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EP4Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6300 | PA      | $6026.16      | 0.02%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F012411<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -11000 | PA      | $-9521.99     | -0.03%            | 2038-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307M2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12153 | PA      | $11699.64     | 0.03%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42731 | PA      | $40929.90     | 0.12%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140Q83N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94911 | PA      | $93617.58     | 0.28%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    507400 | PA      | $451194.96    | 1.33%             | 2038-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6704 | PA      | $6413.07      | 0.02%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NV50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1486 | PA      | $1417.64      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                          | CUSIP: 9128284S6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1180000 | PA      | $1171242.18   | 3.45%             | 2023-05-31      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-32, Class PI                                                              | CUSIP: 3136B9RB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92436 | PA      | $17682.42     | 0.05%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKLB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7933 | PA      | $7417.28      | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9364 | PA      | $8517.06      | 0.03%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                          | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1290000 | PA      | $1225852.74   | 3.61%             | 2025-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KYYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68201 | PA      | $55709.72     | 0.16%             | 2051-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DZH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7200 | PA      | $5558.47      | 0.02%             | 2051-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QMMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43741 | PA      | $38642.72     | 0.11%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2693 | PA      | $2518.13      | 0.01%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138X54U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18205 | PA      | $17883.47     | 0.05%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MFF94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60642 | PA      | $59284.91     | 0.17%             | 2032-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    386000 | PA      | $-102.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L7B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8761 | PA      | $8743.64      | 0.03%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179TLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31540 | PA      | $30281.56     | 0.09%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     45608 | PA      | $42.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust                               | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class XA                                                       | CUSIP: 03882KAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    109922 | PA      | $4564.35      | 0.01%             | 2054-10-15      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K105, Class X1 | CUSIP: 3137FRUL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550813 | PA      | $45670.47     | 0.13%             | 2030-01-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEYV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3348 | PA      | $3206.14      | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    390090 | PA      | $319120.69    | 0.94%             | 2041-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFG83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7578 | PA      | $7250.22      | 0.02%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XDY42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16142 | PA      | $13259.54     | 0.04%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMY58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33076 | PA      | $27128.09     | 0.08%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26002 | PA      | $23642.73     | 0.07%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KNDA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     62109 | PA      | $53250.08     | 0.16%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $85.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DM2S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25475 | PA      | $20926.18     | 0.06%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WF4T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       404 | PA      | $396.44       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   -300000 | PA      | $-13954.76    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140JSAE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15983 | PA      | $13162.27     | 0.04%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -33000 | PA      | $-29376.00    | -0.09%            | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179SLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7284 | PA      | $6813.47      | 0.02%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416WLG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2446 | PA      | $2424.96      | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERRX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3306 | PA      | $3263.68      | 0.01%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36180DVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20189 | PA      | $18986.77     | 0.06%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XHBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17009 | PA      | $16711.85     | 0.05%             | 2044-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YXK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3231 | PA      | $3087.21      | 0.01%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KNQV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11613 | PA      | $9461.53      | 0.03%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    159964 | PA      | $135151.07    | 0.40%             | 2050-08-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J74X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55937 | PA      | $53775.94     | 0.16%             | 2031-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32855 | PA      | $31205.35     | 0.09%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $169656.25    | 0.50%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Lehman Brothers Holdings, Inc.                                            | Lehman Brothers Holdings, Inc., Term Loan                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |    696839 | PA      | $0.07         | 0.00%             | 2023-12-31      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     54008 | PA      | $54919.45     | 0.16%             | 2039-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36176DHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6071 | PA      | $5877.07      | 0.02%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNEL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99842 | PA      | $81961.13     | 0.24%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                          | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    350000 | PA      | $333826.17    | 0.98%             | 2028-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QQE84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7472 | PA      | $6841.63      | 0.02%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $300540.76    | 0.88%             | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31419A4H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2487 | PA      | $2571.84      | 0.01%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                                            | 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A                                                                    | CUSIP: 90205FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121000 | PA      | $117949.52    | 0.35%             | 2034-09-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1285 | PA      | $1201.36      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3140FXE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76835 | PA      | $70694.93     | 0.21%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31412QM89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22288 | PA      | $23090.02     | 0.07%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16968 | PA      | $16213.25     | 0.05%             | 2047-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     11600 | PA      | $-67.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66900 | PA      | $59553.16     | 0.18%             | 2053-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QHBG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35971 | PA      | $30804.76     | 0.09%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFGW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51439 | PA      | $42179.73     | 0.12%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1294 | PA      | $1291.84      | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQM73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3749 | PA      | $3568.09      | 0.01%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                          | CUSIP: 912828YB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    125000 | PA      | $108471.68    | 0.32%             | 2029-08-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    606700 | PA      | $493526.34    | 1.45%             | 2053-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33996 | PA      | $33072.88     | 0.10%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CFK Trust                                                                 | CFK Trust, Series 2020-MF2, Class B                                                                                          | CUSIP: 12529AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $120061.12    | 0.35%             | 2039-03-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEBM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79955 | PA      | $68695.72     | 0.20%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36230UEK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10981 | PA      | $10630.38     | 0.03%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVLU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50129 | PA      | $41376.01     | 0.12%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CRC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17085 | PA      | $15813.79     | 0.05%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                          | CUSIP: 9128282A7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1549523.45   | 4.56%             | 2026-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179MG87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3413 | PA      | $3470.82      | 0.01%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2017-30                                                 | CUSIP: 38379U7F7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    192925 | PA      | $5358.43      | 0.02%             | 2058-08-16      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51199 | PA      | $47920.48     | 0.14%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XBJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75221 | PA      | $71342.35     | 0.21%             | 2051-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    484000 | PA      | $-152.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Benchmark Mortgage Trust                                                  | Benchmark Mortgage Trust, Series 2020-B20, Class XA                                                                          | CUSIP: 08162XBJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1012202 | PA      | $77827.62     | 0.23%             | 2053-10-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NXU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       517 | PA      | $485.33       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  -1500000 | PA      | $-3498.59     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YD4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2584 | PA      | $2417.33      | 0.01%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XB2F6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7444 | PA      | $7095.16      | 0.02%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27575 | PA      | $26473.49     | 0.08%             | 2047-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WBZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33606 | PA      | $30277.79     | 0.09%             | 2051-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMR56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66379 | PA      | $61895.97     | 0.18%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trust                                           | CSAIL Commercial Mortgage Trust, Series 2019-C16, Class XA                                                                   | CUSIP: 12596WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1525049 | PA      | $109251.14    | 0.32%             | 2052-06-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179R4E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    195432 | PA      | $182237.84    | 0.54%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61986 | PA      | $55022.93     | 0.16%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -300000 | PA      | $-92.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W6SU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22263 | PA      | $20256.11     | 0.06%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFUY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6440 | PA      | $5351.10      | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQBF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15318 | PA      | $14693.85     | 0.04%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XDCB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     70153 | PA      | $66603.37     | 0.20%             | 2047-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CWS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       483 | PA      | $447.27       | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    400000 | PA      | $6329.10      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QMH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62753 | PA      | $51580.04     | 0.15%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7554 | PA      | $7298.38      | 0.02%             | 2042-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $472.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EW4N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1661 | PA      | $1552.90      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-133.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L7GE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1684 | PA      | $1441.70      | 0.00%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140LXMA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1860 | PA      | $1586.65      | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2200 | PA      | $2117.03      | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QMT61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17016 | PA      | $14529.93     | 0.04%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-H3, Class B                                                                      | CUSIP: 61767YBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34304 | PA      | $30070.05     | 0.09%             | 2051-07-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WH3T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14540 | PA      | $13597.00     | 0.04%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BUEC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16378 | PA      | $15659.86     | 0.05%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J72F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21488 | PA      | $19574.55     | 0.06%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Note                                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        27 | NC      | $-41587.69    | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QMVL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19585 | PA      | $17349.57     | 0.05%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138M1YD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1177 | PA      | $1101.28      | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GNNQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17797 | PA      | $16991.66     | 0.05%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     45000 | PA      | $74.86        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFNC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5891 | PA      | $5523.48      | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJTW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11605 | PA      | $10391.34     | 0.03%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4696 | PA      | $4536.96      | 0.01%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402RDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48491 | PA      | $50146.72     | 0.15%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Romania                                                                   | Romania Government Bond                                                                                                      | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      2000 | PA      | $1778.69      | 0.01%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140LQF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8605 | PA      | $7078.18      | 0.02%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Commercial Mortgage Trust                                                 | Commercial Mortgage Trust, Series 2017-COR2, Class AM                                                                        | CUSIP: 12595EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19252 | PA      | $17289.50     | 0.05%             | 2050-09-10      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6053 | PA      | $5675.02      | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3847 | PA      | $3676.99      | 0.01%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XHT76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14658 | PA      | $14399.43     | 0.04%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CPF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       461 | PA      | $439.77       | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2947 | PA      | $3076.75      | 0.01%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    400000 | PA      | $1956.72      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GYJX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7880 | PA      | $7302.04      | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140LQFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5778 | PA      | $4764.00      | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2512 | PA      | $2405.48      | 0.01%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQA51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8910 | PA      | $8524.12      | 0.03%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPJ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7423 | PA      | $7101.13      | 0.02%             | 2030-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132D6NY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25524 | PA      | $22767.60     | 0.07%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2016-22                                                 | CUSIP: 38379UGG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1099127 | PA      | $26726.58     | 0.08%             | 2055-11-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410GH22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     67314 | PA      | $69282.12     | 0.20%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -146000 | PA      | $-136898.35   | -0.40%            | 2053-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322418 | PA      | $271863.08    | 0.80%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                                  | BX Trust, Series 2021-VIEW, Class A                                                                                          | CUSIP: 05606GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50000 | PA      | $47562.50     | 0.14%             | 2036-06-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAFB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37716 | PA      | $38236.08     | 0.11%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NM68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1633 | PA      | $1564.33      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10527 | PA      | $9395.34      | 0.03%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ECKY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1092 | PA      | $1022.00      | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ELS79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16448 | PA      | $17145.29     | 0.05%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X6SN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43365 | PA      | $40619.55     | 0.12%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-533.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QSGT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13379 | PA      | $13073.57     | 0.04%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31952 | PA      | $24671.32     | 0.07%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5YR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10604 | PA      | $10129.23     | 0.03%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DSH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30870 | PA      | $25258.94     | 0.07%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47963 | PA      | $45733.61     | 0.13%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNEK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44966 | PA      | $36987.47     | 0.11%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418V3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8962 | PA      | $8884.40      | 0.03%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DNE25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24233 | PA      | $22243.56     | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                                            | Morgan Stanley Capital I Trust, Series 2018-SUN, Class A                                                                     | CUSIP: 61691MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130000 | PA      | $127388.09    | 0.37%             | 2035-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1400000 | PA      | $-19931.07    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XDB85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    104430 | PA      | $96498.73     | 0.28%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K122, Class X1 | CUSIP: 3137F82T9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    218271 | PA      | $11344.26     | 0.03%             | 2030-11-25      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VN63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20783 | PA      | $20369.66     | 0.06%             | 2050-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y8EH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16060 | PA      | $15363.80     | 0.05%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DTP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32307 | PA      | $24960.45     | 0.07%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133B2ME6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35231 | PA      | $28990.39     | 0.09%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1532 | PA      | $1527.33      | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5EJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       324 | PA      | $303.10       | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVL60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207391 | PA      | $170708.63    | 0.50%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EEHB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       533 | PA      | $499.13       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97880 | PA      | $83704.85     | 0.25%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9763 | PA      | $9128.39      | 0.03%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133A7KE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13731 | PA      | $11770.68     | 0.03%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YTRT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1116 | PA      | $1065.24      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GVGT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14190 | PA      | $13306.59     | 0.04%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20885 | PA      | $18996.09     | 0.06%             | 2032-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -238853 | PA      | $-209562.28   | -0.62%            | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5988 | PA      | $5614.34      | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QLN44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    229753 | PA      | $187360.49    | 0.55%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LQ2K9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2099 | PA      | $1964.47      | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DLR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4089 | PA      | $3801.42      | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XDQE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28216 | PA      | $23249.44     | 0.07%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K120, Class X1 | CUSIP: 3137F72R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    733889 | PA      | $43988.85     | 0.13%             | 2030-10-25      | Variable      | 1.04%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83C9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     50332 | PA      | $47115.58     | 0.14%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFKC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33283 | PA      | $27377.38     | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55998 | PA      | $46937.66     | 0.14%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1935 | PA      | $1861.01      | 0.01%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQUB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15766 | PA      | $15965.43     | 0.05%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     15000 | PA      | $59.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418D7E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    156681 | PA      | $127740.52    | 0.38%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QFBX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13534 | PA      | $12443.04     | 0.04%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88000 | PA      | $87184.17     | 0.26%             | 2053-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36181GFM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23760 | PA      | $22351.51     | 0.07%             | 2043-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XEA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34136 | PA      | $28089.81     | 0.08%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241LVF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15105 | PA      | $15458.99     | 0.05%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9756 | PA      | $9158.54      | 0.03%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35448 | PA      | $34884.02     | 0.10%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XDCC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59578 | PA      | $56463.05     | 0.17%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $38.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F012619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -48400 | PA      | $-37253.98    | -0.11%            | 2053-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GEB41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5566 | PA      | $5523.80      | 0.02%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E0V36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1536 | PA      | $1469.03      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L73E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4437 | PA      | $3792.78      | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CR89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17142 | PA      | $15854.93     | 0.05%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DUF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23714 | PA      | $18321.55     | 0.05%             | 2050-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M7CL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9788 | PA      | $9698.57      | 0.03%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2020-32                                                                        | CUSIP: 3136B9PX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81788 | PA      | $15645.65     | 0.05%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022410<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -15000 | PA      | $-13723.17    | -0.04%            | 2038-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QAAJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       935 | PA      | $893.16       | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617B9SG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15370 | PA      | $14627.32     | 0.04%             | 2047-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Commercial Mortgage Securities Trust                       | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2020-609M, Class A                                               | CUSIP: 46652RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $94682.29     | 0.28%             | 2033-10-15      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A2AE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74461 | PA      | $73991.55     | 0.22%             | 2042-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53344 | PA      | $46211.48     | 0.14%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYWH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19001 | PA      | $16016.66     | 0.05%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KMVG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25824 | PA      | $22832.00     | 0.07%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30532 | PA      | $28342.52     | 0.08%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMQ73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46347 | PA      | $44516.80     | 0.13%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -386600 | PA      | $-327549.36   | -0.96%            | 2053-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       447 | PA      | $418.87       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312934WB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6340 | PA      | $6253.92      | 0.02%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G0B58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3343 | PA      | $3170.72      | 0.01%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417AYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14213 | PA      | $13649.11     | 0.04%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE4Z5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23991 | PA      | $22976.98     | 0.07%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MEK91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11451 | PA      | $10947.19     | 0.03%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L6AS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11169 | PA      | $9260.24      | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36438 | PA      | $34872.38     | 0.10%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CV35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       831 | PA      | $794.44       | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617XCUF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    276462 | PA      | $262009.52    | 0.77%             | 2050-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X82G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68005 | PA      | $62912.59     | 0.19%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-115, Class IM                                                          | CUSIP: 38382HB41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117011 | PA      | $16739.56     | 0.05%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H6PA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9439 | PA      | $8745.54      | 0.03%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust                                     | Wells Fargo Commercial Mortgage Trust, Series 2021-FCMT, Class A                                                             | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140000 | PA      | $131574.25    | 0.39%             | 2031-05-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                             | UBS Commercial Mortgage Trust, Series 2019-C17, Class XA                                                                     | CUSIP: 90278MBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970769 | PA      | $68175.24     | 0.20%             | 2052-10-15      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KEXZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2732 | PA      | $2629.96      | 0.01%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BAA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1845 | PA      | $1773.55      | 0.01%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    179763 | PA      | $163577.12    | 0.48%             | 2044-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2017-61                                                 | CUSIP: 38379RSQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148839 | PA      | $5699.43      | 0.02%             | 2059-05-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QGRN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13797 | PA      | $11849.95     | 0.03%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KJUF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52159 | PA      | $46449.10     | 0.14%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-175, Class DI                                                          | CUSIP: 38382LLK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     73603 | PA      | $9187.16      | 0.03%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14989 | PA      | $14070.63     | 0.04%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DM2Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9478 | PA      | $7785.90      | 0.02%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7177 | PA      | $6685.01      | 0.02%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M4QU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9030 | PA      | $8467.33      | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BFTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5803 | PA      | $5698.28      | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X9MV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1645 | PA      | $1559.66      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEJX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92940 | PA      | $79919.37     | 0.24%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BYFD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19200 | PA      | $18313.08     | 0.05%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36297FRM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2612 | PA      | $2652.21      | 0.01%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NN26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2110 | PA      | $1980.98      | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7832 | PA      | $7351.87      | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44820 | PA      | $40108.03     | 0.12%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DB68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1312 | PA      | $1231.65      | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJC71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17798 | PA      | $16641.14     | 0.05%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QUZV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2622 | PA      | $2555.80      | 0.01%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    200000 | PA      | $21974.86     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5628 | PA      | $4635.15      | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNNT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     61420 | PA      | $50419.90     | 0.15%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association, Series 2011-8, Class ZA                                                               | CUSIP: 31397QJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65831 | PA      | $62677.74     | 0.18%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    134297 | PA      | $116965.58    | 0.34%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W5MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14654 | PA      | $13316.50     | 0.04%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XAY55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37176 | PA      | $35310.86     | 0.10%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERM49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4012 | PA      | $3837.51      | 0.01%             | 2031-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31292HEF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       540 | PA      | $558.44       | 0.00%             | 2030-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     64371 | PA      | $55723.37     | 0.16%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QETF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4543 | PA      | $4263.32      | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51630 | PA      | $42307.82     | 0.12%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-178.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KA6L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4600 | PA      | $3935.58      | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                                                | BFLD Trust, Series 2020-EYP, Class A                                                                                         | CUSIP: 05493AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128000 | PA      | $121605.57    | 0.36%             | 2035-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QM4E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53432 | PA      | $45810.09     | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617X85X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239994 | PA      | $229837.62    | 0.68%             | 2044-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Romania                                                                   | Romania Government Bond                                                                                                      | CUSIP: N/A<br>LEI: 315700IASY927EDWBK92       | Long             | DBT              | NUSS              | RO        |      1000 | PA      | $923.80       | 0.00%             | 2028-05-26      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6331 | PA      | $4884.37      | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     49704 | PA      | $94.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Bank                                                    | Federal Home Loan Bank                                                                                                       | CUSIP: 313384AN9<br>LEI: 2549001DPIFGXC1TOL40 | Long             | STIV             | USGA              | US        |   3300000 | PA      | $3296081.55   | 9.70%             | 2023-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFEW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4426 | PA      | $4149.69      | 0.01%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWEC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10203 | PA      | $9821.94      | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EPJ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9107 | PA      | $8756.83      | 0.03%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     17000 | PA      | $-115.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J5GJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7492 | PA      | $7011.07      | 0.02%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XJDS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15811 | PA      | $14523.43     | 0.04%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K119, Class X1 | CUSIP: 3137F6GV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    149240 | PA      | $8067.63      | 0.02%             | 2030-09-25      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335AYP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12441 | PA      | $11158.98     | 0.03%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140Q9W74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2001 | PA      | $1908.12      | 0.01%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    727000 | PA      | $511058.28    | 1.50%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L73Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2738 | PA      | $2340.47      | 0.01%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140JR7K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28477 | PA      | $23398.50     | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJUH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3134 | PA      | $2818.06      | 0.01%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    900000 | PA      | $2713.62      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GVZ99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19579 | PA      | $19185.91     | 0.06%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132WJUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6238 | PA      | $5589.04      | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     14000 | PA      | $14.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        48 | PA      | $47.76        | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KSBC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8669 | PA      | $7083.66      | 0.02%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X9EC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2522 | PA      | $2385.82      | 0.01%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FEH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       627 | PA      | $625.51       | 0.00%             | 2040-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFYM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6899 | PA      | $6468.16      | 0.02%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MAAK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10256 | PA      | $10178.47     | 0.03%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNE40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15135 | PA      | $12977.21     | 0.04%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5440 | PA      | $5086.00      | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | United Mexican States                                                                                                        | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      2000 | PA      | $9665.36      | 0.03%             | 2027-06-03      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20892 | PA      | $17184.99     | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -300000 | PA      | $-300540.76   | -0.88%            | 2053-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $90830.27     | 0.27%             | 2053-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AXJ82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1292 | PA      | $1255.86      | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QKM96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46087 | PA      | $39534.19     | 0.12%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVMD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     68374 | PA      | $60453.60     | 0.18%             | 2052-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1600000 | PA      | $-9484.94     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EH3N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19326 | PA      | $20281.35     | 0.06%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -100000 | PA      | $-93773.81    | -0.28%            | 2053-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFGT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81869 | PA      | $69906.84     | 0.21%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179QJV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2338 | PA      | $2378.23      | 0.01%             | 2044-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNE57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53687 | PA      | $45974.71     | 0.14%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QPYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10832 | PA      | $9969.53      | 0.03%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312942H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3643 | PA      | $3503.12      | 0.01%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    610000 | PA      | $560771.10    | 1.65%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CXN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       683 | PA      | $652.45       | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNEJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19739 | PA      | $16264.20     | 0.05%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F012411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    184000 | PA      | $159276.94    | 0.47%             | 2038-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GSRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       753 | PA      | $718.47       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4736 | PA      | $4410.63      | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HMP40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2324 | PA      | $2275.65      | 0.01%             | 2033-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WCSJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15926 | PA      | $15315.45     | 0.05%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     58682 | PA      | $45304.58     | 0.13%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14254 | PA      | $13328.15     | 0.04%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114436 | PA      | $94877.99     | 0.28%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     69500 | PA      | $148.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -300000 | PA      | $-35846.13    | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       639 | PA      | $599.80       | 0.00%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJH35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3850 | PA      | $3571.98      | 0.01%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31292HKW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       588 | PA      | $589.18       | 0.00%             | 2031-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -460600 | PA      | $-389904.49   | -1.15%            | 2053-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3774 | PA      | $3933.43      | 0.01%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Ultra Bond                                                                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         5 | NC      | $-5086.56     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMY33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6559 | PA      | $5385.20      | 0.02%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    148749 | PA      | $125384.07    | 0.37%             | 2042-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020620<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -606700 | PA      | $-494047.73   | -1.45%            | 2053-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8GB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26669 | PA      | $25005.59     | 0.07%             | 2033-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       687 | PA      | $653.70       | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9GP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3798 | PA      | $3559.37      | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    117000 | PA      | $102652.20    | 0.30%             | 2053-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DNAY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    189650 | PA      | $161686.51    | 0.48%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJF94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       579 | PA      | $526.93       | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United Mexican States                                                     | Mex Bonos Desarr Fix Rt                                                                                                      | CUSIP: N/A<br>LEI: 254900EGTWEU67VP6075       | Long             | DBT              | NUSS              | MX        |      1500 | PA      | $6956.74      | 0.02%             | 2026-03-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CS54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3651 | PA      | $3482.83      | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CCL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1926 | PA      | $1752.13      | 0.01%             | 2031-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 2 Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         2 | NC      | $-1924.42     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132A5H40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10353 | PA      | $9543.77      | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X8XE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43856 | PA      | $36035.24     | 0.11%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury Long Bond                                                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -8 | NC      | $22724.82     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     33000 | PA      | $-157.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BKV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15312 | PA      | $14386.15     | 0.04%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6781 | PA      | $6288.44      | 0.02%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J76Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12649 | PA      | $11826.34     | 0.03%             | 2032-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J8HY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8989 | PA      | $8906.53      | 0.03%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2717 | PA      | $2538.95      | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-137.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates Variable Rate Notes, Series K116, Class X1 | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99576 | PA      | $8018.45      | 0.02%             | 2030-07-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KHE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1328 | PA      | $1386.35      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-185, Class MI                                                          | CUSIP: 38382LV57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    157881 | PA      | $21332.61     | 0.06%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     23995 | PA      | $-118.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416BMP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29988 | PA      | $30936.12     | 0.09%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10847 | PA      | $10441.51     | 0.03%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |    -40000 | PA      | $-33513.41    | -0.10%            | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMQ81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26097 | PA      | $23966.82     | 0.07%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307MSF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6837 | PA      | $6402.41      | 0.02%             | 2030-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46200 | PA      | $42267.36     | 0.12%             | 2038-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    478250 | PA      | $479429.65    | 1.41%             | 2053-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWCT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    154158 | PA      | $125636.03    | 0.37%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BlackRock Liquidity Funds                                                 | T-Fund, Institutional Class                                                                                                  | CUSIP: 09248U718<br>LEI: 5493002L9DNZ83RX7V61 | Long             | STIV             | RF                | US        |   1014150 | NS      | $1014150.18   | 2.98%             |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EQA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10928 | PA      | $10454.93     | 0.03%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -478250 | PA      | $-479429.65   | -1.41%            | 2053-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    200500 | PA      | $167985.97    | 0.49%             | 2053-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1300000 | PA      | $-26097.26    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    228729 | PA      | $196406.11    | 0.58%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418MGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10461 | PA      | $10912.41     | 0.03%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DM7F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     45820 | PA      | $37903.15     | 0.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    406600 | PA      | $344192.72    | 1.01%             | 2053-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141420 | PA      | $119336.21    | 0.35%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    900000 | PA      | $5427.12      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CQB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2926 | PA      | $2792.38      | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4432 | PA      | $4159.18      | 0.01%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3622A24Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12348 | PA      | $11339.57     | 0.03%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21898 | PA      | $19924.44     | 0.06%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418EAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    197428 | PA      | $161509.39    | 0.48%             | 2041-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HFE88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4809 | PA      | $4443.81      | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XTVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22203 | PA      | $21351.14     | 0.06%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYSX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2196 | PA      | $2044.42      | 0.01%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63745 | PA      | $54518.35     | 0.16%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140H1WJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5565 | PA      | $5155.56      | 0.02%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140GRX74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14028 | PA      | $13430.33     | 0.04%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128MEVG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23514 | PA      | $22986.55     | 0.07%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVL94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    609811 | PA      | $520765.89    | 1.53%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DV6T7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26111 | PA      | $20172.76     | 0.06%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138W7G40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21444 | PA      | $19511.37     | 0.06%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DM2W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4695 | PA      | $3879.22      | 0.01%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31335BCD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14269 | PA      | $13361.90     | 0.04%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140HJF71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4364 | PA      | $4324.26      | 0.01%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15458 | PA      | $14841.28     | 0.04%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CET7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2717 | PA      | $2471.40      | 0.01%             | 2031-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26572 | PA      | $24961.70     | 0.07%             | 2044-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1.56        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJH27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9447 | PA      | $8763.27      | 0.03%             | 2036-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J6D20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33974 | PA      | $33540.97     | 0.10%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association                                                                                        | CUSIP: 3138EP6D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2208 | PA      | $2110.32      | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XHHS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    837446 | PA      | $682511.62    | 2.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140MGG62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3701 | PA      | $3045.72      | 0.01%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140MAEU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15135 | PA      | $12449.42     | 0.04%             | 2052-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNDN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       963 | PA      | $897.42       | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6346 | PA      | $6197.38      | 0.02%             | 2030-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |   -300000 | PA      | $-4611.90     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2014-107, Class WX                                      | CUSIP: 38379C6M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46642 | PA      | $48516.37     | 0.14%             | 2039-07-20      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     68677 | PA      | $61364.77     | 0.18%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138EJXL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13060 | PA      | $12945.00     | 0.04%             | 2042-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138ERHD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1166 | PA      | $1081.56      | 0.00%             | 2036-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10199 | PA      | $10087.25     | 0.03%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138M5G37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12610 | PA      | $12500.28     | 0.04%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X83P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13992 | PA      | $11522.41     | 0.03%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    610000 | PA      | $520406.25    | 1.53%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GDC67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       209 | PA      | $201.01       | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XATV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30559 | PA      | $25166.06     | 0.07%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X7CB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20289 | PA      | $19345.53     | 0.06%             | 2049-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140J7MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20506 | PA      | $20279.44     | 0.06%             | 2046-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418CLH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8198 | PA      | $7861.27      | 0.02%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-146, Class DI                                                          | CUSIP: 38382KWB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    139216 | PA      | $17963.13     | 0.05%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QM3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47092 | PA      | $38751.29     | 0.11%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                          | CUSIP: 9128284V9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    350000 | PA      | $329587.89    | 0.97%             | 2028-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    314376 | PA      | $272694.33    | 0.80%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XQL58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19790 | PA      | $19031.42     | 0.06%             | 2029-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    100357 | PA      | $94989.30     | 0.28%             | 2051-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        26 | NC      | $-10650.84    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMSF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    120640 | PA      | $106956.26    | 0.31%             | 2050-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     99775 | PA      | $86425.08     | 0.25%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       627 | PA      | $625.31       | 0.00%             | 2039-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association, Series 2020-162, Class TI                                                          | CUSIP: 38382KPG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    281260 | PA      | $35907.97     | 0.11%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133A8RR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8883 | PA      | $7295.90      | 0.02%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132QTAC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1612 | PA      | $1511.79      | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DNF32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9911 | PA      | $9031.10      | 0.03%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DNEW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26209 | PA      | $23889.64     | 0.07%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFAD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2492 | PA      | $2336.06      | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     19000 | PA      | $297.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KFAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8216 | PA      | $7712.53      | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417F4H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28832 | PA      | $26233.64     | 0.08%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Notes                                                                                                          | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1180000 | PA      | $1091546.09   | 3.21%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $86.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $96221.72     | 0.28%             | 2053-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032419<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |     -2000 | PA      | $-1913.17     | -0.01%            | 2038-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHD25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7730 | PA      | $7228.49      | 0.02%             | 2031-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QC6E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8311 | PA      | $7848.44      | 0.02%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179W5B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85794 | PA      | $74328.30     | 0.22%             | 2052-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    105000 | PA      | $62475.00     | 0.18%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140E1RT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       623 | PA      | $590.83       | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140X9PE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11530 | PA      | $10914.59     | 0.03%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              |  | US        |      4000 | PA      | $6.89         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEBL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78414 | PA      | $67430.42     | 0.20%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Federal National Mortgage Association ACES Variable Rate Notes, Series 2020-M21, Class AX                                    | CUSIP: 3136B9L70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    222579 | PA      | $29802.19     | 0.09%             | 2058-01-25      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F030413<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -83000 | PA      | $-77733.12    | -0.23%            | 2038-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2002-83                                                 | CUSIP: 38373VT91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198004 | PA      | $0.02         | 0.00%             | 2042-10-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84000 | PA      | $81472.65     | 0.24%             | 2053-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QMJZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74474 | PA      | $60694.94     | 0.18%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    590000 | PA      | $483592.58    | 1.42%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BPR Trust                                                                 | BPR Trust, Series 2021-TY, Class A                                                                                           | CUSIP: 05592AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131000 | PA      | $123413.33    | 0.36%             | 2038-09-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WJET1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9572 | PA      | $8951.15      | 0.03%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410K3K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1831 | PA      | $1910.09      | 0.01%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QFBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13298 | PA      | $12202.92     | 0.04%             | 2035-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31410KXB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1954 | PA      | $1986.18      | 0.01%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416YVG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1833 | PA      | $1817.35      | 0.01%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMRR8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12431 | PA      | $11147.56     | 0.03%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |    600000 | PA      | $10069.50     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DKD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2397 | PA      | $2237.62      | 0.01%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QQE76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1890 | PA      | $1734.35      | 0.01%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L7FZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3067 | PA      | $2621.98      | 0.01%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -12000 | PA      | $-10670.75    | -0.03%            | 2038-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25508 | PA      | $21006.09     | 0.06%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140FMDA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9075 | PA      | $8419.05      | 0.02%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YGYN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4662 | PA      | $4361.14      | 0.01%             | 2030-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36241L6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    202933 | PA      | $202536.06    | 0.60%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31329KXR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8862 | PA      | $8220.52      | 0.02%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 5 Year Note                                                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        -1 | NC      | $-484.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFGY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6065 | PA      | $5687.26      | 0.02%             | 2030-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53000 | PA      | $49695.98     | 0.15%             | 2053-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    234000 | PA      | $230541.81    | 0.68%             | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417FR75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75291 | PA      | $68504.99     | 0.20%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2763 | PA      | $2573.23      | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    247000 | PA      | $237677.30    | 0.70%             | 2053-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179SB89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96034 | PA      | $89660.17     | 0.26%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XBNR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    363726 | PA      | $334692.55    | 0.98%             | 2051-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    590000 | PA      | $472760.55    | 1.39%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L6BB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7378 | PA      | $6103.70      | 0.02%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31307NNV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2269 | PA      | $2125.34      | 0.01%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGTV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94678 | PA      | $90277.72     | 0.27%             | 2051-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132M9MM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2394 | PA      | $2243.77      | 0.01%             | 2044-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132XWA84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2005 | PA      | $1883.33      | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WPHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5042 | PA      | $4587.30      | 0.01%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGPR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33491 | PA      | $29871.94     | 0.09%             | 2037-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5051 | PA      | $4722.55      | 0.01%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132J7RZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16659 | PA      | $15174.80     | 0.04%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |     48000 | PA      | $44.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3260 | PA      | $3035.91      | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hudson Yards Mortgage Trust                                               | Hudson Yards Mortgage Trust, Series 2019-30HY, Class D                                                                       | CUSIP: 44421GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101000 | PA      | $76199.84     | 0.22%             | 2039-07-10      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -248500 | PA      | $-239120.69   | -0.70%            | 2053-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133KYSR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16649 | PA      | $15504.00     | 0.05%             | 2040-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       724 | PA      | $722.94       | 0.00%             | 2040-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31402QYX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9777 | PA      | $9984.52      | 0.03%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7000 | PA      | $6696.10      | 0.02%             | 2038-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15545 | PA      | $14960.30     | 0.04%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L6U44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20495 | PA      | $16839.81     | 0.05%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79482 | PA      | $68348.44     | 0.20%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WHFF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       608 | PA      | $545.16       | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Nomura Securities International, Inc.                                     | Nomura Securities International, Inc.                                                                                        | CUSIP: N/A<br>LEI: OXTKY6Q8X53C9ILVV871       | Short            | RA               | CORP              | US        |  -1561875 | PA      | $-1561875.00  | -4.60%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QM4T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30439 | PA      | $26113.99     | 0.08%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GD3M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4732 | PA      | $4682.24      | 0.01%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31417GLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32597 | PA      | $29639.09     | 0.09%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149869 | PA      | $126327.49    | 0.37%             | 2042-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5380 | PA      | $5049.66      | 0.01%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179VSL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25510 | PA      | $25040.93     | 0.07%             | 2050-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138XYBY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4734 | PA      | $4431.27      | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YBX65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1636 | PA      | $1565.33      | 0.00%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132KE2B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5846 | PA      | $5487.66      | 0.02%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179WQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165777 | PA      | $143856.19    | 0.42%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21833 | PA      | $20827.22     | 0.06%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L6BK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15728 | PA      | $12981.54     | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QEB50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46576 | PA      | $40194.68     | 0.12%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DWCM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6511 | PA      | $5017.68      | 0.01%             | 2051-11-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-67.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L3E49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3117 | PA      | $2666.76      | 0.01%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WC7G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3674 | PA      | $3533.38      | 0.01%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3129414T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2268 | PA      | $2180.52      | 0.01%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000 | PA      | $18921.95     | 0.06%             | 2053-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DMUR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    123434 | PA      | $111478.01    | 0.33%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XGPU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78179 | PA      | $63806.79     | 0.19%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36196FZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3560 | PA      | $3318.00      | 0.01%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |     10000 | PA      | $-304.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3128M9WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     43824 | PA      | $45492.27     | 0.13%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31418DTQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55245 | PA      | $45289.70     | 0.13%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                | CSMC Trust, Series 2021-BHAR, Class A                                                                                        | CUSIP: 12659VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146000 | PA      | $139189.99    | 0.41%             | 2038-11-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QMAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22326 | PA      | $19063.57     | 0.06%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132G5AU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1899 | PA      | $1801.82      | 0.01%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    188704 | PA      | $162269.88    | 0.48%             | 2051-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QM4F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     64828 | PA      | $55510.44     | 0.16%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138YBX73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8298 | PA      | $7938.09      | 0.02%             | 2030-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOP                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   -200000 | PA      | $-16015.33    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36179RD71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9343 | PA      | $8722.97      | 0.03%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2003-17                                                 | CUSIP: 38373SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    171426 | PA      | $0.02         | 0.00%             | 2043-03-16      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 312938GD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2153 | PA      | $2137.13      | 0.01%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association Variable Rate Notes, Series 2003-109                                                | CUSIP: 38373MKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301288 | PA      | $11.77        | 0.00%             | 2043-11-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | U.S. Treasury 10 Year Ultra Note                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |         5 | NC      | $-7755.84     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QELS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76057 | PA      | $65401.64     | 0.19%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132HNMK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2466 | PA      | $2311.20      | 0.01%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3132DVLZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14277 | PA      | $12714.13     | 0.04%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS                                                                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1100000 | PA      | $-17496.29    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23145 | PA      | $21690.41     | 0.06%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WKK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8740 | PA      | $8172.34      | 0.02%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTL63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       435 | PA      | $406.75       | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138LTJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14889 | PA      | $14298.14     | 0.04%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -292406 | PA      | $-265593.17   | -0.78%            | 2053-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138Y4UY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1540 | PA      | $1473.06      | 0.00%             | 2030-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140EXEK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7726 | PA      | $7641.21      | 0.02%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                                  | U.S. Treasury Bonds                                                                                                          | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    160000 | PA      | $164787.50    | 0.48%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3133A04K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9999 | PA      | $9205.63      | 0.03%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132JADY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3457 | PA      | $3232.64      | 0.01%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal Home Loan Mortgage Corp.                                          | Federal Home Loan Mortgage Corp.                                                                                             | CUSIP: 3132GSSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4513 | PA      | $4229.05      | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QQFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8946 | PA      | $8162.97      | 0.02%             | 2052-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140XFRT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33629 | PA      | $27819.01     | 0.08%             | 2052-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3620AXKG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       283 | PA      | $274.62       | 0.00%             | 2041-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140KKX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10409 | PA      | $8513.34      | 0.03%             | 2050-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140L6B45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16655 | PA      | $13715.74     | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3138WFQ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7771 | PA      | $7285.53      | 0.02%             | 2030-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | Forward Foreign Currency Contract                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-56.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 31416VXQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13861 | PA      | $13312.42     | 0.04%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BJRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15020 | PA      | $14325.53     | 0.04%             | 2047-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association                                     | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 3140QLN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    302251 | PA      | $246430.24    | 0.73%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Federal National Mortgage Association or Federal Home Loan Mortgage Corp. | Uniform Mortgage-Backed Securities                                                                                           | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -100000 | PA      | $-90873.24    | -0.27%            | 2053-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 3617BTGM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16879 | PA      | $16104.98     | 0.05%             | 2048-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association                                  | Government National Mortgage Association                                                                                     | CUSIP: 36213FZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3856 | PA      | $3626.78      | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-31

**Name of Applicant:** BlackRock Series Fund II, Inc.

**Signature:** Ann Frechette

**Name of Signer:** Ann Frechette

**Title:** Assistant Treasurer