# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0001752724-25-176688
**Filing Date:** 2025-7
**Character Count:** 996573
**Document Hash:** 3d1e40095086614e7e0a5ad6e2275070
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-176688.hdr.sgml**: 20250724

**ACCESSION NUMBER**: 0001752724-25-176688

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250724

**DATE AS OF CHANGE**: 20250724

**PERIOD START**: 20250831

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04085
- **FILM NUMBER:** 251146276

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

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

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

## Series and Classes Contracts Data

### Fidelity Government Income Fund (Series ID: S000007069)

| Class ID   | Class Name                                       | Ticker Symbol   |
|:---|:---|:---|
| C000019283 | Fidelity Government Income Fund                  | FGOVX           |
| C000038098 | Fidelity Advisor Government Income Fund: Class A | FVIAX           |
| C000038100 | Fidelity Advisor Government Income Fund: Class C | FVICX           |
| C000038101 | Fidelity Advisor Government Income Fund: Class M | FVITX           |
| C000038102 | Fidelity Advisor Government Income Fund: Class I | FVIIX           |
| C000205069 | Fidelity Advisor Government Income Fund: Class Z | FIKPX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® Government Income Fund**

**May 31, 2025**

GOV-NPRT3-0725

1.800338.121 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.6%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 10.6%  |  |  |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 2351 | 2384 |
| Fannie Mae Guaranteed REMIC Series 1999-25 Class Z, 6% 6/25/2029  | 2730 | 2742 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 3445 | 3504 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 2493 | 2534 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 3398 | 3445 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 1417 | 1435 |
| Fannie Mae Guaranteed REMIC Series 2001-38 Class QF, U.S. 30-Day Avg. SOFR Index + 1.0945%, 5.4165% 8/25/2031 (c)(d) | 16622 | 16755 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 584 | 602 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 1673 | 1721 |
| Fannie Mae Guaranteed REMIC Series 2002-18 Class FD, U.S. 30-Day Avg. SOFR Index + 0.9145%, 5.2365% 2/25/2032 (c)(d) | 352 | 352 |
| Fannie Mae Guaranteed REMIC Series 2002-39 Class FD, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4444% 3/18/2032 (c)(d) | 641 | 646 |
| Fannie Mae Guaranteed REMIC Series 2002-49 Class FB, U.S. 30-Day Avg. SOFR Index + 0.7145%, 5.0444% 11/18/2031 (c)(d) | 12897 | 12860 |
| Fannie Mae Guaranteed REMIC Series 2002-60 Class FV, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4365% 4/25/2032 (c)(d) | 6329 | 6370 |
| Fannie Mae Guaranteed REMIC Series 2002-63 Class FN, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4365% 10/25/2032 (c)(d) | 799 | 804 |
| Fannie Mae Guaranteed REMIC Series 2002-7 Class FC, U.S. 30-Day Avg. SOFR Index + 0.8645%, 5.1865% 1/25/2032 (c)(d) | 331 | 331 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class FV, U.S. 30-Day Avg. SOFR Index + 0.5645%, 4.8865% 11/25/2032 (c)(d) | 3919 | 3919 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.1136% 11/25/2032 (b)(c) | 817 | 21 |
| Fannie Mae Guaranteed REMIC Series 2002-75 Class FA, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4365% 11/25/2032 (c)(d) | 11579 | 11654 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6636% 12/25/2033 (b)(c) | 13381 | 1544 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6636% 3/25/2033 (b)(c) | 722 | 74 |
| Fannie Mae Guaranteed REMIC Series 2003-70 Class BJ, 5% 7/25/2033  | 22610 | 22545 |
| Fannie Mae Guaranteed REMIC Series 2004-52 Class KZ, 5.5% 7/25/2034  | 103052 | 103980 |
| Fannie Mae Guaranteed REMIC Series 2004-91 Class Z, 5% 12/25/2034  | 1040048 | 1037776 |
| Fannie Mae Guaranteed REMIC Series 2005-102 Class CO, 0% 11/25/2035 (e) | 2104 | 1814 |
| Fannie Mae Guaranteed REMIC Series 2005-117 Class JN, 4.5% 1/25/2036  | 50347 | 49239 |
| Fannie Mae Guaranteed REMIC Series 2005-14 Class ZB, 5% 3/25/2035  | 318443 | 317516 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.2836% 6/25/2035 (b)(c) | 16900 | 1249 |
| Fannie Mae Guaranteed REMIC Series 2005-68 Class CZ, 5.5% 8/25/2035  | 1083371 | 1097023 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class ZC, 5.5% 8/25/2035  | 51868 | 53419 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index + 17.2524%, 6.0152% 8/25/2035 (c)(d) | 345 | 358 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 33280 | 32679 |
| Fannie Mae Guaranteed REMIC Series 2005-81 Class PC, 5.5% 9/25/2035  | 7608 | 7768 |
| Fannie Mae Guaranteed REMIC Series 2006-104 Class GI, 6.5655% - U.S. 30-Day Avg. SOFR Index 2.2436% 11/25/2036 (b)(c) | 10129 | 976 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.2036% 12/25/2036 (b)(c) | 6066 | 606 |
| Fannie Mae Guaranteed REMIC Series 2006-12 Class BO, 0% 10/25/2035 (e) | 8129 | 7236 |
| Fannie Mae Guaranteed REMIC Series 2006-15 Class OP, 0% 3/25/2036 (e) | 13192 | 11218 |
| Fannie Mae Guaranteed REMIC Series 2006-37 Class OW, 0% 5/25/2036 (e) | 1615 | 1316 |
| Fannie Mae Guaranteed REMIC Series 2006-72 Class CY, 6% 8/25/2026  | 61181 | 61260 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 2.0036% 5/25/2037 (b)(c) | 3398 | 372 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index + 39.9331%, 14.0013% 6/25/2037 (c)(d) | 2696 | 3330 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SA, U.S. 30-Day Avg. SOFR Index + 38.9131%, 12.9813% 7/25/2037 (c)(d) | 4068 | 5060 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index + 38.9131%, 12.9813% 7/25/2037 (c)(d) | 881 | 977 |
| Fannie Mae Guaranteed REMIC Series 2009-59 Class HB, 5% 8/25/2039  | 506747 | 506665 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 16987 | 16238 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 136214 | 133900 |
| Fannie Mae Guaranteed REMIC Series 2011-39 Class ZA, 6% 11/25/2032  | 15175 | 15532 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 51960 | 51461 |
| Fannie Mae Guaranteed REMIC Series 2011-67 Class AI, 4% 7/25/2026 (b) | 1090 | 5 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (b) | 24133 | 535 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 195888 | 181393 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 253165 | 233972 |
| Fannie Mae Guaranteed REMIC Series 2012-27 Class EZ, 4.25% 3/25/2042  | 2319862 | 2221648 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (b) | 140 | 2 |
| Fannie Mae Guaranteed REMIC Series 2012-9 Class SH, 6.4355% - U.S. 30-Day Avg. SOFR Index 2.1136% 6/25/2041 (b)(c) | 357 | 1 |
| Fannie Mae Guaranteed REMIC Series 2012-93 Class QW, 5% 1/25/2042  | 46127 | 46245 |
| Fannie Mae Guaranteed REMIC Series 2013-133 Class IB, 3% 4/25/2032 (b) | 1308 | 4 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 1.6136% 1/25/2044 (b)(c) | 17161 | 1861 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (b) | 88947 | 12935 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 104462 | 98667 |
| Fannie Mae Guaranteed REMIC Series 2017-1 Class JP, 3.5% 4/25/2045  | 326760 | 319691 |
| Fannie Mae Guaranteed REMIC Series 2017-22 Class JN, 4.5% 4/25/2046  | 744228 | 733496 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (b) | 50724 | 7268 |
| Fannie Mae Guaranteed REMIC Series 2017-89 Class KV, 3.5% 8/25/2047  | 1163518 | 1152408 |
| Fannie Mae Guaranteed REMIC Series 2018-45 Class GI, 4% 6/25/2048 (b) | 693018 | 146281 |
| Fannie Mae Guaranteed REMIC Series 2019-52 Class M, 3.5% 3/25/2049  | 121636 | 118254 |
| Fannie Mae Guaranteed REMIC Series 2019-64 Class MJ, 4.5% 6/25/2049  | 1519987 | 1447883 |
| Fannie Mae Guaranteed REMIC Series 2019-74 Class LB, 3% 10/25/2049  | 718401 | 643980 |
| Fannie Mae Guaranteed REMIC Series 2021-26 Class HC, 1% 11/25/2049  | 6651951 | 5663821 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 1182405 | 967020 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 1256558 | 1027665 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 1020187 | 883291 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 1635292 | 1393412 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 1623852 | 1474495 |
| Fannie Mae Guaranteed REMIC Series 2022-2 Class TH, 2.5% 2/25/2052  | 947939 | 859257 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 12957809 | 11192937 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 1201126 | 1031172 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 1446554 | 1221550 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 2300965 | 2089996 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-41 Class J, 7.5% 6/18/2027  | 300 | 305 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-45 Class OP, 0% 6/25/2036 (e) | 131023 | 109344 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-62 Class KP, 0% 4/25/2036 (e) | 6675 | 5589 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (b) | 13444 | 535 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-67 Class KZ, 3.25% 9/25/2040  | 9515420 | 8706305 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 6/25/2054 (c)(d) | 2947640 | 2935304 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 9/25/2054 (c)(d) | 1414334 | 1409959 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.722% 2/25/2055 (c)(d) | 2278108 | 2273289 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.722% 9/25/2054 (c)(d) | 2307517 | 2300425 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 2/25/2055 (c)(d) | 2952467 | 2943589 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (c)(d) | 1238239 | 1234883 |
| Fannie Mae Series 2010-118 Class PB, 4.5% 10/25/2040  | 1297103 | 1280014 |
| Fannie Mae Series 2010-15 Class FJ, U.S. 30-Day Avg. SOFR Index + 1.0445%, 5.3665% 6/25/2036 (c)(d) | 1164496 | 1172582 |
| Fannie Mae Series 2010-39 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0345%, 5.3565% 3/25/2036 (c)(d) | 840564 | 846131 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 287755 | 271316 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (b) | 3404 | 484 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (b) | 3113 | 458 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (b)(c) | 2105 | 378 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (b)(c) | 1466 | 224 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (b) | 1955 | 331 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (b)(c) | 1306 | 230 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (b) | 13340 | 2145 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class ZH, 6% 4/15/2028  | 868 | 881 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2056 Class Z, 6% 5/15/2028  | 2547 | 2587 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4341 Class ML, 3.5% 11/15/2031  | 1406989 | 1365898 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 155163 | 150996 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 950705 | 818091 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1997-1929 Class EZ, 7.5% 2/17/2027  | 193 | 193 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 1263 | 1287 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2131 Class BG, 6% 3/15/2029  | 9566 | 9756 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 559 | 571 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2137 Class PG, 6% 3/15/2029  | 1468 | 1495 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2145 Class MZ, 6.5% 4/15/2029  | 10411 | 10561 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 2671 | 2723 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 1657 | 1689 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 915 | 926 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2303 Class ZV, 6% 4/15/2031  | 5274 | 5400 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 19670 | 20159 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2412 Class FK, U.S. 30-Day Avg. SOFR Index + 0.9145%, 5.2468% 1/15/2032 (c)(d) | 262 | 262 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2423 Class FA, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3468% 3/15/2032 (c)(d) | 369 | 370 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2424 Class FM, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4468% 3/15/2032 (c)(d) | 355 | 357 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FE, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3468% 6/15/2031 (c)(d) | 573 | 575 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3468% 3/15/2032 (c)(d) | 201 | 202 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 2483 | 2541 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2519 Class ZD, 5.5% 11/15/2032  | 3465 | 3500 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 6631 | 6811 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2526 Class FC, U.S. 30-Day Avg. SOFR Index + 0.5145%, 4.8468% 11/15/2032 (c)(d) | 3981 | 3975 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2530 Class FE, U.S. 30-Day Avg. SOFR Index + 0.7145%, 5.0468% 2/15/2032 (c)(d) | 7403 | 7402 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2587 Class AD, 4.71% 3/15/2033  | 305585 | 303157 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2682 Class FB, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3468% 10/15/2033 (c)(d) | 384948 | 387017 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2682 Class LD, 4.5% 10/15/2033  | 91310 | 91338 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 14801 | 14998 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2711 Class FC, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3468% 2/15/2033 (c)(d) | 300810 | 302482 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2770 Class FH, U.S. 30-Day Avg. SOFR Index + 0.5145%, 4.8468% 3/15/2034 (c)(d) | 98963 | 98202 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 9265 | 9443 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class ZG, 5.5% 5/15/2034  | 1249137 | 1265396 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2877 Class ZD, 5% 10/15/2034  | 1251051 | 1249807 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 71350 | 70632 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 27984 | 28647 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class MK, 5.5% 6/15/2035  | 3075 | 3118 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 44965 | 44311 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2998 Class LY, 5.5% 7/15/2025  | 38 | 38 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 14867 | 15145 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3007 Class EW, 5.5% 7/15/2025  | 2122 | 2119 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3110 Class OP, 0% 9/15/2035 (e) | 783 | 772 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.1532% 2/15/2036 (b)(c) | 4620 | 416 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3119 Class PO, 0% 2/15/2036 (e) | 15912 | 13030 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3121 Class KO, 0% 3/15/2036 (e) | 2662 | 2316 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3123 Class LO, 0% 3/15/2036 (e) | 8620 | 7144 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3145 Class GO, 0% 4/15/2036 (e) | 9581 | 7984 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 14980 | 15514 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 61634 | 62971 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.2132% 11/15/2036 (b)(c) | 21449 | 1881 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3258 Class PM, 5.5% 12/15/2036  | 4585 | 4697 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.1332% 6/15/2037 (b)(c) | 14306 | 1594 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3366 Class FD, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.6968% 5/15/2037 (c)(d) | 16716 | 16506 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 145218 | 145848 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 69848 | 70007 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3843 Class PZ, 5% 4/15/2041  | 2190666 | 2192891 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3857 Class ZP, 5% 5/15/2041  | 3521612 | 3525570 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3889 Class DZ, 4% 1/15/2041  | 10161404 | 9655297 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 10557 | 10414 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 190604 | 177230 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4281 Class AI, 4% 12/15/2028 (b) | 9 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (b) | 61 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (b) | 35425 | 1276 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 30474 | 30097 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 126550 | 120648 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 4033826 | 3594667 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5083 Class VA, 1% 8/15/2038  | 7272464 | 6878339 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5122 Class TE, 1.5% 6/25/2051  | 3749282 | 3057094 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5137 Class TA, 2% 3/25/2039  | 9401620 | 8345187 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 5996541 | 5138023 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 1187459 | 1046870 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 7919789 | 6874552 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 1291741 | 1107111 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 1215944 | 1071110 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 1397479 | 1178377 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 922593 | 813568 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 4360601 | 3871516 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 988940 | 873378 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5213 Class JM, 3.5% 9/25/2051  | 5235536 | 5026890 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5214 Class CG, 3.5% 4/25/2052  | 1827553 | 1722327 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5220 Class PK, 3.5% 1/25/2051  | 2492146 | 2345199 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5224 Class DQ, 3.75% 8/25/2044  | 3006153 | 2893403 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 1818516 | 1816834 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 1230531 | 1215566 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (c)(d) | 4054323 | 4036783 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 2/25/2055 (c)(d) | 1137528 | 1127765 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.572% 10/25/2054 (c)(d) | 2190787 | 2186681 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (c)(d) | 1865301 | 1859891 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 3094 | 3150 |
| Freddie Mac Non Gold Pool Series 1998-2101 Class PD, 6% 11/15/2028  | 1729 | 1758 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 462 | 469 |
| Freddie Mac Non Gold Pool Series 2006-3225 Class EO, 0% 10/15/2036 (e) | 4902 | 4017 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.7663% 5/20/2060 (c)(d)(f) | 25712 | 25739 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.7334% 8/20/2060 (c)(d)(f) | 244059 | 244296 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.8134% 12/20/2060 (c)(d)(f) | 134997 | 135307 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 12/20/2060 (c)(d)(f) | 131237 | 131708 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 2/20/2061 (c)(d)(f) | 129397 | 129931 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.9234% 2/20/2061 (c)(d)(f) | 147380 | 147970 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 4/20/2061 (c)(d)(f) | 131239 | 131699 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 5/20/2061 (c)(d)(f) | 120292 | 120818 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 5/20/2061 (c)(d)(f) | 121467 | 121931 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.9634% 6/20/2061 (c)(d)(f) | 127260 | 127785 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.9834% 9/20/2061 (c)(d)(f) | 645991 | 648617 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 5.0334% 10/20/2061 (c)(d)(f) | 466671 | 469093 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 5.1334% 11/20/2061 (c)(d)(f) | 512792 | 515862 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 5.1334% 1/20/2062 (c)(d)(f) | 276035 | 277686 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 5.0634% 1/20/2062 (c)(d)(f) | 540144 | 543317 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 5.0634% 3/20/2062 (c)(d)(f) | 280088 | 281549 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 5.0834% 5/20/2061 (c)(d)(f) | 18352 | 18354 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H01 Class FA, 1.65% 1/20/2063 (f) | 2 | 1 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H04 Class BA, 1.65% 2/20/2063 (f) | 343 | 320 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H19 Class FC, CME Term SOFR 1 month Index + 0.6%, 5.0334% 8/20/2063 (c)(d)(f) | 29254 | 29424 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H02 Class FB, CME Term SOFR 1 month Index + 0.65%, 5.0834% 12/20/2063 (c)(d)(f) | 1244129 | 1252362 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H03 Class FA, CME Term SOFR 1 month Index + 0.7145%, 5.0334% 1/20/2064 (c)(d)(f) | 479631 | 482253 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H05 Class FB, CME Term SOFR 1 month Index + 0.7145%, 5.0334% 12/20/2063 (c)(d)(f) | 18620 | 18724 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H11 Class BA, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 6/20/2064 (c)(d)(f) | 38213 | 38346 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class FL, CME Term SOFR 1 month Index + 0.3945%, 4.7134% 5/20/2063 (c)(d)(f) | 24868 | 24746 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (f) | 520 | 489 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H19 Class FA, CME Term SOFR 1 month Index + 0.3145%, 4.6334% 4/20/2063 (c)(d)(f) | 22362 | 22156 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H30 Class HA, 1.75% 9/20/2062 (c)(f) | 123055 | 120023 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H13 Class FB, 1 year U.S. Treasury Index + 0.5%, 4.59% 5/20/2066 (c)(d)(f) | 704772 | 702425 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H20 Class FM, CME Term SOFR 1 month Index + 0.5145%, 4.8334% 12/20/2062 (c)(d)(f) | 33198 | 33021 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 287490 | 258836 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 4.44% 8/20/2066 (c)(d)(f) | 798133 | 794181 |
| Ginnie Mae Mortgage pass-thru certificates Series 2018-H12 Class HA, 3.25% 8/20/2068 (f) | 668053 | 648048 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-22 Class AZ, 5.5% 4/20/2034  | 893287 | 902051 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 22988 | 22801 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.0569% 5/16/2034 (b)(c) | 4646 | 301 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 2.7569% 8/17/2034 (b)(c) | 4659 | 405 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.2469% 6/16/2037 (b)(c) | 8705 | 852 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-59 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.9389% 7/20/2037 (c)(d) | 66327 | 66109 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-2 Class FD, CME Term SOFR 1 month Index + 0.5945%, 4.9189% 1/20/2038 (c)(d) | 66883 | 66589 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-73 Class FA, CME Term SOFR 1 month Index + 0.9745%, 5.2989% 8/20/2038 (c)(d) | 441442 | 445961 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-83 Class FB, CME Term SOFR 1 month Index + 1.0145%, 5.3389% 9/20/2038 (c)(d) | 335262 | 339059 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-108 Class CF, CME Term SOFR 1 month Index + 0.7145%, 5.0432% 11/16/2039 (c)(d) | 354792 | 354312 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-116 Class KF, CME Term SOFR 1 month Index + 0.6445%, 4.9732% 12/16/2039 (c)(d) | 54381 | 54196 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-118 Class XZ, 5% 12/20/2039  | 7840039 | 7986824 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  | 14993 | 14202 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 201241 | 194829 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-169 Class Z, 4.5% 12/20/2040  | 4403799 | 4213666 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 44357 | 42902 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-31 Class BP, 5% 3/20/2040  | 3354179 | 3391896 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.9863% 3/20/2060 (c)(d)(f) | 29974 | 30123 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (b) | 16464 | 708 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-68 Class EC, 3.5% 4/20/2041  | 30788 | 30131 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-69 Class GX, 4.5% 5/16/2040  | 835537 | 832697 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 1.6611% 7/20/2041 (b)(c) | 18442 | 1754 |
| Ginnie Mae REMIC pass-thru certificates Series 2012-98 Class FA, CME Term SOFR 1 month Index + 0.5145%, 4.8389% 8/20/2042 (c)(d) | 73060 | 71724 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 81878 | 80274 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 393167 | 352302 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 148461 | 136579 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 251540 | 223755 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 201100 | 180541 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 77725 | 70833 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 2968040 | 2609009 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-153 Class GA, 3% 9/20/2047  | 211664 | 188738 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-182 Class KA, 3% 10/20/2047  | 172537 | 154445 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 215473 | 198158 |
| Ginnie Mae REMIC pass-thru certificates Series 2018-13 Class Q, 3% 4/20/2047  | 194097 | 179636 |
| TOTAL UNITED STATES |  | 186675240 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $188,678,385) |  | <br> **186675240** |

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---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 14.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 14.0%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 14.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 14.0%  |  |  |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-K049 Class A2, 3.01% 7/25/2025  | 8148259 | 8123381 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-K050 Class A2, 3.334% 8/25/2025 (c) | 12706738 | 12655077 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-K051 Class A2, 3.308% 9/25/2025  | 11116044 | 11059023 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K052 Class A2, 3.151% 11/25/2025  | 15350121 | 15244209 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K053 Class A2, 2.995% 12/25/2025  | 16716518 | 16560834 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K055 Class A2, 2.673% 3/25/2026  | 2975889 | 2932026 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K056 Class A2, 2.525% 5/25/2026  | 29333483 | 28820230 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K057 Class A2, 2.57% 7/25/2026  | 8573632 | 8413141 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K058 Class A2, 2.653% 8/25/2026  | 15475000 | 15149740 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K059 Class A2, 3.12% 9/25/2026 (c) | 22200000 | 21833438 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K060 Class A2, 3.3% 10/25/2026  | 18000000 | 17718586 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K061 Class A2, 3.347% 11/25/2026  | 27690842 | 27284380 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K063 Class A2, 3.43% 1/25/2027  | 1700000 | 1675147 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K065 Class A2, 3.243% 4/25/2027  | 9000000 | 8826559 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K733 Class A2, 3.75% 8/25/2025  | 15579119 | 15521227 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K734 Class A2, 3.208% 2/25/2026  | 10672622 | 10583272 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K735 Class A2, 2.862% 5/25/2026  | 6031499 | 5943011 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2019-K736 Class A2, 2.282% 7/25/2026  | 6882741 | 6729510 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K523 Class AS, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.9007% 4/25/2029 (c)(d) | 12494416 | 12467977 |
| TOTAL UNITED STATES |  | 247540768 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $247,250,401) |  | <br> **247540768** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 34.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 34.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 34.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 34.9%  |  |  |
| Fannie Mae 2% 2/1/2052  | 1366493 | 1082513 |
| Fannie Mae 3.5% 12/1/2036  | 32131 | 30658 |
| Fannie Mae 3.5% 5/1/2036  | 24690 | 23886 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.365%, 6.999% 10/1/2035 (c)(d) | 5087 | 5189 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (c)(d) | 1171 | 1204 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 6.71% 1/1/2035 (c)(d) | 2224 | 2284 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 7.48% 7/1/2034 (c)(d) | 5944 | 6051 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.552%, 6.512% 2/1/2044 (c)(d) | 18804 | 19369 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 7.428% 6/1/2036 (c)(d) | 6460 | 6607 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.44% 3/1/2037 (c)(d) | 72831 | 75128 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.566%, 6.513% 2/1/2044 (c)(d) | 50400 | 51924 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.577%, 6.543% 4/1/2044 (c)(d) | 93097 | 96079 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.58%, 6.42% 1/1/2044 (c)(d) | 48761 | 50234 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.58%, 6.455% 4/1/2044 (c)(d) | 36295 | 37407 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.596%, 6.596% 3/1/2036 (c)(d) | 43732 | 45105 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 7.065% 9/1/2036 (c)(d) | 280 | 288 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.634%, 6.905% 11/1/2036 (c)(d) | 8514 | 8746 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.65%, 7.379% 5/1/2035 (c)(d) | 2099 | 2152 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.673%, 6.709% 3/1/2033 (c)(d) | 4393 | 4509 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.683%, 6.89% 5/1/2036 (c)(d) | 10830 | 11150 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.698%, 6.822% 7/1/2043 (c)(d) | 16708 | 17347 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 7.109% 6/1/2042 (c)(d) | 31840 | 33060 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.73%, 6.752% 3/1/2040 (c)(d) | 117077 | 121334 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.947% 7/1/2035 (c)(d) | 15311 | 15740 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.5% 8/1/2041 (c)(d) | 3913 | 4063 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.772%, 6.555% 2/1/2037 (c)(d) | 21487 | 22151 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.635% 1/1/2042 (c)(d) | 122091 | 127082 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 7.622% 7/1/2041 (c)(d) | 7799 | 8100 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.807%, 7.12% 12/1/2040 (c)(d) | 52799 | 54961 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.81%, 6.685% 12/1/2039 (c)(d) | 799 | 829 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.713% 2/1/2042 (c)(d) | 53194 | 55415 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.318% 9/1/2041 (c)(d) | 14427 | 15019 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.631% 7/1/2041 (c)(d) | 17399 | 18088 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 6.726% 2/1/2035 (c)(d) | 3117 | 3215 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 7.004% 10/1/2041 (c)(d) | 4584 | 4720 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.854%, 6.753% 4/1/2036 (c)(d) | 16638 | 17203 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.89%, 6.54% 8/1/2035 (c)(d) | 9619 | 9858 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.954%, 7.704% 7/1/2037 (c)(d) | 3462 | 3593 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.147%, 6.98% 7/1/2036 (c)(d) | 1641 | 1668 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (c)(d) | 9834 | 10060 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.913% 6/1/2036 (c)(d) | 1701 | 1739 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.279%, 7.241% 10/1/2033 (c)(d) | 13717 | 14003 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 7.296% 7/1/2034 (c)(d) | 1558 | 1590 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 1607721 | 1326425 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 1571715 | 1298891 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 1599563 | 1320780 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2040  | 343180 | 293078 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 18077 | 15253 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 516359 | 410504 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 3644792 | 3074944 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 363450 | 286102 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 15221 | 12953 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 568650 | 553818 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 16220 | 13772 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 795373 | 628590 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 1028772 | 873564 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 4970949 | 3891300 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 407456 | 347910 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 720205 | 568959 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 11986521 | 10929151 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2035  | 9364147 | 8538105 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 299650 | 255631 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 17786 | 15065 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 386520 | 304383 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 240161 | 189876 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 3292285 | 2583401 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 138714 | 109106 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 73884 | 58345 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 1200691 | 1148987 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 94339 | 82197 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 28001 | 24319 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 8003 | 6966 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2043  | 7376 | 6418 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 34735 | 33284 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 10573 | 10127 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1898771 | 1666262 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 628521 | 551582 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 569899 | 500317 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1665374 | 1370539 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1291250 | 1062650 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 115157 | 107653 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 80057 | 74666 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2042  | 1422359 | 1248520 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2043  | 54385 | 47295 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2035  | 1264799 | 1179620 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2043  | 5712 | 4964 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 669692 | 609188 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 596597 | 521756 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 42305 | 36771 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 11109 | 9639 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2043  | 6998 | 6098 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 35160 | 33766 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 350219 | 306409 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 139251 | 121904 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 2670175 | 2214141 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2050  | 5485284 | 4546749 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 84460 | 81005 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 47855 | 45937 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2028  | 1589 | 1563 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 1072394 | 1020580 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 392429 | 373468 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 140545 | 134106 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2037  | 148839 | 139307 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2040  | 6766 | 6149 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 140424 | 126654 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 29297 | 26383 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 19367 | 17551 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 16583 | 14933 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 15254 | 13769 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 14417 | 12996 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 12504 | 11239 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 10498 | 9440 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 7952 | 7219 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 6984 | 6348 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 13406 | 12162 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 61371 | 52560 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2040  | 3248642 | 2955319 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 12560 | 11312 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 54955 | 48259 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 9443053 | 8122705 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2036  | 102214 | 95860 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2036  | 17063 | 16002 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2039  | 51057 | 46479 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 69867 | 63077 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 10360 | 9335 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 8799 | 7954 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 6279 | 5637 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 5128223 | 4407978 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 2195247 | 1891047 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 136522 | 132284 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 219787 | 209168 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 156329 | 149167 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 62520 | 59558 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 37832 | 34199 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 16229 | 14631 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 9319 | 8402 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 7624 | 6877 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 7608 | 6852 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 7142 | 6442 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6685 | 6002 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6500 | 5866 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6383 | 5711 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 955383 | 822993 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 41648 | 35786 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2037  | 141456 | 131955 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2037  | 79792 | 74433 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 101708 | 91534 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 78026 | 70253 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 58451 | 52711 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 46597 | 41992 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 37387 | 33662 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 22851 | 20632 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 19397 | 17461 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 17653 | 15849 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 11087 | 10032 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 9284 | 8375 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 9201 | 8225 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 6399 | 5745 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 632624 | 547827 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 3653166 | 3137805 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 2467098 | 2119059 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2037  | 198302 | 184983 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2037  | 191185 | 178344 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 31912 | 28787 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 8411 | 7580 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 6650 | 5985 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 21610 | 19309 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 8606 | 7606 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 745249 | 641629 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 172468 | 149350 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 20581 | 18545 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 93926 | 82892 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 441320 | 382165 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 80763 | 69534 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 103559 | 93106 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 85525 | 77025 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 12063 | 10856 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 7699 | 6927 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 7055 | 6342 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 6374 | 5730 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 13122 | 11643 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 161007 | 139425 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2044  | 81448 | 73314 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2040  | 110222 | 100166 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 19228 | 17387 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 5467 | 4924 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 168850 | 151449 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 832392 | 733303 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 5044317 | 4363442 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 1056747 | 914109 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 48382 | 43437 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 24209 | 21715 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 29435 | 25949 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 24140 | 21281 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 8861 | 7812 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2046  | 363549 | 319476 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 1315485 | 1135045 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2041  | 1222958 | 1100688 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 65698 | 59184 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 11627 | 10438 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 8553 | 7668 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 862314 | 757238 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2046  | 301301 | 264775 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 43384 | 37474 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 8/1/2042  | 13942 | 12791 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 9/1/2042  | 9082 | 8358 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2042  | 17119 | 15870 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 53698 | 49675 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 8403 | 7787 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 441524 | 400321 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 137691 | 122948 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 133963 | 123977 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 44348 | 41027 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 30566 | 28487 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 11869 | 10981 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 7133 | 6606 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 3375 | 3141 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 57412 | 52162 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 14263 | 13179 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 8358 | 7717 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 7834 | 7220 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 8609 | 7868 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 987553 | 880889 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 81343 | 72634 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 10330 | 9575 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 3753339 | 3465923 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 144764 | 131254 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 66531 | 60322 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 119788 | 108160 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2051  | 98902 | 88313 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 25931 | 23894 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 5544 | 5129 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2051  | 3302159 | 2952720 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052 (i) | 27564752 | 24525499 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 27186 | 25041 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 26361 | 24343 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 4766486 | 4256132 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 9511 | 8808 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 61130 | 56385 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 46362 | 42715 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 10052 | 9273 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 6162 | 5689 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 101188 | 92030 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2051  | 951253 | 849995 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2038  | 15843 | 14974 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 82675 | 76200 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 52092 | 48028 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 1952 | 1790 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 410836 | 373652 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2050  | 58165 | 51901 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 404788 | 361699 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 66153 | 61256 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 53186 | 49044 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2048  | 566538 | 513314 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 4655 | 4305 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 6143 | 5646 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 232135 | 210690 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 143963 | 130664 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 46198 | 42801 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 17832 | 16556 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 7616 | 7035 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 65255 | 60493 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 10388 | 9605 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 70889 | 64340 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 31268 | 28918 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 27545 | 25506 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 15588 | 14432 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 11540 | 10666 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 8764 | 8154 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 7729 | 7177 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 4935 | 4562 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 2455 | 2282 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 495468 | 450624 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 47822 | 42732 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 97189 | 92733 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 9800 | 9335 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 3800 | 3622 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 3415 | 3261 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 145383 | 138653 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 10610 | 10096 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 21559 | 20501 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  | 10144 | 9436 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 25437 | 24307 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 12697 | 12069 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 5720 | 5479 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 4602 | 4393 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 3429 | 3277 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 125959 | 119950 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 83285 | 79296 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 4844 | 4600 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 35212 | 33498 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 13995 | 13162 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 105802 | 99304 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 149774 | 142933 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 27598 | 26392 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 18835 | 18030 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 16782 | 15984 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 15793 | 15020 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 14902 | 14204 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 14444 | 13787 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 14385 | 13746 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 12995 | 12393 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 12136 | 11535 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 11400 | 10871 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 10460 | 9950 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 9737 | 9291 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 7583 | 7222 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 7043 | 6692 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 6368 | 6097 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 6299 | 6003 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 4932 | 4687 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 4341 | 4176 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3334 | 3182 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 1325 | 1265 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 75194 | 71628 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 40989 | 39035 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 35242 | 33524 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 51842 | 48528 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2048  | 52559 | 48887 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 38182 | 36386 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 1994 | 1897 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 1051 | 993 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 14790 | 14063 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 12075 | 11504 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 2582 | 2459 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 7423 | 7061 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 10199 | 9611 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 18967 | 17743 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 80595 | 76913 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 12158 | 11592 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 4281 | 4082 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 105024 | 99824 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 6442 | 6142 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 6056 | 5744 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 2856 | 2734 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 88283 | 82585 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 25739 | 24142 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 46597 | 43429 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 143858 | 133673 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2036  | 2694 | 2602 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 14158 | 13505 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 5017 | 4785 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 4583 | 4353 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 2604 | 2482 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 1816 | 1734 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 40692 | 38640 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 5975 | 5690 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 5341 | 5082 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 3946 | 3737 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 12241 | 11515 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 160030 | 150450 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 9885 | 9260 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 50834 | 47378 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 34764 | 33068 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 25533 | 24290 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 12058 | 11472 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 6711 | 6373 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 4971 | 4718 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 3992 | 3791 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 13290 | 12574 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 11503 | 10825 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 30160 | 28195 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 147048 | 137556 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 29871 | 27737 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 157330 | 147175 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 15561 | 14846 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 26139 | 24525 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 163109 | 152784 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2043  | 2932 | 2772 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 151519 | 142306 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 792319 | 739196 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 138288 | 129362 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 83211 | 77840 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 9258 | 8755 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 2386 | 2255 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 26873 | 25156 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 25004 | 23405 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 16273 | 15233 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2047  | 366717 | 342129 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 87887 | 83834 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 16201 | 15424 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 4472 | 4259 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 2572 | 2450 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 5343 | 5083 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 2752 | 2610 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 1387 | 1328 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 651 | 620 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 176926 | 166059 |
| Fannie Mae Mortgage pass-thru certificates 4.25% 11/1/2041  | 4667 | 4506 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 1682 | 1646 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 40662 | 38957 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 5654 | 5417 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 4831 | 4623 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 2730 | 2684 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 2923 | 2875 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 118810 | 115202 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 17210 | 16499 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2025  | 988 | 985 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 4268 | 4195 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 1436 | 1413 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 12045 | 11843 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 316678 | 311242 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 9653 | 9459 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 15463 | 14993 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 2547 | 2470 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 29149 | 28637 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 5197 | 4991 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2033  | 5714 | 5660 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038  | 1862 | 1845 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 23935 | 23561 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 4704 | 4628 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 4647 | 4565 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 1208 | 1186 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2041  | 26257 | 25769 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 2239 | 2167 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 16933 | 16276 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 76083 | 73036 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 27305 | 26527 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 167959 | 165137 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 26206 | 25108 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 20697 | 19829 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 12924 | 12366 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 41023 | 40200 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 9413 | 9318 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 2355 | 2288 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2045  | 15493 | 14998 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 139510 | 137202 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 10720 | 10341 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 12109 | 11628 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 2982 | 2864 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 23735 | 22740 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 4636 | 4440 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 167197 | 165489 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 48875 | 48389 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 28664 | 28386 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 770 | 758 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 9733 | 9456 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 4479 | 4351 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 8919 | 8634 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 16440 | 15787 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 12284 | 11785 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 9346 | 8975 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 3975 | 3817 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 3333 | 3201 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 16301 | 15612 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 12814 | 12305 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 21898 | 21459 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 44466 | 43992 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 40504 | 39350 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 190750 | 183169 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 6410 | 6155 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 3418 | 3277 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 2402 | 2310 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2026  | 327 | 326 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 454 | 450 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 261 | 259 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 31931 | 31435 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 5047 | 4970 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2045  | 6309 | 6107 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 153283 | 147144 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 27121 | 26009 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 7552 | 7483 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 3151 | 3121 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 2907 | 2880 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 2229 | 2208 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 2077 | 2056 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 1305 | 1293 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 523 | 518 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 485 | 480 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 359 | 356 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2037  | 1080 | 1072 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 57859 | 56771 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 7313 | 7244 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 3407 | 3375 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 3268 | 3237 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 2682 | 2657 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 1494 | 1480 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 1169 | 1157 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 16089 | 15912 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 8256 | 8173 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 67610 | 66467 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 8744 | 8591 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 29065 | 27874 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 6093 | 5842 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2029  | 460 | 462 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 32530 | 32694 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 5116540 | 5012008 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 46700 | 46953 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 5353218 | 5258907 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 2125653 | 2082226 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 1321029 | 1293628 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 1412314 | 1383019 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 150178 | 150993 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 25415 | 25558 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 219478 | 217103 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 1519 | 1526 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 3045 | 3043 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2052  | 2722670 | 2677255 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 125755 | 126433 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 54076 | 54367 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 3719 | 3738 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2052  | 984492 | 968071 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 7857 | 7898 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 53191 | 53493 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 589 | 592 |
| Fannie Mae Mortgage pass-thru certificates 5.297% 8/1/2041 (c) | 40207 | 40344 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 864380 | 858150 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2025  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.475%, 6.155% 10/1/2033 (c)(d) | 12446 | 12617 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.505%, 6.38% 1/1/2035 (c)(d) | 362 | 368 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.51%, 6.316% 2/1/2033 (c)(d) | 10445 | 10585 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.369% 12/1/2034 (c)(d) | 13029 | 13241 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.41% 3/1/2035 (c)(d) | 10973 | 11158 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.184% 9/1/2033 (c)(d) | 19141 | 19432 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.195% 10/1/2033 (c)(d) | 5745 | 5833 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.369% 7/1/2035 (c)(d) | 6681 | 6803 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.96%, 6.585% 9/1/2035 (c)(d) | 317 | 326 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2034  | 85686 | 88941 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2035  | 174159 | 181691 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 652 | 681 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 138 | 144 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 13128 | 13755 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 12249 | 12851 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 9469 | 9849 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 4796 | 4991 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 771 | 806 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 12123 | 12685 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2034  | 110199 | 114658 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 22213 | 23090 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 4046 | 4215 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 1627 | 1692 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 308 | 323 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 1124104 | 1142706 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 4745 | 4976 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2034  | 6364 | 6603 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2034  | 6159 | 6391 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 6854 | 7119 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 4400 | 4617 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2039  | 403 | 423 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 574604 | 581570 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2035  | 221101 | 229956 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 292 | 305 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2037  | 750 | 784 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 15293 | 16034 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 2918373 | 2983165 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 2523 | 2624 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 354049 | 368478 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 7586 | 7923 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 6175999 | 6304913 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 4507842 | 4596301 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1915648 | 1938872 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 2102 | 2194 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 963 | 1004 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 708 | 738 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 2061 | 2163 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 28055 | 29427 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 2235515 | 2282178 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2034  | 146594 | 152331 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 1262 | 1314 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 594 | 619 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 345 | 360 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 301 | 314 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 34266 | 35569 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2029  | 677 | 692 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 6968 | 7269 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 1110 | 1163 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 260133 | 265238 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 8290 | 8615 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 84120 | 87632 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 925059 | 950736 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 619527 | 636868 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 23430 | 24346 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 4656 | 4836 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 9694 | 10115 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 509 | 537 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 71256 | 74199 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 56015 | 58304 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 13339 | 13895 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 4007749 | 4155625 |
| Fannie Mae Mortgage pass-thru certificates 6.763% 2/1/2039 (c) | 14824 | 15311 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 105 | 106 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 14 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 175 | 182 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2025  | 1 | 0 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 83 | 83 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 11 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 64 | 66 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 22 | 23 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 17 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 40 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2025  | 3 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2026  | 9 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 12 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 18 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 11 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2029  | 136 | 142 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 59 | 59 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 184 | 192 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 62 | 65 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 36 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 26 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 145 | 152 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 74 | 77 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2031  | 96 | 100 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 4 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 841 | 884 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 38 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 73 | 77 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 3 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 3 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 524 | 547 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 1225 | 1278 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 80 | 84 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 229 | 239 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2029  | 150 | 157 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 688 | 727 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 322 | 335 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 145 | 151 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 139 | 147 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2026  | 15 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 239 | 249 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 109 | 113 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 108 | 114 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 100 | 105 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2025  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 149 | 150 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 101 | 105 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 77 | 80 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 26 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 1393 | 1471 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2025  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 148 | 149 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 1 | 0 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 18 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 71 | 75 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 42 | 43 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2030  | 198 | 206 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 328 | 343 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 34 | 35 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 28 | 29 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 90 | 91 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 1712 | 1758 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 98 | 100 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 48 | 49 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 35 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 34 | 35 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 3 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 234 | 245 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 32 | 33 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2026  | 1 | 0 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 44 | 45 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 30 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 27 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 5 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 30 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 78 | 82 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 58 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029  | 26 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2030  | 128 | 135 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 38 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 102 | 106 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2026  | 39 | 39 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 134 | 136 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 24 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 42 | 43 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2026  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2028  | 29 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 106 | 108 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 9 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 13 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 34 | 34 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 46 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 64 | 66 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 22 | 22 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 19 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 19 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 15 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 1290 | 1322 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 32 | 33 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2026  | 19 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 92 | 95 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 956065 | 789414 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 18423 | 15546 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 739677 | 623826 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 6563475 | 5142045 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 5916575 | 4698106 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 970027 | 828479 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 1956506 | 1531569 |
| Freddie Mac Gold Pool 2% 4/1/2041  | 17105 | 14504 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 3239530 | 2546055 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 152951 | 120830 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 9796438 | 7693224 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 1250621 | 988767 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 17656 | 14928 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 91857 | 72538 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 2258969 | 1857633 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 46899 | 45031 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 1006803 | 963843 |
| Freddie Mac Gold Pool 2.5% 11/1/2032  | 10173 | 9703 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 11016687 | 9676857 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 1415603 | 1173392 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1097596 | 903279 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 2098211 | 1841857 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 1642266 | 1364353 |
| Freddie Mac Gold Pool 2.5% 3/1/2033  | 68196 | 64985 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 29578 | 28145 |
| Freddie Mac Gold Pool 2.5% 5/1/2033  | 7899 | 7515 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 4491610 | 3969426 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 30642 | 29463 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 27747 | 26642 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 48102 | 46208 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 1450352 | 1202196 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 172864 | 143827 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1839889 | 1521633 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 81174 | 77905 |
| Freddie Mac Gold Pool 2.5% 8/1/2032  | 7134 | 6813 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 11829 | 10582 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 10145 | 9156 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 58655 | 50234 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 4897 | 4401 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 692441 | 594973 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 7806 | 7543 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 181127 | 163654 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 16080 | 14526 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 5826 | 5270 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 380679 | 334730 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 35851 | 31113 |
| Freddie Mac Gold Pool 3% 12/1/2051  | 431901 | 370567 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 52446 | 48983 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 12498 | 11343 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 8775 | 7911 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 5847 | 5283 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 959256 | 830676 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 7708 | 6959 |
| Freddie Mac Gold Pool 3% 3/1/2048  | 6358 | 5533 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 1877789 | 1612591 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 71639 | 68614 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 18795 | 16580 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 15630 | 13787 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 327593 | 283682 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 8132 | 7215 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 290306 | 256082 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 45177 | 39851 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 26377 | 25619 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 9597 | 9321 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 5612 | 5444 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 3816 | 3712 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 286180 | 252442 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 157320 | 136528 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 7065 | 6839 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 18524 | 16375 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 7435 | 6614 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 8078 | 7822 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 5522 | 5344 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 5018 | 4436 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 731747 | 628747 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 35477 | 32242 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 11924 | 10870 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 13435 | 12302 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 8261 | 7654 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 28091 | 25705 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 4854 | 4425 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 53473 | 48664 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 17596 | 15926 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 46261 | 44982 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 27355 | 25031 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 65976 | 59898 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 74763 | 67572 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 494846 | 481335 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 37245 | 34584 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 15172 | 14177 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 4443 | 4099 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 227949 | 206023 |
| Freddie Mac Gold Pool 3.5% 2/1/2048  | 40349 | 36468 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 299547 | 292605 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 99640 | 91332 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 25255 | 23190 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 19002 | 17456 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 8251 | 7599 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 365412 | 333690 |
| Freddie Mac Gold Pool 3.5% 3/1/2048  | 90177 | 81503 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 33309 | 31081 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 327766 | 305092 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 45625 | 42190 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 19864 | 18393 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 83174 | 75590 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 70139 | 63875 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 7665 | 6981 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 54605 | 52948 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 68659 | 64122 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 11404 | 10638 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 162953 | 149128 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 11106 | 10163 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 6786 | 6186 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 3074 | 2803 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 716657 | 654442 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 212932 | 207862 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 59612 | 54586 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 345643 | 315096 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 196290 | 178574 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 31414 | 28874 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 19088 | 17431 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 864141 | 843581 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 8575 | 7852 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 997503 | 923841 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 9146 | 8312 |
| Freddie Mac Gold Pool 3.5% 7/1/2051  | 2333663 | 2083795 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 91295 | 88480 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 38963 | 35678 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 29352 | 26703 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 1263458 | 1168576 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 875106 | 797768 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 93908 | 85257 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 157474 | 152711 |
| Freddie Mac Gold Pool 4% 1/1/2039  | 16932 | 16171 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 12021 | 11487 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 6030 | 5784 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 3504 | 3319 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 8776 | 8288 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 94733 | 90273 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 11349 | 10823 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 8815 | 8411 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 4537 | 4313 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 2699 | 2594 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 1840 | 1743 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 23188 | 21955 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 10542 | 9957 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 15316 | 14435 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 5822 | 5457 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 16072 | 15297 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 3806 | 3646 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 198766 | 189593 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 176840 | 168381 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 19436 | 18478 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 16671 | 15815 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 10465 | 9947 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 6890 | 6529 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 709 | 688 |
| Freddie Mac Gold Pool 4% 11/1/2047  | 117633 | 109889 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 2944 | 2821 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 8807 | 8355 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 4780 | 4562 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 192935 | 180234 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 31314 | 29933 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 1769 | 1686 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 43268 | 41154 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 6642 | 6339 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 15673 | 14861 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 11932 | 11305 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 10020 | 9495 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 5136 | 4861 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 9341 | 8840 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 5617 | 5299 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 133152 | 125880 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 48821 | 46147 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 126918 | 118443 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 10970 | 10268 |
| Freddie Mac Gold Pool 4% 2/1/2050  | 29146 | 27028 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 8100 | 7729 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 7907 | 7519 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 6222 | 5928 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 3155 | 2987 |
| Freddie Mac Gold Pool 4% 3/1/2044  | 12495 | 11802 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 107565 | 102290 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 83184 | 79233 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 3605 | 3419 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 3326 | 3185 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 2875 | 2730 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 2637 | 2523 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 159986 | 152048 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 8343 | 7926 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 46290 | 43416 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 43338 | 40444 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 36235 | 33781 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 19560 | 18236 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 7833 | 7303 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 2140 | 1995 |
| Freddie Mac Gold Pool 4% 5/1/2038  | 215375 | 206371 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 13901 | 13267 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 10185 | 9643 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 3825 | 3618 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 64697 | 61696 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 16193 | 15232 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 265338 | 248202 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 8622 | 8262 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 6395 | 6128 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 4063 | 3868 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 9423 | 8988 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 10719 | 10094 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 741237 | 694293 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 52514 | 49286 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 166887 | 158453 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 21399 | 20259 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 19371 | 18393 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 9205 | 8738 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 8657 | 8184 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 6944 | 6567 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 5274 | 4985 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 2307 | 2181 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 13074 | 12479 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 34218 | 32222 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 48755 | 46716 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 34651 | 33203 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 10200 | 9654 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 7995 | 7620 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 6894 | 6570 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 2508 | 2384 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 11671 | 11133 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 4263 | 4066 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 3875 | 3688 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 68190 | 64863 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 12278 | 11737 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 16263 | 15418 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 14572 | 13806 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 14117 | 13390 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 12238 | 11578 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 11928 | 11274 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 8369 | 7933 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 5037 | 4757 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 2232 | 2125 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 10771 | 10182 |
| Freddie Mac Gold Pool 4.5% 1/1/2040  | 4064 | 4006 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 4167 | 4104 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 2452 | 2418 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 119559 | 117680 |
| Freddie Mac Gold Pool 4.5% 1/1/2045  | 4226 | 4096 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 8424 | 8108 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 23753 | 23410 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 5443 | 5362 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 2232 | 2200 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 11037 | 10864 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 6726 | 6610 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 29180 | 28667 |
| Freddie Mac Gold Pool 4.5% 10/1/2043  | 6154 | 6017 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 156815 | 151220 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 23011 | 22046 |
| Freddie Mac Gold Pool 4.5% 11/1/2031  | 1054 | 1047 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 2677 | 2635 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 32193 | 31256 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 4015 | 3946 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 3463 | 3403 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 7328 | 7115 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 21758 | 21451 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 11417 | 10988 |
| Freddie Mac Gold Pool 4.5% 2/1/2037  | 320 | 316 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 17665 | 17395 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 4608 | 4535 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 4569 | 4489 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 4560 | 4478 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 4294 | 4227 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 3355 | 3305 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 2819 | 2778 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 1954 | 1920 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 2997 | 2935 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 41174 | 39589 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 45151 | 44437 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 19019 | 18723 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 5177 | 5097 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 4408 | 4339 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 3131 | 3080 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 1052 | 1036 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 2805 | 2729 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 57876 | 56951 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 6187 | 6074 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 6072 | 5968 |
| Freddie Mac Gold Pool 4.5% 5/1/2035  | 1920 | 1901 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 15536 | 15325 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 702 | 692 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 6589 | 6475 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 6448 | 6331 |
| Freddie Mac Gold Pool 4.5% 5/1/2045  | 36380 | 35263 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 103964 | 99963 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 77624 | 74636 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 33628 | 32334 |
| Freddie Mac Gold Pool 4.5% 6/1/2025  | 5 | 5 |
| Freddie Mac Gold Pool 4.5% 6/1/2038  | 2397 | 2373 |
| Freddie Mac Gold Pool 4.5% 6/1/2040  | 1472 | 1450 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 6930 | 6828 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 5026 | 4937 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 4310 | 4247 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 2297 | 2258 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 2060 | 2034 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 148689 | 142966 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 41494 | 39961 |
| Freddie Mac Gold Pool 4.5% 7/1/2025  | 82 | 81 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 8346 | 8225 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 3649 | 3589 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 3294 | 3243 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 2718 | 2675 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 75428 | 72878 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 62390 | 59969 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 32805 | 31584 |
| Freddie Mac Gold Pool 4.5% 8/1/2033  | 971 | 963 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 298 | 295 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 2922 | 2877 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 2055 | 2022 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 20847 | 20513 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 3922 | 3860 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2920 | 2868 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2199 | 2166 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 13233 | 13071 |
| Freddie Mac Gold Pool 4.5% 9/1/2040  | 5537 | 5452 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 51182 | 50427 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 29008 | 28549 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 21777 | 21425 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 22525 | 22678 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 1018 | 1025 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 9496 | 9558 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 2540 | 2557 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 1796 | 1808 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 4325747 | 4237371 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 1441 | 1452 |
| Freddie Mac Gold Pool 5% 11/1/2040  | 1561 | 1571 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 3244042 | 3186889 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 1917 | 1930 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 985 | 991 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 369 | 372 |
| Freddie Mac Gold Pool 5% 12/1/2035  | 4007 | 4036 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 7656816 | 7497993 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1169044 | 1144795 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1088621 | 1066040 |
| Freddie Mac Gold Pool 5% 2/1/2035  | 2338 | 2352 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 2058 | 2071 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 2926 | 2943 |
| Freddie Mac Gold Pool 5% 4/1/2034  | 827 | 833 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 5862 | 5902 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 2068 | 2083 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 1517 | 1528 |
| Freddie Mac Gold Pool 5% 4/1/2036  | 14821 | 14927 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 12925 | 13008 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 1001 | 1007 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 799 | 804 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 502 | 505 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 5726 | 5767 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 203 | 205 |
| Freddie Mac Gold Pool 5% 5/1/2040  | 2092 | 2106 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 398575 | 391927 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 1072 | 1079 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 477 | 480 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 8270 | 8323 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 6604 | 6647 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 207916 | 209242 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 3709 | 3726 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 1240381 | 1219691 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 37382 | 37643 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 5205 | 5242 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 1542 | 1553 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 3772 | 3794 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 3073 | 3087 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 1682 | 1692 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 1151 | 1159 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 679 | 684 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 205 | 206 |
| Freddie Mac Gold Pool 5% 8/1/2034  | 9069 | 9131 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 746 | 751 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 235 | 237 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 7145 | 7192 |
| Freddie Mac Gold Pool 5% 9/1/2033  | 2179 | 2194 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 4763 | 4798 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 244 | 245 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 26 | 26 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (g)(h) | 12628889 | 12664154 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 515 | 532 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 326 | 337 |
| Freddie Mac Gold Pool 6% 10/1/2032  | 274 | 284 |
| Freddie Mac Gold Pool 6% 11/1/2029  | 29 | 30 |
| Freddie Mac Gold Pool 6% 11/1/2031  | 348 | 360 |
| Freddie Mac Gold Pool 6% 11/1/2032  | 2846 | 2942 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 171749 | 175012 |
| Freddie Mac Gold Pool 6% 12/1/2032  | 144 | 149 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 7481 | 7848 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 1935 | 2030 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 1491676 | 1522346 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 1262481 | 1293173 |
| Freddie Mac Gold Pool 6% 4/1/2031  | 266 | 274 |
| Freddie Mac Gold Pool 6% 4/1/2033  | 943 | 976 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 56 | 57 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 6719 | 6920 |
| Freddie Mac Gold Pool 6% 6/1/2031  | 90 | 92 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 41 | 41 |
| Freddie Mac Gold Pool 6% 7/1/2032  | 683 | 705 |
| Freddie Mac Gold Pool 6% 7/1/2033  | 894 | 927 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 580 | 608 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 5052021 | 5175552 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 6515 | 6824 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 5188 | 5376 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 3406 | 3545 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 1962 | 2047 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 11384364 | 11797303 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 11196216 | 11609328 |
| Freddie Mac Gold Pool 6.5% 3/1/2036  | 20593 | 21425 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 202 | 210 |
| Freddie Mac Gold Pool 6.5% 7/1/2032  | 52 | 54 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 788 | 820 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 532 | 554 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 502 | 523 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 25268 | 26822 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 822889 | 855115 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 792979 | 821743 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 1040 | 1094 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 1685 | 1774 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 1510 | 1597 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 168 | 169 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 666 | 696 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 290 | 306 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 2807 | 2928 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 239 | 241 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 291 | 293 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 4351 | 4588 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 8 | 8 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 24 | 25 |
| Freddie Mac Gold Pool 8% 2/1/2030  | 10 | 10 |
| Freddie Mac Gold Pool 8% 7/1/2030  | 73 | 76 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 171 | 176 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 3 | 3 |
| Freddie Mac Gold Pool 8.5% 8/1/2026  | 5 | 5 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 76 | 78 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 5 | 4 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.325%, 6.133% 1/1/2036 (c)(d) | 5188 | 5268 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 6.381% 3/1/2036 (c)(d) | 3584 | 3646 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 6.5% 3/1/2036 (c)(d) | 2728 | 2797 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.665% 7/1/2036 (c)(d) | 17528 | 17992 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.61% 12/1/2040 (c)(d) | 25709 | 26636 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.3% 9/1/2041 (c)(d) | 163566 | 169436 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.567% 7/1/2041 (c)(d) | 6420 | 6644 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (c)(d) | 1883 | 1946 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 10/1/2041 (c)(d) | 289306 | 300885 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (c)(d) | 2757 | 2871 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 7.601% 9/1/2041 (c)(d) | 21151 | 21964 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 7.125% 5/1/2041 (c)(d) | 39319 | 40928 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 7.308% 5/1/2041 (c)(d) | 26706 | 27732 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 7.572% 6/1/2041 (c)(d) | 38112 | 39574 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 7.785% 6/1/2041 (c)(d) | 10872 | 11283 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.927%, 7.283% 10/1/2042 (c)(d) | 77380 | 80218 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.01%, 7.009% 4/1/2038 (c)(d) | 1531 | 1595 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 7.658% 3/1/2033 (c)(d) | 1104 | 1127 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 7.905% 7/1/2036 (c)(d) | 66917 | 69065 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.2%, 6.825% 12/1/2036 (c)(d) | 2252 | 2346 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.681% 6/1/2033 (c)(d) | 19958 | 20218 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.23%, 6.48% 4/1/2034 (c)(d) | 6665 | 6799 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.247%, 7.038% 6/1/2033 (c)(d) | 4997 | 5071 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 7.219% 3/1/2035 (c)(d) | 8570 | 8738 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.548%, 7.588% 7/1/2035 (c)(d) | 114877 | 117542 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.125%, 6% 8/1/2037 (c)(d) | 1259 | 1263 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.29% 1/1/2037 (c)(d) | 4291 | 4371 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.29% 10/1/2036 (c)(d) | 12734 | 12953 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.54% 7/1/2035 (c)(d) | 3093 | 3147 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.995%, 6.662% 10/1/2035 (c)(d) | 15262 | 15604 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.01%, 6.635% 5/1/2037 (c)(d) | 3013 | 3096 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.635% 6/1/2037 (c)(d) | 6366 | 6543 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.281%, 7.906% 10/1/2035 (c)(d) | 1489 | 1553 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 3478667 | 3545844 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 3458365 | 3530552 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 2957223 | 3015253 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 3022301 | 3085386 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 2676457 | 2728978 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 398145 | 405958 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 16735359 | 13906425 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 4380317 | 3639872 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 5175285 | 4300459 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 4314971 | 3585572 |
| Ginnie Mae I Pool 3% 12/15/2042  | 42455 | 38103 |
| Ginnie Mae I Pool 3% 12/20/2042  | 51929 | 47101 |
| Ginnie Mae I Pool 3% 2/15/2045  | 24629 | 21904 |
| Ginnie Mae I Pool 3% 2/15/2045  | 21534 | 19114 |
| Ginnie Mae I Pool 3% 2/20/2050  | 172586 | 150328 |
| Ginnie Mae I Pool 3% 3/15/2045  | 35187 | 31245 |
| Ginnie Mae I Pool 3% 3/20/2043  | 34470 | 31270 |
| Ginnie Mae I Pool 3% 3/20/2043  | 14256 | 12943 |
| Ginnie Mae I Pool 3% 4/15/2043  | 5591 | 4999 |
| Ginnie Mae I Pool 3% 4/15/2043  | 5093 | 4577 |
| Ginnie Mae I Pool 3% 4/15/2045  | 14190 | 12595 |
| Ginnie Mae I Pool 3% 5/15/2042  | 6630 | 5992 |
| Ginnie Mae I Pool 3% 5/15/2043  | 3451 | 3104 |
| Ginnie Mae I Pool 3% 6/15/2043  | 5689 | 5126 |
| Ginnie Mae I Pool 3% 6/15/2043  | 5422 | 4844 |
| Ginnie Mae I Pool 3% 6/15/2043  | 3255 | 2948 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 18267 | 16901 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 16323 | 15128 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 20309 | 18812 |
| Ginnie Mae I Pool 3.5% 11/15/2040  | 2551 | 2379 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 47434 | 43963 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 18056 | 16750 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 16225 | 15033 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 10068 | 9376 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 19868 | 17719 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 9050 | 8043 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 7021 | 6279 |
| Ginnie Mae I Pool 3.5% 12/20/2049  | 2096 | 1862 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 19688 | 18302 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 15934 | 14755 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 14341 | 13276 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 6909 | 6422 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 90139 | 83743 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 4224 | 3916 |
| Ginnie Mae I Pool 3.5% 2/15/2044  | 13420 | 12341 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 28603 | 26561 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 4405 | 4098 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 1917 | 1782 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 12957 | 12028 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 77884 | 72401 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 14343 | 13237 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 5670 | 5271 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 3396 | 3163 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 13942 | 12556 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 8075 | 7272 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 6155 | 5543 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 6009 | 5412 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 4898 | 4406 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 5132 | 4731 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 4944 | 4582 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 2684 | 2509 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 30192 | 27192 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 9298 | 8374 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 8853 | 7973 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 8820 | 7943 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 7765 | 6994 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 4725 | 4255 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 13537 | 12551 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 4645 | 4308 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 1304 | 1209 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 2738 | 2530 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 26243 | 24237 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 268365 | 241778 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 1316 | 1219 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 3867 | 3576 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 2019 | 1868 |
| Ginnie Mae I Pool 4% 1/15/2041  | 17782 | 17056 |
| Ginnie Mae I Pool 4% 1/15/2042  | 1554 | 1491 |
| Ginnie Mae I Pool 4% 1/15/2047  | 13125 | 12159 |
| Ginnie Mae I Pool 4% 1/15/2047  | 11417 | 10577 |
| Ginnie Mae I Pool 4% 1/15/2047  | 8444 | 7822 |
| Ginnie Mae I Pool 4% 1/15/2047  | 4023 | 3727 |
| Ginnie Mae I Pool 4% 10/15/2040  | 18915 | 18156 |
| Ginnie Mae I Pool 4% 10/15/2040  | 17994 | 17284 |
| Ginnie Mae I Pool 4% 10/15/2040  | 16797 | 16123 |
| Ginnie Mae I Pool 4% 10/15/2040  | 2030 | 1950 |
| Ginnie Mae I Pool 4% 10/15/2041  | 36119 | 34568 |
| Ginnie Mae I Pool 4% 10/15/2041  | 17469 | 16742 |
| Ginnie Mae I Pool 4% 10/15/2041  | 12347 | 11840 |
| Ginnie Mae I Pool 4% 10/15/2041  | 9554 | 9162 |
| Ginnie Mae I Pool 4% 10/15/2041  | 6416 | 6139 |
| Ginnie Mae I Pool 4% 10/15/2041  | 6237 | 5990 |
| Ginnie Mae I Pool 4% 10/15/2041  | 4701 | 4494 |
| Ginnie Mae I Pool 4% 10/15/2041  | 3392 | 3249 |
| Ginnie Mae I Pool 4% 10/15/2041  | 830 | 796 |
| Ginnie Mae I Pool 4% 10/20/2042  | 59758 | 57125 |
| Ginnie Mae I Pool 4% 11/15/2040  | 4676 | 4485 |
| Ginnie Mae I Pool 4% 11/15/2041  | 31664 | 30340 |
| Ginnie Mae I Pool 4% 12/15/2039  | 9630 | 9253 |
| Ginnie Mae I Pool 4% 12/15/2040  | 2230 | 2148 |
| Ginnie Mae I Pool 4% 12/15/2041  | 14384 | 13794 |
| Ginnie Mae I Pool 4% 12/15/2041  | 9836 | 9412 |
| Ginnie Mae I Pool 4% 12/15/2041  | 5910 | 5659 |
| Ginnie Mae I Pool 4% 12/15/2041  | 3753 | 3593 |
| Ginnie Mae I Pool 4% 12/15/2041  | 662 | 634 |
| Ginnie Mae I Pool 4% 12/15/2046  | 2489 | 2313 |
| Ginnie Mae I Pool 4% 2/15/2040  | 14312 | 13742 |
| Ginnie Mae I Pool 4% 2/15/2040  | 10151 | 9744 |
| Ginnie Mae I Pool 4% 2/15/2040  | 9551 | 9187 |
| Ginnie Mae I Pool 4% 2/15/2041  | 4124 | 3959 |
| Ginnie Mae I Pool 4% 2/15/2041  | 2845 | 2723 |
| Ginnie Mae I Pool 4% 2/15/2042  | 4650 | 4452 |
| Ginnie Mae I Pool 4% 2/15/2045  | 15198 | 14455 |
| Ginnie Mae I Pool 4% 3/15/2040  | 72630 | 69752 |
| Ginnie Mae I Pool 4% 3/15/2041  | 35909 | 34481 |
| Ginnie Mae I Pool 4% 3/15/2042  | 16648 | 15930 |
| Ginnie Mae I Pool 4% 3/15/2042  | 3117 | 2978 |
| Ginnie Mae I Pool 4% 3/20/2047  | 31557 | 29411 |
| Ginnie Mae I Pool 4% 4/15/2043  | 14721 | 14052 |
| Ginnie Mae I Pool 4% 4/15/2046  | 102152 | 97075 |
| Ginnie Mae I Pool 4% 4/20/2048  | 14309 | 13264 |
| Ginnie Mae I Pool 4% 4/20/2048  | 13151 | 12191 |
| Ginnie Mae I Pool 4% 5/15/2045  | 14206 | 13489 |
| Ginnie Mae I Pool 4% 5/20/2049  | 25909 | 23888 |
| Ginnie Mae I Pool 4% 6/15/2041  | 3292 | 3155 |
| Ginnie Mae I Pool 4% 6/15/2042  | 3456 | 3298 |
| Ginnie Mae I Pool 4% 6/15/2045  | 3795 | 3612 |
| Ginnie Mae I Pool 4% 7/15/2041  | 920 | 880 |
| Ginnie Mae I Pool 4% 7/15/2045  | 10350 | 9653 |
| Ginnie Mae I Pool 4% 7/15/2046  | 9589 | 8914 |
| Ginnie Mae I Pool 4% 7/15/2046  | 6144 | 5711 |
| Ginnie Mae I Pool 4% 8/15/2039  | 2670 | 2570 |
| Ginnie Mae I Pool 4% 9/15/2039  | 2817 | 2717 |
| Ginnie Mae I Pool 4% 9/15/2041  | 14603 | 13990 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 10811 | 10605 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 4101 | 4029 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 3322 | 3272 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 1508 | 1482 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 3148 | 3100 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 9139 | 8983 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 8543 | 8372 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 6275 | 6167 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 6267 | 6165 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 3843 | 3783 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 2981 | 2929 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 2908 | 2859 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 21860 | 21491 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 2799 | 2749 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 50397 | 49445 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 1356 | 1333 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 9188 | 9036 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 1781 | 1752 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 11474 | 11278 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 1262 | 1238 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 6015 | 5923 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 5359 | 5270 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 41691 | 40880 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 24509 | 24091 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 12026 | 11816 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 6164 | 6059 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5996 | 5895 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5199 | 5109 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 4948 | 4862 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 79273 | 77797 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 5244 | 5160 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 19429 | 19095 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 15894 | 15621 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 12217 | 12011 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 9718 | 9551 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 8660 | 8512 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 7805 | 7668 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 881 | 865 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 50252 | 49429 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 30532 | 30035 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 25786 | 25368 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 10575 | 10398 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 5590 | 5500 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 842 | 828 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 2815 | 2766 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 9330 | 9175 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 4357 | 4286 |
| Ginnie Mae I Pool 5% 10/15/2039  | 3553 | 3570 |
| Ginnie Mae I Pool 5% 10/15/2039  | 2671 | 2683 |
| Ginnie Mae I Pool 5% 10/15/2039  | 2129 | 2139 |
| Ginnie Mae I Pool 5% 10/15/2039  | 1367 | 1374 |
| Ginnie Mae I Pool 5% 11/15/2039  | 3257 | 3272 |
| Ginnie Mae I Pool 5% 12/15/2039  | 3213 | 3227 |
| Ginnie Mae I Pool 5% 12/15/2039  | 1869 | 1877 |
| Ginnie Mae I Pool 5% 2/15/2039  | 617 | 619 |
| Ginnie Mae I Pool 5% 3/15/2041  | 3099 | 3113 |
| Ginnie Mae I Pool 5% 4/15/2040  | 30980 | 31123 |
| Ginnie Mae I Pool 5% 4/15/2040  | 23734 | 23844 |
| Ginnie Mae I Pool 5% 4/15/2041  | 4931 | 4953 |
| Ginnie Mae I Pool 5% 4/20/2048  | 298369 | 297139 |
| Ginnie Mae I Pool 5% 5/15/2039  | 7668 | 7705 |
| Ginnie Mae I Pool 5% 5/15/2039  | 3816 | 3834 |
| Ginnie Mae I Pool 5% 6/15/2040  | 72313 | 72649 |
| Ginnie Mae I Pool 5% 6/15/2040  | 2032 | 2041 |
| Ginnie Mae I Pool 5% 6/15/2040  | 1216 | 1222 |
| Ginnie Mae I Pool 5% 6/15/2041  | 512 | 514 |
| Ginnie Mae I Pool 5% 7/15/2039  | 6857 | 6889 |
| Ginnie Mae I Pool 5% 7/15/2039  | 3267 | 3282 |
| Ginnie Mae I Pool 5% 7/15/2040  | 4478 | 4499 |
| Ginnie Mae I Pool 5% 7/15/2040  | 3292 | 3307 |
| Ginnie Mae I Pool 5% 7/15/2040  | 1764 | 1772 |
| Ginnie Mae I Pool 5% 8/15/2039  | 3084 | 3099 |
| Ginnie Mae I Pool 5% 8/15/2039  | 2523 | 2535 |
| Ginnie Mae I Pool 5% 8/15/2040  | 5817 | 5843 |
| Ginnie Mae I Pool 5% 8/15/2040  | 5048 | 5071 |
| Ginnie Mae I Pool 5% 8/15/2040  | 4855 | 4877 |
| Ginnie Mae I Pool 5% 9/15/2039  | 20315 | 20411 |
| Ginnie Mae I Pool 5% 9/15/2039  | 4316 | 4336 |
| Ginnie Mae I Pool 5% 9/15/2039  | 2802 | 2815 |
| Ginnie Mae I Pool 5% 9/15/2039  | 1181 | 1187 |
| Ginnie Mae I Pool 5% 9/15/2040  | 3544 | 3561 |
| Ginnie Mae I Pool 5% 9/15/2040  | 2076 | 2085 |
| Ginnie Mae I Pool 5% 9/15/2041  | 52971 | 53219 |
| Ginnie Mae I Pool 5.47% 8/20/2059 (c)(f) | 1211 | 1201 |
| Ginnie Mae I Pool 5.5% 1/15/2039  | 3246 | 3310 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 2527 | 2571 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 596 | 607 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 507 | 515 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 15510 | 15823 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 10959 | 11179 |
| Ginnie Mae I Pool 6% 5/15/2040  | 42692 | 44209 |
| Ginnie Mae I Pool 6% 6/15/2036  | 1055987 | 1088870 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 1655 | 1712 |
| Ginnie Mae I Pool 6.5% 11/15/2034  | 481 | 493 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 2151 | 2222 |
| Ginnie Mae I Pool 6.5% 8/15/2036  | 350 | 365 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 721 | 745 |
| Ginnie Mae I Pool 7% 1/15/2028  | 30 | 30 |
| Ginnie Mae I Pool 7% 1/15/2028  | 9 | 9 |
| Ginnie Mae I Pool 7% 1/15/2029  | 17 | 17 |
| Ginnie Mae I Pool 7% 1/15/2031  | 61 | 63 |
| Ginnie Mae I Pool 7% 1/15/2032  | 339 | 349 |
| Ginnie Mae I Pool 7% 10/15/2028  | 141 | 142 |
| Ginnie Mae I Pool 7% 12/15/2028  | 29 | 30 |
| Ginnie Mae I Pool 7% 2/15/2028  | 28 | 28 |
| Ginnie Mae I Pool 7% 2/15/2028  | 21 | 21 |
| Ginnie Mae I Pool 7% 2/15/2032  | 396 | 402 |
| Ginnie Mae I Pool 7% 3/15/2028  | 36 | 36 |
| Ginnie Mae I Pool 7% 3/15/2028  | 34 | 34 |
| Ginnie Mae I Pool 7% 3/15/2028  | 20 | 20 |
| Ginnie Mae I Pool 7% 3/15/2031  | 31 | 32 |
| Ginnie Mae I Pool 7% 3/15/2031  | 22 | 23 |
| Ginnie Mae I Pool 7% 3/15/2032  | 192 | 198 |
| Ginnie Mae I Pool 7% 4/15/2028  | 53 | 54 |
| Ginnie Mae I Pool 7% 4/15/2028  | 34 | 35 |
| Ginnie Mae I Pool 7% 4/15/2028  | 15 | 15 |
| Ginnie Mae I Pool 7% 4/15/2032  | 157 | 161 |
| Ginnie Mae I Pool 7% 4/15/2032  | 34 | 35 |
| Ginnie Mae I Pool 7% 4/20/2032  | 3598 | 3729 |
| Ginnie Mae I Pool 7% 5/15/2031  | 114 | 117 |
| Ginnie Mae I Pool 7% 5/15/2032  | 150 | 154 |
| Ginnie Mae I Pool 7% 6/15/2028  | 65 | 66 |
| Ginnie Mae I Pool 7% 6/15/2028  | 61 | 61 |
| Ginnie Mae I Pool 7% 6/15/2028  | 20 | 21 |
| Ginnie Mae I Pool 7% 6/15/2028  | 18 | 18 |
| Ginnie Mae I Pool 7% 6/15/2031  | 249 | 256 |
| Ginnie Mae I Pool 7% 6/15/2032  | 40 | 42 |
| Ginnie Mae I Pool 7% 7/15/2028  | 67 | 68 |
| Ginnie Mae I Pool 7% 7/15/2032  | 75 | 77 |
| Ginnie Mae I Pool 7% 8/15/2031  | 160 | 165 |
| Ginnie Mae I Pool 7% 8/15/2032  | 73 | 75 |
| Ginnie Mae I Pool 7% 9/15/2028  | 53 | 53 |
| Ginnie Mae I Pool 7% 9/15/2031  | 126 | 129 |
| Ginnie Mae I Pool 7% 9/15/2031  | 14 | 14 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 25 | 26 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 110 | 111 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 1022 | 1040 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 36 | 36 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 3 | 3 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 24 | 25 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 72 | 73 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 2 | 2 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 43 | 44 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 6 | 6 |
| Ginnie Mae I Pool 7.5% 7/15/2028  | 143 | 147 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 27 | 28 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 19 | 19 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 29 | 29 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 91 | 93 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 85 | 87 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 62 | 63 |
| Ginnie Mae I Pool 8% 12/15/2027  | 53 | 54 |
| Ginnie Mae I Pool 8% 12/15/2027  | 19 | 19 |
| Ginnie Mae I Pool 8% 7/15/2027  | 18 | 19 |
| Ginnie Mae I Pool 8% 8/15/2027  | 8 | 8 |
| Ginnie Mae I Pool 8% 8/15/2027  | 6 | 6 |
| Ginnie Mae I Pool 8.5% 1/15/2031  | 233 | 241 |
| Ginnie Mae I Pool 8.5% 7/15/2030  | 28 | 29 |
| Ginnie Mae I Pool 8.5% 8/15/2029  | 18 | 18 |
| Ginnie Mae II Pool 2% 1/20/2051  | 12459078 | 10014292 |
| Ginnie Mae II Pool 2% 1/20/2052  | 12795148 | 10284416 |
| Ginnie Mae II Pool 2% 10/20/2050  | 8340403 | 6703805 |
| Ginnie Mae II Pool 2% 11/20/2050  | 5442422 | 4374481 |
| Ginnie Mae II Pool 2% 12/20/2050  | 12492212 | 10040924 |
| Ginnie Mae II Pool 2% 2/20/2051  | 382555 | 307488 |
| Ginnie Mae II Pool 2% 3/20/2052  | 2738855 | 2202278 |
| Ginnie Mae II Pool 2% 4/20/2051  | 133933 | 107652 |
| Ginnie Mae II Pool 2% 6/1/2055 (j) | 23700000 | 19041210 |
| Ginnie Mae II Pool 2% 7/1/2055 (j) | 5950000 | 4779691 |
| Ginnie Mae II Pool 2% 9/20/2050  | 1984168 | 1596064 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 163956 | 137470 |
| Ginnie Mae II Pool 2.5% 6/1/2055 (j) | 14700000 | 12319101 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 5304435 | 4449218 |
| Ginnie Mae II Pool 2.5% 7/1/2055 (j) | 9375000 | 7853639 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 487535 | 408779 |
| Ginnie Mae II Pool 3% 1/20/2043  | 279725 | 253069 |
| Ginnie Mae II Pool 3% 10/20/2043  | 22621 | 20399 |
| Ginnie Mae II Pool 3% 12/20/2042  | 24538 | 22207 |
| Ginnie Mae II Pool 3% 8/20/2042  | 3882 | 3517 |
| Ginnie Mae II Pool 3.5% 1/20/2042  | 2504 | 2319 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 3769 | 3457 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 115625 | 107130 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 49827 | 46167 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 22521 | 20780 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 27761 | 25607 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 4209 | 3860 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 30201 | 27851 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 286079 | 262624 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 12031 | 10835 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 3501 | 3153 |
| Ginnie Mae II Pool 3.5% 6/20/2043  | 56406 | 51986 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 333657 | 306546 |
| Ginnie Mae II Pool 4% 1/20/2041  | 1826 | 1751 |
| Ginnie Mae II Pool 4% 1/20/2042  | 15010 | 14355 |
| Ginnie Mae II Pool 4% 1/20/2046  | 3181 | 2976 |
| Ginnie Mae II Pool 4% 10/20/2040  | 16142 | 15477 |
| Ginnie Mae II Pool 4% 10/20/2041  | 269543 | 257856 |
| Ginnie Mae II Pool 4% 10/20/2044  | 161739 | 153473 |
| Ginnie Mae II Pool 4% 11/20/2040  | 202430 | 194067 |
| Ginnie Mae II Pool 4% 11/20/2041  | 8932 | 8543 |
| Ginnie Mae II Pool 4% 11/20/2044  | 347079 | 329281 |
| Ginnie Mae II Pool 4% 12/20/2044  | 9422 | 8939 |
| Ginnie Mae II Pool 4% 12/20/2045  | 3584 | 3353 |
| Ginnie Mae II Pool 4% 2/20/2041  | 4314 | 4135 |
| Ginnie Mae II Pool 4% 3/20/2041  | 16944 | 16238 |
| Ginnie Mae II Pool 4% 3/20/2047  | 3517997 | 3278807 |
| Ginnie Mae II Pool 4% 4/20/2042  | 53812 | 51430 |
| Ginnie Mae II Pool 4% 4/20/2047  | 717760 | 668959 |
| Ginnie Mae II Pool 4% 5/20/2046  | 49321 | 46138 |
| Ginnie Mae II Pool 4% 6/20/2045  | 157271 | 149020 |
| Ginnie Mae II Pool 4% 7/20/2044  | 8772 | 8330 |
| Ginnie Mae II Pool 4% 8/20/2041  | 1874 | 1793 |
| Ginnie Mae II Pool 4% 8/20/2043  | 19831 | 18869 |
| Ginnie Mae II Pool 4% 8/20/2044  | 22496 | 21358 |
| Ginnie Mae II Pool 4% 8/20/2045  | 513754 | 481392 |
| Ginnie Mae II Pool 4% 9/20/2040  | 73120 | 70105 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 18612 | 18305 |
| Ginnie Mae II Pool 4.5% 10/20/2039  | 2710 | 2631 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 40134 | 38944 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 3948 | 3884 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 15993 | 15501 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 3967 | 3901 |
| Ginnie Mae II Pool 4.5% 12/20/2039  | 15145 | 14706 |
| Ginnie Mae II Pool 4.5% 12/20/2040  | 8315 | 8061 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 66599 | 65498 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 813 | 788 |
| Ginnie Mae II Pool 4.5% 3/20/2036  | 1375 | 1358 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 4379 | 4306 |
| Ginnie Mae II Pool 4.5% 4/20/2040  | 7160 | 6946 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 40693 | 40017 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 4638 | 4564 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 173131 | 170242 |
| Ginnie Mae II Pool 4.5% 6/1/2055 (j) | 5800000 | 5475529 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 676 | 669 |
| Ginnie Mae II Pool 4.5% 6/20/2039  | 2991 | 2906 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 6978 | 6776 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 108527 | 106701 |
| Ginnie Mae II Pool 4.5% 7/20/2039  | 657 | 648 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 7621 | 7498 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 613 | 595 |
| Ginnie Mae II Pool 4.5% 8/20/2040  | 1016 | 1000 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 41040 | 40371 |
| Ginnie Mae II Pool 5% 9/20/2033  | 30922 | 31096 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 892646 | 887016 |
| Ginnie Mae II Pool 5.5% 6/1/2055 (j) | 15600000 | 15493009 |
| Ginnie Mae II Pool 5.5% 7/1/2055 (j) | 15600000 | 15478384 |
| Ginnie Mae II Pool 6% 1/20/2055  | 493844 | 499018 |
| Ginnie Mae II Pool 6% 11/20/2031  | 863 | 885 |
| Ginnie Mae II Pool 6% 12/20/2054  | 985465 | 996714 |
| Ginnie Mae II Pool 6% 5/20/2032  | 4066 | 4174 |
| Ginnie Mae II Pool 6% 6/1/2055 (j) | 12400000 | 12520439 |
| Ginnie Mae II Pool 6% 7/1/2055 (j) | 12400000 | 12501547 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 153 | 157 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 193 | 198 |
| Ginnie Mae II Pool 7% 2/20/2032  | 1090 | 1131 |
| Ginnie Mae II Pool 7% 3/20/2032  | 548 | 569 |
| Uniform Mortgage Backed Securities 2% 6/1/2055 (j) | 19200000 | 14924248 |
| Uniform Mortgage Backed Securities 2% 7/1/2055 (j) | 900000 | 699961 |
| Uniform Mortgage Backed Securities 5% 6/1/2055 (j) | 2100000 | 2033308 |
| Uniform Mortgage Backed Securities 6% 6/1/2055 (j) | 42600000 | 43027666 |
| Uniform Mortgage Backed Securities 6% 7/1/2055 (j) | 10000000 | 10087501 |
| TOTAL UNITED STATES |  | 614691511 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $633,731,115) |  | <br> **614691511** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.3%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.3%** | &nbsp;&nbsp;**U.S. Government Agency Obligations - 0.3%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.3%  |  |  |
| Utilities - 0.3% |  |  |
| Independent Power and Renewable Electricity Producers - 0.3% |  |  |
| Tennessee Valley Authority 5.25% 9/15/2039  | 2235000 | 2302232 |
| Tennessee Valley Authority 5.375% 4/1/2056  | 2737000 | 2667761 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $5,052,880) |  | <br> **4969993** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 48.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 48.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 48.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 48.4%** |
|  | Yield (%) (k) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 2% 8/15/2051  | 1.96 to 2.08 | 33422000 | 18778986 |
| US Treasury Bonds 2.375% 2/15/2042  | 3.19 | 353100 | 251213 |
| US Treasury Bonds 2.5% 2/15/2045  | 3.00 | 6150700 | 4231970 |
| US Treasury Bonds 2.875% 5/15/2049  | 2.57 to 2.59 | 4458100 | 3126591 |
| US Treasury Bonds 3% 2/15/2049  | 2.99 to 3.01 | 95773600 | 68971957 |
| US Treasury Bonds 3.625% 2/15/2053  | 3.81 to 3.85 | 73039000 | 58331342 |
| US Treasury Bonds 4.125% 8/15/2044  | 4.66 to 4.73 | 17670000 | 15878842 |
| US Treasury Bonds 4.375% 8/15/2043  | 4.91 to 5.27 | 85314000 | 79795251 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.59 to 4.84 | 30840000 | 29620856 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.59 to 2.63 | 4418729 | 4204208 |
| US Treasury Notes 1.125% 8/31/2028  | 1.14 to 1.33 | 94478000 | 86598683 |
| US Treasury Notes 2.5% 3/31/2027  | 2.69 | 19670000 | 19176713 |
| US Treasury Notes 2.625% 5/31/2027  | 2.82 to 2.92 | 45180000 | 44068148 |
| US Treasury Notes 2.625% 7/31/2029  | 2.83 | 25679000 | 24408090 |
| US Treasury Notes 2.75% 4/30/2027  | 2.95 | 34960000 | 34210272 |
| US Treasury Notes 2.75% 7/31/2027  | 2.68 to 2.71 | 33510000 | 32720682 |
| US Treasury Notes 2.75% 8/15/2032  | 3.98 | 1800000 | 1639758 |
| US Treasury Notes 3.5% 1/31/2028  | 3.87 | 5750000 | 5696543 |
| US Treasury Notes 3.75% 5/15/2028  | 3.77 | 13520000 | 13479873 |
| US Treasury Notes 3.75% 5/31/2030  | 3.84 to 3.90 | 55440000 | 54861779 |
| US Treasury Notes 3.75% 6/30/2030  | 4.04 | 26780000 | 26491278 |
| US Treasury Notes 3.75% 8/31/2031  | 3.65 to 3.68 | 17180000 | 16839755 |
| US Treasury Notes 3.875% 8/15/2034  | 3.71 to 3.81 | 36440000 | 35098691 |
| US Treasury Notes 4% 1/31/2031  | 3.89 to 3.96 | 5660000 | 5646071 |
| US Treasury Notes 4% 7/31/2030  | 4.18 | 6990000 | 6991638 |
| US Treasury Notes 4.125% 10/31/2027  | 3.75 to 4.24 | 24500000 | 24633027 |
| US Treasury Notes 4.125% 11/15/2027  | 4.20 | 28520000 | 28678197 |
| US Treasury Notes 4.125% 11/30/2031  | 4.13 | 6510000 | 6506440 |
| US Treasury Notes 4.125% 3/31/2032  | 4.08 to 4.09 | 19000000 | 18961406 |
| US Treasury Notes 4.125% 5/31/2032  | 4.17 to 4.18 | 11000000 | 10970805 |
| US Treasury Notes 4.125% 8/31/2030  | 4.19 | 1950000 | 1961121 |
| US Treasury Notes 4.25% 1/15/2028  | 4.29 | 11780000 | 11887677 |
| US Treasury Notes 4.25% 2/28/2031  | 4.25 to 4.31 | 40720000 | 41125609 |
| US Treasury Notes 4.25% 6/30/2031  | 3.99 | 4940000 | 4981295 |
| US Treasury Notes 4.375% 12/15/2026  | 4.43 | 350000 | 351887 |
| US Treasury Notes 4.375% 7/15/2027  | 4.24 | 3530000 | 3563224 |
| US Treasury Notes 4.625% 2/15/2035  | 4.33 to 4.39 | 2880000 | 2933152 |
| US Treasury Notes 4.75% 2/15/2045  | 4.95 to 4.99 | 4030000 | 3933658 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $921,279,717) |  |  | **851606688** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.1%** | &nbsp;&nbsp;**Money Market Funds - 2.1%** | &nbsp;&nbsp;**Money Market Funds - 2.1%** | &nbsp;&nbsp;**Money Market Funds - 2.1%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (l)<br>(Cost $37,405,088)<br>| 4.32 | 37399761 | **37407241** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.1%** | &nbsp;&nbsp;**Purchased Swaptions - 0.1%** | &nbsp;&nbsp;**Purchased Swaptions - 0.1%** | &nbsp;&nbsp;**Purchased Swaptions - 0.1%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.1% |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.14% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/12/25 | 3200000 | 195192 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/30 | 8400000 | 345970 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.95% and receive annually a floating rate based on US SOFR Indxe, expiring May 2035 | 4/29/30 | 6510000 | 278000 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/07/30 | 11190000 | 467867 |
| TOTAL PUT SWAPTIONS |  |  | 1287029 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.14% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/12/25 | 3200000 | 8400 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/30 | 8400000 | 308944 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.95% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/30 | 6510000 | 229518 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/07/30 | 11190000 | 408828 |
| TOTAL CALL SWAPTIONS |  |  | 955690 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $2,295,318) |  |  | <br> **2242719** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 110.4%**<br> (Cost $2,035,692,904)<br>| <br>**1945134160** |
| **NET OTHER ASSETS (LIABILITIES) - (10.4)%**  | **(182114239)** |
| **NET ASSETS - 100.0%** | **1763019921** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 6/1/2055 | (5950000) | (4780388) |
| Ginnie Mae II Pool 2.5% 6/1/2055 | (9375000) | (7856570) |
| Ginnie Mae II Pool 5.5% 6/1/2055 | (15600000) | (15493009) |
| Ginnie Mae II Pool 6% 6/1/2055 | (12400000) | (12520439) |
| Uniform Mortgage Backed Securities 2% 6/1/2055 | (19200000) | (14924248) |
| Uniform Mortgage Backed Securities 2% 7/1/2055 | (900000) | (699961) |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 | (7450000) | (6071458) |
| Uniform Mortgage Backed Securities 3% 6/1/2055 | (1500000) | (1276874) |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 | (14800000) | (13128056) |
| Uniform Mortgage Backed Securities 5% 6/1/2055 | (15500000) | (15007749) |
| Uniform Mortgage Backed Securities 5.5% 6/1/2055 | (17100000) | (16934356) |
| Uniform Mortgage Backed Securities 6% 6/1/2055 | (42600000) | (43027666) |
| Uniform Mortgage Backed Securities 6% 7/1/2055 | (9700000) | (9784876) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (161505650) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $161,582,008) |  | <br> **(161505650)** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.97% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/13/26 | 9500000 | (261886) |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.89% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/21/26 | 9200000 | (284390) |
| TOTAL PUT SWAPTIONS |  |  | (546276) |
| Call Swaptions |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.97% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/13/26 | 9500000 | (335644) |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.89% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/21/26 | 9200000 | (295297) |
| TOTAL CALL SWAPTIONS |  |  | (630941) |
| **TOTAL WRITTEN SWAPTIONS** |  |  | **(1177217)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10 Year US Treasury Bond Contracts (United States) | 1269 | Sep 2025 | 140740031 | 1752870 | 1752870 |
| CBOT 2 Year US Treasury Note Contracts (United States) | 1183 | Sep 2025 | 245490984 | 484863 | 484863 |
| TOTAL PURCHASED |  |  |  |  | 2237733 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 5 Year US Treasury Note Contracts (United States) | 21 | Sep 2025 | 2274398 | (17919) | (17919) |
| CBOT US Treasury Long Bond Contracts (United States) | 7 | Sep 2025 | 791875 | (18935) | (18935) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 19 | Sep 2025 | 2209344 | (57929) | (57929) |
| TOTAL SOLD |  |  |  |  | (94783) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **2142950** |
| The notional amount of futures purchased as a percentage of Net Assets is 21.9% | The notional amount of futures purchased as a percentage of Net Assets is 21.9% | The notional amount of futures purchased as a percentage of Net Assets is 21.9% | The notional amount of futures purchased as a percentage of Net Assets is 21.9% | The notional amount of futures purchased as a percentage of Net Assets is 21.9% | The notional amount of futures purchased as a percentage of Net Assets is 21.9% |
| The notional amount of futures sold as a percentage of Net Assets is 0.2% | The notional amount of futures sold as a percentage of Net Assets is 0.2% | The notional amount of futures sold as a percentage of Net Assets is 0.2% | The notional amount of futures sold as a percentage of Net Assets is 0.2% | The notional amount of futures sold as a percentage of Net Assets is 0.2% | The notional amount of futures sold as a percentage of Net Assets is 0.2% |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2027 | 45077000 | 75644 | 0 | 75644 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | Jun 2045 | 23738000 | 340710 | 0 | 340710 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2030 | 13837000 | 43671 | 0 | 43671 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2028 | 102948000 | 365657 | 0 | 365657 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **825682** | **0** | **825682** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Notional amount is stated in U.S. Dollars unless otherwise noted.

(4)Represents floating rate.

**Legend**

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

(b) Interest Only (IO) security represents the right to receive only monthly interest payments on an underlying pool of assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

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

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

(e) Principal Only Strips represent the right to receive the monthly principal payments.

(f) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

(g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $4,223,443.

(h) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $283,868.

(i) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $5,539,763.

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

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

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

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 114510160 | 654761536 | 731864455 | 1225894 | - | - | 37407241 | 37399761 | 0.1% |
| Fidelity Securities Lending Cash Central Fund | 18232198 | 191059416 | 209291614 | 8328 | - | - | - | - | 0.0% |
| Total | 132742358 | 845820952 | 941156069 | 1234222 | - | - | 37407241 |  |  |

---

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

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

**Investment Valuation**

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

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

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations and U.S. Government Agency Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Collateralized Mortgage Obligations, Commercial Mortgage Securities and U.S. Government Agency - Mortgage Securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

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

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

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. For OTC written options with upfront premiums received, the Fund is obligated to perform and therefore does not have counterparty risk. For OTC written options with premiums to be received at a future date, the maximum risk of loss from counterparty credit risk is the amount of the premium in excess of any collateral pledged by the counterparty. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

Open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Schedule of Investments.

Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.

The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates and/or potential credit events.

Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Interest Rate Swaps: Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

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

- **b. EDGAR series identifier (if any):** S000007069

- **c. LEI of Series:** P9RZ37TD4VUHUOID7660

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2111540329.85

**Total Liabilities:** $352997195.59

**Net Assets:** $1758543134.26

**Delayed Delivery Securities:** $176033718.77

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 6255.67860577 | **1-Year:** 110573.71089082 | **5-Year:** 263344.21398539 | **10-Year:** 358441.08843936 | **30-Year:** 230125.17445501

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000038100 | 0.07%                | 0.30%                | -1.01%               |
| Class ID C000038102 | 0.05%                | 0.49%                | -0.92%               |
| Class ID C000205069 | 0.17%                | 0.50%                | -1.01%               |
| Class ID C000038101 | 0.14%                | 0.47%                | -0.94%               |
| Class ID C000019283 | 0.17%                | 0.50%                | -1.02%               |
| Class ID C000038098 | 0.03%                | 0.47%                | -0.94%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2047685.16             | $-1305547.96                               |
| Month 2  | $-547353.50              | $3377977.21                                |
| Month 3  | $-244617.82              | $-23537449.05                              |

**Designated Index Information**

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

- **Index Identifier:** 19808145

### Schedule of Portfolio Investments

| Name                                                      | Title                                                                        | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3145 GO 4/36                                                             | CUSIP: 31396NCS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       9581 | PA      | $7984.18      | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 01/01/2032#AS8602                                             | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1200691 | PA      | $1148986.78   | 0.07%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3% 02/20/2050#BQ4127                                                 | CUSIP: 3617LNSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     172586 | PA      | $150326.94    | 0.01%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/51#BT1461                                                    | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73884 | PA      | $58345.08     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2047#CA0855                                             | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119788 | PA      | $108160.19    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                        | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2190787 | PA      | $2186680.83   | 0.12%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 05/20/2046#AS9175                                               | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12031 | PA      | $10835.27     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745127                                                      | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5199 | PA      | $5108.63      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 12/39 #711029                                                     | CUSIP: 36297F4N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1869 | PA      | $1877.27      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 1/38 #889371                                                      | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13128 | PA      | $13754.83     | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 6/35 #828385                                                      | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2523 | PA      | $2623.83      | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+51.448 08/20/2042                      | CUSIP: 38375GZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      73060 | PA      | $71723.68     | 0.00%             | 2042-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4% 03/20/2047#784299                                                 | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31557 | PA      | $29411.29     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 7.5% 06/01/2027#250951                                             | CUSIP: 31371FWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $46.29        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2019-K735 A2 2.862% 05/25/2026                | CUSIP: 3137FMU67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6031499 | PA      | $5943011.48   | 0.34%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 2/30 #535143                                                      | CUSIP: 31384VP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $105.97       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR1584                                             | CUSIP: 3138NXXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58451 | PA      | $52710.64     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK9019                                                      | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12058 | PA      | $11472.23     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 8/36 #657024                                                      | CUSIP: 36294Q4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        350 | PA      | $364.93       | 0.00%             | 2036-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 11/01/2031#ZS8629                                             | CUSIP: 3132A9SS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1006803 | PA      | $963842.82    | 0.05%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2006-15 OP 0% 3/36                                                       | CUSIP: 31395BTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      13192 | PA      | $11218.07     | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2045#Q33578                                             | CUSIP: 3132QP6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11106 | PA      | $10163.21     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 10/01/2047#CA0623                                             | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17210 | PA      | $16498.76     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 1/41 #734151                                                      | CUSIP: 3620AMTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17782 | PA      | $17055.98     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR2904                                             | CUSIP: 3138W0GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15254 | PA      | $13769.28     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/32 #644164                                                      | CUSIP: 31390ETV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $151.35       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 11/01/2041#FS1573                                             | CUSIP: 3140XGXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1898771 | PA      | $1666261.81   | 0.09%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #479607                                                     | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12347 | PA      | $11840.20     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 03/20/2047#MA4322                                                 | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3517997 | PA      | $3278806.72   | 0.19%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.182% 6/37 #848188                                                 | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6366 | PA      | $6542.65      | 0.00%             | 2037-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 5YR NOTE (CBT) FUT SEP25 FVU5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -21 | NC      | $-17918.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.995% 12/25/2025                             | CUSIP: 3137BN6G4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16716518 | PA      | $16560833.96  | 0.94%             | 2025-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/28 #462816                                                      | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         20 | PA      | $20.51        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 3/28 #420501                                                      | CUSIP: 31379JDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $136.32       | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 10/41 #005203                                                  | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     269543 | PA      | $257856.17    | 0.01%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 11/41 #Q04295                                                     | CUSIP: 3132GKNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16072 | PA      | $15297.17     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV3.25% MAC 06/18/30                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -13837000 | NC      | $43670.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2042#Q12164                                             | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4537 | PA      | $4313.11      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.242% 9/1/41#1B8659                                                | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21151 | PA      | $21963.95     | 0.00%             | 2041-09-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/40 #A93451                                                      | CUSIP: 312941ZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2055 | PA      | $2022.29      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/28 #406815                                                      | CUSIP: 31378R3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        239 | PA      | $249.01       | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 1/41 #AH4987                                                      | CUSIP: 3138A6RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3800 | PA      | $3622.41      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #479494                                                     | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36119 | PA      | $34568.13     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 11/40 #004853                                                  | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202430 | PA      | $194066.89    | 0.01%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.87% 1/35 #735833                                                  | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2224 | PA      | $2284.27      | 0.00%             | 2035-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 7/38 #889733                                                      | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2061 | PA      | $2162.66      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 11/35 #842191                                                     | CUSIP: 31407VUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1627 | PA      | $1691.85      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 06/01/2053#RA9277                                               | CUSIP: 3133KRJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2957223 | PA      | $3015253.37   | 0.17%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AP7148                                                     | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7133 | PA      | $6605.71      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2048#BM5106                                             | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76083 | PA      | $73035.60     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 09/01/2053#RA9856                                               | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398145 | PA      | $405958.22    | 0.02%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2046#G60989                                               | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     380679 | PA      | $334729.71    | 0.02%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2048#BJ4970                                               | CUSIP: 3140H6QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50834 | PA      | $47377.83     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.4% 08/01/2042#AP5087                                             | CUSIP: 3138M8UM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13942 | PA      | $12791.21     | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 7/42 #AA5451                                                      | CUSIP: 36178DBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13537 | PA      | $12550.52     | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+648.552 02/15/2036                    | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       4620 | PA      | $415.89       | 0.00%             | 2036-02-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/42#AQ3065                                                  | CUSIP: 3138MJMP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8764 | PA      | $8153.95      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2043#AT5177                                             | CUSIP: 3138WSXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12063 | PA      | $10856.20     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AB7766                                             | CUSIP: 31417ETY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37387 | PA      | $33661.97     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 343 16 5.5% 5/34                                                         | CUSIP: 3136FA6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       3113 | PA      | $457.61       | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/28 #458926                                                      | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $53.44        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 2/1/43#AR5364                                                 | CUSIP: 3138W26A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25931 | PA      | $23894.36     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 5/37 #917965                                                      | CUSIP: 31411XZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        750 | PA      | $784.06       | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 10/20/2044#MA2304                                               | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161739 | PA      | $153472.70    | 0.01%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     922593 | PA      | $813568.13    | 0.05%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 2.986% 10/01/2041#1B8864                                            | CUSIP: 3128UHGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     289306 | PA      | $300885.05    | 0.02%             | 2041-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 6/36 #745640                                                      | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7586 | PA      | $7923.09      | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745236                                                      | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8660 | PA      | $8512.28      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 09/01/2040#G06016                                             | CUSIP: 3128M8AR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5537 | PA      | $5452.01      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 6.0% 05/15/2040#783362                                             | CUSIP: 36241LWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42692 | PA      | $44208.82     | 0.00%             | 2040-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 11/01/2050#SD7530                                             | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1415603 | PA      | $1173392.35   | 0.07%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM                                    | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     276035 | PA      | $277686.33    | 0.02%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #G06973                                                      | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107565 | PA      | $102290.17    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 7% 2/32 #003202                                                      | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1090 | PA      | $1131.09      | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AR1624                                             | CUSIP: 3138NXYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6685 | PA      | $6002.17      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.39% 12/36 #1J1448                                                 | CUSIP: 3128NHTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2252 | PA      | $2345.66      | 0.00%             | 2036-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2011-69 GX 4.5% 5/40                                                     | CUSIP: 38377VH66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     835537 | PA      | $832696.76    | 0.05%             | 2040-05-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK8228                                                      | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25533 | PA      | $24290.05     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 06/15/2042#799330                                               | CUSIP: 36177ULL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3456 | PA      | $3297.81      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H12 FA TSFR1M+60.448 5/61                                           | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     147380 | PA      | $147969.65    | 0.01%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG 2010-169 Z 4.5% 12/20/2040                                | CUSIP: 38377RM51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4403799 | PA      | $4213665.43   | 0.24%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 07/01/2032#G31067                                             | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     864141 | PA      | $843580.69    | 0.05%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96783                                                      | CUSIP: 312945RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4608 | PA      | $4535.12      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                 | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     148461 | PA      | $136579.04    | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.22% 3/37 #910296                                                  | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72831 | PA      | $75127.87     | 0.00%             | 2037-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2137 PG 6% 3/29                                                          | CUSIP: 3133TJR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1468 | PA      | $1494.97      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2303 ZV 6% 4/31                                                          | CUSIP: 3133TSTH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       5274 | PA      | $5400.07      | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/39 #782727                                                      | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6857 | PA      | $6889.43      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2004-32 GS 650-1ML 5/34                                                  | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       4646 | PA      | $301.44       | 0.00%             | 2034-05-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H27 FA TSFR1M+38 12/60                                              | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     134997 | PA      | $135306.73    | 0.01%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/01/2042#AQ9061                                               | CUSIP: 3138MRB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7423 | PA      | $7061.45      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 11/01/2041#SC0210                                             | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11016687 | PA      | $9676857.09   | 0.55%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM TSFR1M+66.448 09/20/2061                        | CUSIP: 38375BNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     645991 | PA      | $648617.30    | 0.04%             | 2061-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 11/01/2053#RJ0189                                               | CUSIP: 3142GQF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171749 | PA      | $175012.39    | 0.01%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2131 BG 6% 3/29                                                          | CUSIP: 3133TK2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       9566 | PA      | $9756.32      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 11/01/2042#AB6904                                             | CUSIP: 31417DU68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69867 | PA      | $63077.03     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 2/42 #Q06088                                                      | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6642 | PA      | $6339.47      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/28 #323317                                                      | CUSIP: 31374TDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $74.52        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2017-30 AI 5.5% 05/47                                                    | CUSIP: 3136AWQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      50724 | PA      | $7267.86      | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 07/15/2046#AT7536                                               | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9589 | PA      | $8913.55      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.5% 06/15/2041#366975                                             | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79273 | PA      | $77797.12     | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/31 #545304                                                     | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $81.70        | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 5/39 #698329                                                      | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1781 | PA      | $1752.00      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q20360                                             | CUSIP: 3132JMMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2307 | PA      | $2181.41      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE8538                                               | CUSIP: 31419KPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12136 | PA      | $11534.94     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-49 FB SOFR30A+71.448 11/31                                          | CUSIP: 31392DYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      12897 | PA      | $12860.44     | 0.00%             | 2031-11-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/01/2049#CA3129                                               | CUSIP: 3140QAPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143858 | PA      | $133673.17    | 0.01%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIEMAE 30YR 2% 02/01/2052#FA0353                                          | CUSIP: 3140W0MB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1366493 | PA      | $1082513.03   | 0.06%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4% 10/20/2042#AC0073                                                 | CUSIP: 36178YCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59758 | PA      | $57124.84     | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.19% 9/33 #748643                                                  | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19141 | PA      | $19432.02     | 0.00%             | 2033-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2010-135 ZA 4.5% 12/40                                                   | CUSIP: 31398SE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      16987 | PA      | $16238.46     | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2044#AW3253                                             | CUSIP: 3138XSTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9733 | PA      | $9455.75      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 04/01/2041#AH9677                                             | CUSIP: 3138ABXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1519 | PA      | $1526.25      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 08/01/2043#AS0203                                             | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48382 | PA      | $43437.48     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/01/2047#Q48095                                             | CUSIP: 3132WM7H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103964 | PA      | $99962.53     | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 02/01/2043#Q15789                                             | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12498 | PA      | $11343.23     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AB7846                                             | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46597 | PA      | $41991.89     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.525% 05/25/2026                             | CUSIP: 3137BQYS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29333483 | PA      | $28820229.23  | 1.64%             | 2026-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 08/01/2045#BA2698                                             | CUSIP: 3140E67L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25004 | PA      | $23405.36     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.64% 4/36 #1J0058                                                  | CUSIP: 3128LUB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1883 | PA      | $1946.05      | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 06/15/2043#AE4597                                             | CUSIP: 36180XDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2684 | PA      | $2509.22      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 01/01/2041#                                                     | CUSIP: 312946FC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6030 | PA      | $5784.13      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 10/20/2040#004828                                             | CUSIP: 36202FLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40134 | PA      | $38944.13     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.25% 6/36 #886983                                                  | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6460 | PA      | $6607.27      | 0.00%             | 2036-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 07/20/2039#004488                                             | CUSIP: 36202E6Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        657 | PA      | $648.01       | 0.00%             | 2039-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21524                                             | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2232 | PA      | $2124.61      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 3/39 #782604                                                      | CUSIP: 36241K3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        596 | PA      | $607.13       | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.01% 7/35 #1M1050                                                  | CUSIP: 3128QFEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3093 | PA      | $3146.85      | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2051#CB2420                                               | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     955383 | PA      | $822993.21    | 0.05%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/32 #644809                                                      | CUSIP: 31390FKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        322 | PA      | $335.42       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 7/27 #250990                                                      | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.89         | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2047#AS9394                                             | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16440 | PA      | $15786.62     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 02/01/2050#SD0265                                               | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     959256 | PA      | $830676.19    | 0.05%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 11/01/2044#AL7307                                             | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46700 | PA      | $46953.47     | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 03/01/2043#Q16049                                             | CUSIP: 3132J7EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6222 | PA      | $5928.44      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 04/01/2046#AS7000                                               | CUSIP: 3138WGX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93926 | PA      | $82891.63     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #Q07441                                                      | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2875 | PA      | $2730.04      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/42#G07240                                                 | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16080 | PA      | $14525.63     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/28 #449219                                                      | CUSIP: 36208FAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.11         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1.65% 02/20/2063                                | CUSIP: 38375BK84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        343 | PA      | $321.34       | 0.00%             | 2063-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/29 #323968                                                     | CUSIP: 31374TZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $18.24        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                        | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      35425 | PA      | $1276.25      | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/31 #254058                                                      | CUSIP: 31371KE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $29.47        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 08/01/2038#K94341                                               | CUSIP: 3132LQWA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34651 | PA      | $33202.65     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 11/01/2051#QD1240                                               | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     692441 | PA      | $594972.84    | 0.03%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 8/32 #C01385                                                      | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        532 | PA      | $554.21       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2050#CA5122                                               | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632624 | PA      | $547826.53    | 0.03%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 1/1/43 #AR1183                                                | CUSIP: 3138NXJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14417 | PA      | $12995.59     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3415 PC 5% 12/37                                                         | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     145218 | PA      | $145848.29    | 0.01%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3.5% 06/01/2055 #TBA                                               | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -14800000 | PA      | $-13128055.84 | -0.75%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 2/41 #A96807                                                      | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31314 | PA      | $29933.12     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 06/20/2051#MA7418                                               | CUSIP: 36179WG36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5304435 | PA      | $4449217.78   | 0.25%             | 2051-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 03/15/2042#796180                                               | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3117 | PA      | $2978.43      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2007-66 SA SOFR30A+3891.312 7/37                                         | CUSIP: 31396WYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       4068 | PA      | $5059.94      | 0.00%             | 2037-07-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2043#AR2466                                             | CUSIP: 3138NYW43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7376 | PA      | $6418.41      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6% 12/20/2054#MB0093                                                 | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     985465 | PA      | $996714.33    | 0.06%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 3.625% 02/15/2053                                | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   73039000 | PA      | $58331341.81  | 3.32%             | 2053-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-7 FC SOFR30A+86.448 1/32                                            | CUSIP: 31392B2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        331 | PA      | $330.87       | 0.00%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6.00% 5/32 #003238                                                   | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4066 | PA      | $4174.24      | 0.00%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 8/26 #C90997                                                 | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        239 | PA      | $240.68       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 04/01/2046#AS7024                                               | CUSIP: 3138WGYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30160 | PA      | $28194.56     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 0.0% 05/01/2041#1B8124                                              | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39319 | PA      | $40927.96     | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 9/39 #710868                                                      | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15510 | PA      | $15822.56     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 12/39 #728451                                                     | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3213 | PA      | $3227.49      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2043#AB9376                                             | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82675 | PA      | $76200.48     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+632.552 05/25/2037                    | CUSIP: 31396VYS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3398 | PA      | $372.29       | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2042#794559                                               | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1554 | PA      | $1490.59      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2043#AB9239                                             | CUSIP: 31417GHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7055 | PA      | $6342.47      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 8/27 #780618                                                      | CUSIP: 36225AVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $6.16         | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/40 #748482                                                      | CUSIP: 3620C4RB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4855 | PA      | $4877.12      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 06/01/2054#CB8729                                             | CUSIP: 3140QUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     619527 | PA      | $636868.27    | 0.04%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4% 03/01/2039#MA3612                                               | CUSIP: 31418DAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14158 | PA      | $13505.22     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13425                                             | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16671 | PA      | $15815.00     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2877 ZD 5% 10/34                                                         | CUSIP: 31395HNX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1251051 | PA      | $1249807.21   | 0.07%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/29 #500286                                                      | CUSIP: 31383DXP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        150 | PA      | $156.73       | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 03/01/2041#MA4287                                               | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1028772 | PA      | $873564.26    | 0.05%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/28 #527248                                                     | CUSIP: 31384LWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.68        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                        | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1865301 | PA      | $1859890.77   | 0.11%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 12/31 #622219                                                     | CUSIP: 31389DG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        184 | PA      | $191.86       | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/27 #401788                                                     | CUSIP: 31378LJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $7.23         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 11/35 #843567                                                     | CUSIP: 31407XFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        308 | PA      | $322.68       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 03/01/2037#MA2922                                               | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     198302 | PA      | $184983.06    | 0.01%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-38 QF SOFR30A+109.448 8/31                                          | CUSIP: 313920QV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      16622 | PA      | $16754.80     | 0.00%             | 2031-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/31 #544721                                                      | CUSIP: 36212VD22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $32.15        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 06/20/2039#004461                                             | CUSIP: 36202E5W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2991 | PA      | $2905.86      | 0.00%             | 2039-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/43#AL7261                                               | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65255 | PA      | $60493.25     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #417739                                                     | CUSIP: 31379FBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $30.56        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 5/41 #005055                                                   | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     173131 | PA      | $170242.31    | 0.01%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 05/01/2042#RB0806                                             | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139251 | PA      | $121903.85    | 0.01%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.11% 4/38 #1B3803                                                  | CUSIP: 3128JPDH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1531 | PA      | $1595.15      | 0.00%             | 2038-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #779843                                                     | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3392 | PA      | $3248.89      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 3/42 #Q07242                                                      | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7907 | PA      | $7519.33      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 8/34 #605311                                                      | CUSIP: 36200NN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2151 | PA      | $2222.40      | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96766                                                      | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1954 | PA      | $1920.07      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.50% 1/31 #435013                                                      | CUSIP: 36207LGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        233 | PA      | $241.08       | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.627% 6/1/41#1B8372                                                | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38112 | PA      | $39573.80     | 0.00%             | 2041-06-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2010-H03 FA TSFR1M+66.448 3/60                                           | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      29974 | PA      | $30123.34     | 0.00%             | 2060-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/31 #474760                                                      | CUSIP: 36209LMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         61 | PA      | $62.97        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AS6967                                               | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6009 | PA      | $5412.04      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2042#C04320                                               | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     181127 | PA      | $163653.68    | 0.01%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 12/33 #A16699                                                     | CUSIP: 31296RNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1917 | PA      | $1929.85      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                               | CUSIP: 3136A7HT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        140 | PA      | $1.89         | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2017-134 BA 2.5% 11/46                                                   | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     287490 | PA      | $258836.48    | 0.01%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 12/20/2049#BR8987                                               | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7021 | PA      | $6279.43      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 03/01/2035#CA5427                                             | CUSIP: 3140QDA53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1264799 | PA      | $1179620.14   | 0.07%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048                        | CUSIP: 3137H5BQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    7919789 | PA      | $6874551.49   | 0.39%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A97152                                                      | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4294 | PA      | $4227.20      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 01/01/2046#G60393                                             | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11924 | PA      | $10869.88     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 2/42 #778882                                                      | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19688 | PA      | $18302.20     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 3.75% 08/31/2031                                                   | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17180000 | PA      | $16839755.43  | 0.96%             | 2031-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 06/01/2055 #TBA                                                 | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14700000 | PA      | $12319101.27  | 0.70%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.686% 04/01/2044#AL5128                                            | CUSIP: 3138EMVW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93097 | PA      | $96079.00     | 0.01%             | 2044-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AQ9994                                             | CUSIP: 3138MSC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22851 | PA      | $20632.01     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/41 #AI9692                                                      | CUSIP: 3138APXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2752 | PA      | $2610.29      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNCL 2011-39 ZA 6% 11/32                                                     | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      15175 | PA      | $15532.12     | 0.00%             | 2032-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 12/40 #AB1898                                                     | CUSIP: 31416XDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4704 | PA      | $4628.12      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4% 01/31/2031                                                      | CUSIP: 91282CJX0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5660000 | PA      | $5646071.08   | 0.32%             | 2031-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21255                                             | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11928 | PA      | $11273.99     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 07/20/2044#MA2074                                               | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8772 | PA      | $8329.73      | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 4/40 #782918                                                      | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30980 | PA      | $31123.39     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 8/46#BC1509                                                     | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363549 | PA      | $319476.33    | 0.02%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/01/2041#A97673                                             | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45151 | PA      | $44436.64     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #724223                                                      | CUSIP: 3620AASL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30532 | PA      | $30034.95     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2033#741529                                             | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1494 | PA      | $1480.05      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 10/39 #723224                                                     | CUSIP: 3620A9PH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3553 | PA      | $3569.51      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AL2884                                             | CUSIP: 3138EKF26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9319 | PA      | $8402.29      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 12/15/2041#792596                                               | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        662 | PA      | $633.59       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 12/49#BR8986                                                    | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2096 | PA      | $1862.43      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 02/15/2041#750185                                             | CUSIP: 3620C6NA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2845 | PA      | $2723.18      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 02/01/2037#AS8773                                               | CUSIP: 3138WJXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79792 | PA      | $74432.89     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 11/42 #AQ0206                                                     | CUSIP: 3138MFGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8358 | PA      | $7717.20      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 01/01/2032#                                                     | CUSIP: 31287NDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        515 | PA      | $531.77       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #Q07351                                                      | CUSIP: 3132GSQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3326 | PA      | $3185.39      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 07/01/2043#AB9858                                             | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168850 | PA      | $151448.64    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 07/01/2041#Q02345                                             | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1151 | PA      | $1159.41      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.05% 7/34 #801635                                                  | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5944 | PA      | $6050.99      | 0.00%             | 2034-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2006-104 GI SOFR30A+656.552 11/36                                        | CUSIP: 31396LMA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      10129 | PA      | $975.58       | 0.00%             | 2036-11-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 12/01/2047#Q53034                                             | CUSIP: 3132XVLQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      74763 | PA      | $67571.89     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 01/01/2041#A96413                                               | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12021 | PA      | $11487.16     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 09/01/2043#AS0407                                             | CUSIP: 3138W9NZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8553 | PA      | $7667.66      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 06/01/2044#AL7195                                             | CUSIP: 3138EP7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81448 | PA      | $73313.82     | 0.00%             | 2044-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                   | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      61634 | PA      | $62971.48     | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 10/40#AE3576                                                    | CUSIP: 31419D6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12697 | PA      | $12069.32     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.347% 11/25/2026                             | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27690842 | PA      | $27284378.87  | 1.55%             | 2026-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 11/42 #AQ0170                                                     | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7834 | PA      | $7219.56      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 12/15/2042#AA5897                                             | CUSIP: 36178DRS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42455 | PA      | $38102.73     | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2045#AZ7335                                               | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51842 | PA      | $48528.09     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/1/42 #AQ7097                                               | CUSIP: 3138MN3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10330 | PA      | $9574.74      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/26 #572166                                                     | CUSIP: 31386STX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.44         | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 09/01/2053#CB7123                                               | CUSIP: 3140QS4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     260133 | PA      | $265237.66    | 0.02%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AB7425                                             | CUSIP: 31417EHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6500 | PA      | $5866.45      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 7/27 #447756                                                      | CUSIP: 36208DMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         43 | PA      | $43.56        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2043#Q17646                                             | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45625 | PA      | $42189.90     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 10/15/2041#775540                                               | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4701 | PA      | $4493.58      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6% 11/35 #AD0687                                                        | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22213 | PA      | $23089.91     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H13 FA TSFR1M+61.448 4/61                                           | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     131239 | PA      | $131698.73    | 0.01%             | 2061-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 02/01/2037#G02671                                             | CUSIP: 3128M4JQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        320 | PA      | $316.38       | 0.00%             | 2037-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4% 09/01/2039#MA3773                                               | CUSIP: 31418DFP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16201 | PA      | $15423.85     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/32 #569840                                                      | CUSIP: 36200RBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $41.54        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 7/27 #394197                                                      | CUSIP: 31378B3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.86        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/27 #313711                                                      | CUSIP: 31374GN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.09         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 2/42 #783532                                                      | CUSIP: 36241L4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6909 | PA      | $6422.44      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045                       | CUSIP: 38380T6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     215473 | PA      | $198158.21    | 0.01%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 07/01/2042 #AB5652                                            | CUSIP: 31417CH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5467 | PA      | $4924.06      | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.224% 4/41#1B8179                                                  | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2757 | PA      | $2870.53      | 0.00%             | 2041-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 01/01/2044#V80950                                             | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8776 | PA      | $8288.13      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 01/01/2049#CA2963                                             | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4831 | PA      | $4622.60      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/41 #AH6233                                                      | CUSIP: 3138A74T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5017 | PA      | $4784.76      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 06/01/2054#CB8711                                               | CUSIP: 3140QUVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1915648 | PA      | $1938872.04   | 0.11%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 08/01/2045#AZ7222                                             | CUSIP: 3140E0AY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26873 | PA      | $25155.56     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 6/40 #733726                                                      | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72313 | PA      | $72648.65     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2011-67 AI IO 4% 7/26                                                    | CUSIP: 31397U4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1090 | PA      | $4.63         | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 02/01/2042#FS1810                                             | CUSIP: 3140XHAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1422359 | PA      | $1248520.27   | 0.07%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 01/15/2043#AD2150                                             | CUSIP: 36180DL70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20309 | PA      | $18812.43     | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 07/01/2053#FS5067                                               | CUSIP: 3140XLTZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2235515 | PA      | $2282177.85   | 0.13%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 9/42 #AA5658                                                      | CUSIP: 36178DJB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3867 | PA      | $3576.45      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 11/39 #722701                                                     | CUSIP: 3620A83J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4101 | PA      | $4029.44      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 9/35 #A37119                                                      | CUSIP: 31297S4C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4763 | PA      | $4797.57      | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/32 #582029                                                      | CUSIP: 36201FSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $75.10        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                      | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      77725 | PA      | $70833.09     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 07/51#QC4163                                                    | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91857 | PA      | $72537.55     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/28 #460857                                                      | CUSIP: 36208T5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         61 | PA      | $61.40        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.869% 5/36 #995608                                                 | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10830 | PA      | $11149.94     | 0.00%             | 2036-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2045#Q33623                                             | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3074 | PA      | $2802.77      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 07/01/2041#Q02067                                             | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3073 | PA      | $3086.55      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 06/01/2043#Q19744                                             | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9423 | PA      | $8988.49      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 7/32 #G01433                                                      | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $53.80        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 4/32 #643105                                                      | CUSIP: 31390DNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $77.36        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/40 #719262                                                      | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5048 | PA      | $5071.20      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 12/01/2032#                                                     | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $148.83       | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3123 LO 0% 3/36                                                          | CUSIP: 31396JPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       8620 | PA      | $7144.10      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 3.75% 05/31/2030                                                   | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55440000 | PA      | $54861777.99  | 3.12%             | 2030-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 3/40 #711495                                                      | CUSIP: 36297GNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72630 | PA      | $69751.59     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                            | FHR 2056 Z 6% 5/28                                                           | CUSIP: 3133TDZM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       2547 | PA      | $2587.12      | 0.00%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 11/01/2039#MA3831                                               | CUSIP: 31418DHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51057 | PA      | $46478.82     | 0.00%             | 2039-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/44#Q28370                                               | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10771 | PA      | $10182.25     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 10/39 #717997                                                     | CUSIP: 3620A3UW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2129 | PA      | $2139.15      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/29 #527286                                                     | CUSIP: 31384LXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        136 | PA      | $141.63       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-81 PC 5.5% 9/35                                                     | CUSIP: 31394FCS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       7608 | PA      | $7767.75      | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AU2287                                               | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4725 | PA      | $4255.43      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/28 #447984                                                      | CUSIP: 36208DUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $66.31        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 2/35 #A47133                                                      | CUSIP: 3128K74S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2338 | PA      | $2352.48      | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 6/40 #743475                                                      | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2032 | PA      | $2040.86      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 05/50#FM3269                                                    | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     161007 | PA      | $139425.29    | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/32 #659161                                                      | CUSIP: 31390XJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1393 | PA      | $1471.37      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-39 FD SOFR30A+111.448 3/32                                          | CUSIP: 31392DPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        641 | PA      | $645.87       | 0.00%             | 2032-03-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/28 #458387                                                      | CUSIP: 36208RF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.49        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H21 FA TSFR1M+71.448 10/61                                          | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     466671 | PA      | $469093.07    | 0.03%             | 2061-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 11/01/2036#AS8355                                               | CUSIP: 3138WJH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102214 | PA      | $95859.99     | 0.01%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/42#G60517                                                  | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119559 | PA      | $117680.37    | 0.01%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 10/01/2031#G15963                                             | CUSIP: 3128MEZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46899 | PA      | $45031.23     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 7/35 #745092                                                      | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9694 | PA      | $10115.22     | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AR3062                                               | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6155 | PA      | $5543.36      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 8/36 #888544                                                      | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71256 | PA      | $74199.04     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2047#BE3663                                             | CUSIP: 3140FPB99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190750 | PA      | $183169.04    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/40 #746823                                                     | CUSIP: 3620C2VQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2230 | PA      | $2147.74      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 06/01/2055 #TBA                                                 | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -9375000 | PA      | $-7856569.69  | -0.45%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 4.24% 6/33 #847147                                                  | CUSIP: 3128HD5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4997 | PA      | $5071.04      | 0.00%             | 2033-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96695                                                      | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4560 | PA      | $4478.38      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/28 #416823                                                      | CUSIP: 31379EAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $27.02        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+652.552 12/25/2036                    | CUSIP: 31396LZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       6066 | PA      | $605.61       | 0.00%             | 2036-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/01/2041#                                                     | CUSIP: 3132GK4R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3806 | PA      | $3646.13      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 04/15/2045#AK8698                                             | CUSIP: 36183SUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14190 | PA      | $12594.66     | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 4/40 #A91937                                                      | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12925 | PA      | $13008.42     | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/31 #565049                                                      | CUSIP: 36213UWJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        160 | PA      | $164.80       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2121 MG 6% 2/29                                                          | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1263 | PA      | $1287.03      | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 01/01/2035#787546                                               | CUSIP: 31405E5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174159 | PA      | $181691.20    | 0.01%             | 2035-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 0.0% 07/01/2041#AI6050                                              | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7799 | PA      | $8100.33      | 0.00%             | 2041-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/26 #358466                                                      | CUSIP: 31376LFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.39        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 06/01/2050#RA2677                                               | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1250621 | PA      | $988767.25    | 0.06%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2042#Q11868                                             | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2699 | PA      | $2594.49      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP REC 4.01 05/07/30                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   11190000 | NC      | $408827.99    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2% 03/25/2039                                 | CUSIP: 3137H2AK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    9401620 | PA      | $8345186.11   | 0.47%             | 2039-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2424 FM SOFR30A+111.448 3/32                                             | CUSIP: 31339WJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        355 | PA      | $357.29       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 06/20/2045#MA2893                                               | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     157271 | PA      | $149019.51    | 0.01%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2423 FA SOFR30A+101.448 3/32                                             | CUSIP: 31339WBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        369 | PA      | $370.27       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/40 #AE6775                                                     | CUSIP: 31419HQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27598 | PA      | $26391.85     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 10/01/2052#SD1733                                               | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4325747 | PA      | $4237370.94   | 0.24%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 12/41 #741817                                                     | CUSIP: 3620AWDW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10068 | PA      | $9376.43      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #724220                                                      | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25786 | PA      | $25367.92     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 6% 06/01/2055 #TBA                                                 | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   42600000 | PA      | $43027665.66  | 2.45%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2045#Q34164                                             | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     196290 | PA      | $178574.36    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 11/01/2041#FM9585                                             | CUSIP: 3140XDUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     628521 | PA      | $551582.30    | 0.03%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2046#Q40046                                             | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83174 | PA      | $75589.64     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.625% 02/15/2035                                                  | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2880000 | PA      | $2933152.42   | 0.17%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2045#Q31974                                             | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19002 | PA      | $17455.87     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 0.0% 09/01/2041#AI9813                                              | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14427 | PA      | $15018.79     | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/39 #710849                                                      | CUSIP: 36297FWJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20315 | PA      | $20410.90     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 11/01/2040#A94862                                             | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2677 | PA      | $2635.09      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 02/01/2052#                                                   | CUSIP: 31418EBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27564752 | PA      | $24525498.71  | 1.39%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/36 #AH8017                                                      | CUSIP: 3138A94B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2694 | PA      | $2602.05      | 0.00%             | 2036-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 07/01/2042#ZA1228                                             | CUSIP: 31329JLH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     997503 | PA      | $923841.38    | 0.05%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 01/01/2052#BV1314                                               | CUSIP: 3140MEN85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61371 | PA      | $52559.63     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 5/34 #A23334                                                      | CUSIP: 31297AV35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        799 | PA      | $803.81       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AS6968                                               | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13942 | PA      | $12556.18     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 9/35 #255844                                                      | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6968 | PA      | $7268.74      | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/28 #405455                                                      | CUSIP: 31378QMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1712 | PA      | $1757.73      | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR1812                                             | CUSIP: 3138NYAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7952 | PA      | $7218.73      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 5/42 #766751                                                      | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5670 | PA      | $5271.19      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 05/01/2046#V82275                                               | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     290306 | PA      | $256081.60    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6.5% 3/31 #003053                                                    | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193 | PA      | $198.01       | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2135 JE 6% 3/29                                                          | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        559 | PA      | $570.71       | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 10/39 #710924                                                     | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2671 | PA      | $2683.44      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2047#AS9417                                             | CUSIP: 3138WKPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12284 | PA      | $11785.39     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 06/01/2031#J34501                                             | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30642 | PA      | $29462.53     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/40 #AA4740                                                     | CUSIP: 31416NHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3429 | PA      | $3277.23      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2043#Q22499                                             | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23188 | PA      | $21955.33     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 08/01/2038#K94337                                               | CUSIP: 3132LQV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48755 | PA      | $46716.23     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2.5% 02/15/2045                                  | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6150700 | PA      | $4231969.94   | 0.24%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.25% 02/28/2031                                                   | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   40720000 | PA      | $41125609.48  | 2.34%             | 2031-02-28      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 1/32 #624486                                                      | CUSIP: 31389FXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        175 | PA      | $182.46       | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 08/15/2042#AB2238                                             | CUSIP: 36178MPX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1316 | PA      | $1219.08      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 04/01/2050#RA2457                                               | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327593 | PA      | $283682.30    | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2051#CB2166                                               | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5128223 | PA      | $4407978.12   | 0.25%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 06/01/2050#SD7518                                               | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157320 | PA      | $136527.60    | 0.01%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2041#AL7018                                             | CUSIP: 3138EPYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44466 | PA      | $43992.12     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 12/27 #436017                                                     | CUSIP: 36207MK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $19.22        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2015-70 JC 3% 10/45                                                      | CUSIP: 3136AQCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     104462 | PA      | $98667.46     | 0.01%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.50% 11/41 #005232                                                  | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115625 | PA      | $107129.91    | 0.01%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #698480                                                      | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        842 | PA      | $827.89       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD    | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047 | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     950705 | PA      | $818090.69    | 0.05%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028                               | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |          9 | PA      | $0.03         | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 04/01/2041#CB0116                                               | CUSIP: 3140QKDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     407456 | PA      | $347909.53    | 0.02%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/01/2042#AO7372                                             | CUSIP: 3138LYFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4935 | PA      | $4562.05      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/42 #AK1110                                                      | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6056 | PA      | $5743.93      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/28 #484261                                                      | CUSIP: 36209W5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         85 | PA      | $87.38        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 07/01/2045#Q34979                                             | CUSIP: 3132QRQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7435 | PA      | $6614.35      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 12/40#V82128                                                  | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27355 | PA      | $25031.21     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 06/01/2046#BC1130                                               | CUSIP: 3140EVHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163109 | PA      | $152784.45    | 0.01%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 8/40 #004771                                                   | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1016 | PA      | $999.58       | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6% 07/01/2055 #TBA                                                   | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12400000 | PA      | $12501547.32  | 0.71%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2027#                                                   | CUSIP: 31283G6U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.70         | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                            | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2947640 | PA      | $2935304.33   | 0.17%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 2/39 #782562                                                      | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        617 | PA      | $619.43       | 0.00%             | 2039-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2041#                                                   | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2060 | PA      | $2033.68      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 07/01/46#BC1443                                                 | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151519 | PA      | $142306.46    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 05/01/2048#Q55992                                               | CUSIP: 3132XYUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     265338 | PA      | $248201.92    | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.344% 7/35 #834917                                                 | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6681 | PA      | $6802.88      | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/41 #AJ0165                                                      | CUSIP: 3138ARFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5343 | PA      | $5083.46      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061            | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      18352 | PA      | $18354.19     | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 04/01/2033#                                                     | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        943 | PA      | $975.81       | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 08/01/2045#AZ4663                                             | CUSIP: 3138YWFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16273 | PA      | $15233.20     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/40 #719217                                                      | CUSIP: 3620A5AS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4478 | PA      | $4499.06      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 07/01/2032#                                                     | CUSIP: 31288AFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        683 | PA      | $704.83       | 0.00%             | 2032-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19988                                             | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8657 | PA      | $8183.89      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/32 #593188                                                      | CUSIP: 36201T6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         75 | PA      | $77.46        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30840000 | PA      | $29620856.25  | 1.68%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 12/01/2051#RA6434                                             | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1097596 | PA      | $903279.39    | 0.05%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 3/41 #A97661                                                      | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19019 | PA      | $18723.15     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 1/41 #004922                                                   | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1826 | PA      | $1750.64      | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2003-118 S SOFR30A+798.552 12/33                                         | CUSIP: 31393UNH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      13381 | PA      | $1544.29      | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2040#                                                   | CUSIP: 312941SD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3649 | PA      | $3589.34      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/50#RA2141                                                    | CUSIP: 3133KHLW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29146 | PA      | $27027.56     | 0.00%             | 2050-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2052                               | CUSIP: 3136BLLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     947939 | PA      | $859256.63    | 0.05%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.80% 7/34 #849923                                                  | CUSIP: 31408FG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1558 | PA      | $1590.41      | 0.00%             | 2034-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 11/01/2052#SD1862                                               | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3244042 | PA      | $3186889.36   | 0.18%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/29 #511373                                                      | CUSIP: 31383SCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $79.91        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.0% 03/01/2045#AY9025                                                  | CUSIP: 3138YPA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12241 | PA      | $11514.67     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3121 KO 0 3/36                                                           | CUSIP: 31396JG74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2662 | PA      | $2315.64      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AK1385                                                      | CUSIP: 3138E5RF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5341 | PA      | $5082.21      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2015-H13 HA 2.5% 08/64                                                   | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        520 | PA      | $489.03       | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/28 #413578                                                      | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.50        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.75% 08/15/2032                                                   | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1800000 | PA      | $1639757.81   | 0.09%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2038#AB8124                                             | CUSIP: 31417FA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1862 | PA      | $1845.34      | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 9/41 #772063                                                      | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14603 | PA      | $13990.01     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 06/01/2045#Q34467                                             | CUSIP: 3132QQ6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10719 | PA      | $10093.85     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/39 #704665                                                      | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3084 | PA      | $3098.86      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.243% 04/25/2027                             | CUSIP: 3137F1G44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $8826559.20   | 0.50%             | 2027-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2026#                                                   | CUSIP: 31292GQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.14         | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 06/01/2039#AL7550                                             | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54076 | PA      | $54367.44     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 7/28 #475895                                                      | CUSIP: 36209MUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        143 | PA      | $146.74       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.151% 11/25/2025                             | CUSIP: 3137BMTX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15350121 | PA      | $15244209.39  | 0.87%             | 2025-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/41 #AB3872                                                     | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75194 | PA      | $71627.53     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2047#BH3647                                             | CUSIP: 3140GSBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2402 | PA      | $2310.32      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/32 #648070                                                      | CUSIP: 31390J6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $114.19       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H010 FA TSFR1M+44.448 5/60                                          | CUSIP: 38375BBV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      25712 | PA      | $25738.91     | 0.00%             | 2060-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 04/01/2049#BN6036                                               | CUSIP: 3140JNV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29871 | PA      | $27737.33     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4% 04/20/2048#BG3507                                                 | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13151 | PA      | $12191.12     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/26 #313264                                                      | CUSIP: 31374F5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.42         | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 5/32 #552576                                                      | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        150 | PA      | $153.87       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 3/41 #783267                                                      | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35909 | PA      | $34480.58     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 1/31 #781247                                                      | CUSIP: 36225BL48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.57        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 12/26 #323242                                                     | CUSIP: 31374TBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.94         | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 09/01/2053#QH0277                                             | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     822889 | PA      | $855115.45    | 0.05%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 06/01/2035#310165                                             | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25415 | PA      | $25558.04     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3.5% 05/38#MA3360                                                  | CUSIP: 31418CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15843 | PA      | $14973.79     | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745138                                                      | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6164 | PA      | $6058.95      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.03% 1/37 #1A1202                                                  | CUSIP: 3128NFKP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4291 | PA      | $4371.22      | 0.00%             | 2037-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.12% 7/35 #1L0109                                                  | CUSIP: 3128Q2DN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114877 | PA      | $117542.34    | 0.01%             | 2035-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AT2645                                               | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4898 | PA      | $4405.92      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 02/01/2035#FM2518                                             | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115157 | PA      | $107653.37    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/41 #552552                                                     | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3753 | PA      | $3592.75      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/36 #A51069                                                      | CUSIP: 3128KDFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $237.00       | 0.00%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 08/01/2040#V81886                                             | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38963 | PA      | $35678.35     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 06/01/2041#Q01604                                             | CUSIP: 3132GEX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3709 | PA      | $3725.90      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2% 06/01/2055 #TBA                                                 | CUSIP: 01F020661<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   19200000 | PA      | $14924248.32  | 0.85%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                                 | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9050 | PA      | $8042.93      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2412 FK SOFR30A+91.448 1/32                                              | CUSIP: 31339DTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        262 | PA      | $262.32       | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT CSTR 08/25/2025                               | CUSIP: 3137BLW95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12706738 | PA      | $12655077.24  | 0.72%             | 2025-08-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/01/2034#FM0046                                               | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219787 | PA      | $209167.60    | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 06/45#AZ3341                                                    | CUSIP: 3138YUWB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26139 | PA      | $24524.93     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3244 SG SOFR30A+654.552 11/36                                            | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      21449 | PA      | $1881.07      | 0.00%             | 2036-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 3/41 #004977                                                   | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16944 | PA      | $16238.45     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/41 #Q02763                                                      | CUSIP: 3132GGB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2920 | PA      | $2868.38      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 9/39 #A88585                                                      | CUSIP: 312935RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13233 | PA      | $13070.81     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.283 6/1/41                                                        | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10872 | PA      | $11283.34     | 0.00%             | 2041-06-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                            | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2278108 | PA      | $2273288.83   | 0.13%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 3.5% 08/25/2047                               | CUSIP: 3136AYWR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1163518 | PA      | $1152407.71   | 0.07%             | 2047-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/51#MA4468                                                  | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     987553 | PA      | $880888.54    | 0.05%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #404971                                                     | CUSIP: 31378P2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.54         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 8/41 #005139                                                   | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1874 | PA      | $1793.26      | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 04/01/2041#                                                   | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6072 | PA      | $5968.33      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/01/2045#Q33769                                             | CUSIP: 3132QQFK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36380 | PA      | $35263.49     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4% 04/20/2048#BG7744                                                 | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14309 | PA      | $13264.26     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2526 FC SOFR30A+51.448 11/32                                             | CUSIP: 31393FGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3981 | PA      | $3974.74      | 0.00%             | 2032-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 11/01/2052#CB5128                                               | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5353218 | PA      | $5258906.89   | 0.30%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.679% 02/01/2039#AL8741                                           | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14824 | PA      | $15310.69     | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2042#AJ7531                                             | CUSIP: 3138E0LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17119 | PA      | $15869.68     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 02/01/2049#MA3593                                             | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12924 | PA      | $12365.63     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 8/42 #AO9892                                                      | CUSIP: 3138M17E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17832 | PA      | $16555.73     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.125% 11/30/2031                                                  | CUSIP: 91282CLZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6510000 | PA      | $6506439.81   | 0.37%             | 2031-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #738885                                                     | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9554 | PA      | $9162.19      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-17 PG 6% 4/29                                                       | CUSIP: 31359VSD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       2351 | PA      | $2384.26      | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 4.889% 3/33 #847126                                                 | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1127.36      | 0.00%             | 2033-03-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 9/41 #Q03090                                                      | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29008 | PA      | $28549.30     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 11/01/2036#MA2804                                               | CUSIP: 31418CDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17063 | PA      | $16002.27     | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.44% 2/37 #888171                                                  | CUSIP: 31410FW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21487 | PA      | $22150.84     | 0.00%             | 2037-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21845                                             | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12238 | PA      | $11577.63     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 3/29 #323688                                                      | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $43.22        | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 06/01/2051#FM7507                                             | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2670175 | PA      | $2214140.55   | 0.13%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 07/01/2053#RA9383                                               | CUSIP: 3133KRM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2676457 | PA      | $2728978.00   | 0.16%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 3/26 #339830                                                      | CUSIP: 31375NPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $39.30        | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2041#AJ7242                                             | CUSIP: 3138E0BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26257 | PA      | $25769.04     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2047#Q49393                                             | CUSIP: 3132WPNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62390 | PA      | $59969.05     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/41 #783501                                                      | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52971 | PA      | $53219.05     | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 12/01/2032#J38057                                               | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7806 | PA      | $7542.90      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 8/35 #830779                                                      | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        509 | PA      | $537.00       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 05/47#BM1277                                                    | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     157330 | PA      | $147175.04    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2048#Q54192                                               | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10970 | PA      | $10268.49     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2048#Q54900                                             | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90177 | PA      | $81503.44     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AR3124                                               | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9298 | PA      | $8374.27      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2046#BM4548                                             | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139510 | PA      | $137202.37    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 07/01/2042#AB5542                                             | CUSIP: 31417CEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19228 | PA      | $17387.18     | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 9/39 #710839                                                      | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9330 | PA      | $9174.74      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-74 FV SOFR30A+56.448 11/32                                          | CUSIP: 31392FRJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3919 | PA      | $3918.57      | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 351 12 5.5% 4/34                                                         | CUSIP: 3136FCJB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1466 | PA      | $223.95       | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 5/31 #520104                                                      | CUSIP: 36211QX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        114 | PA      | $117.36       | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 05/01/2034#C91764                                             | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54605 | PA      | $52948.15     | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 01/01/2048#CA0983                                             | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5654 | PA      | $5417.15      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2047#AX5831                                               | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11417 | PA      | $10576.90     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2.875% 05/15/2049                                | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4458100 | PA      | $3126590.89   | 0.18%             | 2049-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 12/01/2052#RA8306                                               | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1491676 | PA      | $1522346.32   | 0.09%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/28 #466842                                                      | CUSIP: 36209BS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $18.48        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 04/01/2044#AV7161                                             | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13290 | PA      | $12574.27     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/39 #692706                                                      | CUSIP: 36296JR31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5244 | PA      | $5159.82      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3832 PE 5% 3/41                                                          | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      69848 | PA      | $70007.10     | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 1% 08/15/2038                                 | CUSIP: 3137FFWL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    7272464 | PA      | $6878337.50   | 0.39%             | 2038-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 3/28 #251570                                                      | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.35        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #C03856                                                      | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83184 | PA      | $79232.77     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 12/01/2040#MA4204                                               | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15221 | PA      | $12952.64     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4% 07/31/2030                                                      | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6990000 | PA      | $6991638.32   | 0.40%             | 2030-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.91% 3/36 #865849                                                  | CUSIP: 31409A5J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43732 | PA      | $45104.69     | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP5129                                                      | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15588 | PA      | $14431.94     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 8/28 #464767                                                      | CUSIP: 36208YJL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         29 | PA      | $29.32        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 06/01/2035#FM3591                                               | CUSIP: 3140X67D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11986521 | PA      | $10929150.62  | 0.62%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 05/01/2045#G61807                                               | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64697 | PA      | $61695.83     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 02/35#BO9279                                                  | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80057 | PA      | $74665.64     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 7/32 #545759                                                      | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23430 | PA      | $24345.52     | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 03/01/2054#CB8113                                             | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     925059 | PA      | $950735.83    | 0.05%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 4/1/43 #AB8881                                                  | CUSIP: 31417F2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20581 | PA      | $18544.67     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 10/01/2052#CB4893                                               | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5116540 | PA      | $5012007.62   | 0.29%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2947 XZ 6% 3/35                                                          | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      27984 | PA      | $28647.31     | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 8/30 #567034                                                      | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1290 | PA      | $1322.09      | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 10/39 #AC0435                                                     | CUSIP: 31417JPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2730 | PA      | $2683.65      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3119 PO 0 2/36                                                           | CUSIP: 31396HSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      15912 | PA      | $13030.34     | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2050#BQ8507                                               | CUSIP: 3140KUNZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35851 | PA      | $31112.81     | 0.00%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.65% 7/37 #942609                                                  | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3462 | PA      | $3593.03      | 0.00%             | 2037-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AL2537                                                      | CUSIP: 3138EJZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31268 | PA      | $28917.57     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 07/01/2045#Q34759                                             | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18524 | PA      | $16374.71     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2043#AT3998                                             | CUSIP: 3138WRNQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1952 | PA      | $1790.38      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H17 FA TSFR1M+64.448 6/61                                           | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     127260 | PA      | $127785.05    | 0.01%             | 2061-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                            | CITI SWAP PAY 4.03 04/25/30                                                  | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    8400000 | NC      | $345969.62    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 10/39 #G08368                                                     | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23753 | PA      | $23410.36     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 05/01/2043#Q18481                                             | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10185 | PA      | $9643.01      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 10/01/2031#AS8010                                             | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34735 | PA      | $33283.75     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.29% 3/36 #1G1852                                                  | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2728 | PA      | $2797.25      | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 2/44 #AG9361                                                      | CUSIP: 36182EMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13420 | PA      | $12341.40     | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4.5% 08/01/2039#FM1353                                             | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57859 | PA      | $56771.27     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                  | CUSIP: 3136AA4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     195888 | PA      | $181392.75    | 0.01%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 03/01/2051#SD8134                                               | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1956506 | PA      | $1531569.29   | 0.09%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/29 #252805                                                     | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $23.02        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6.5% 11/31 #003161                                                   | CUSIP: 36202DQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        153 | PA      | $157.08       | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/40 #737311                                                      | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5817 | PA      | $5843.12      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 06/01/2055 #TBA                                                   | CUSIP: 21H020667<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -5950000 | PA      | $-4780388.27  | -0.27%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/41 #Q00753                                                      | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6589 | PA      | $6475.15      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2045#Q30829                                             | CUSIP: 3132QL4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4226 | PA      | $4095.89      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 05/15/2043#AD0745                                             | CUSIP: 36180BZJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3451 | PA      | $3104.23      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US ULTRA BOND CBT FUT SEP25 WNU5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -19 | NC      | $-57928.91    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 9/34 #574764                                                      | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        721 | PA      | $745.48       | 0.00%             | 2034-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/31 #622547                                                      | CUSIP: 31389DTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        328 | PA      | $343.19       | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5.5% 12/20/2054#MB0092                                               | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     892646 | PA      | $887015.52    | 0.05%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 06/01/2035#BP5637                                               | CUSIP: 3140KDHP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9364147 | PA      | $8538104.84   | 0.49%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP PAY 3.95 04/29/30                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    6510000 | NC      | $277999.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 9/41 #Q03358                                                      | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11671 | PA      | $11133.10     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 7/41 #AL0913                                                      | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28055 | PA      | $29426.76     | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-75 FA SOFR30A+111.448 11/32                                         | CUSIP: 31392FMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      11579 | PA      | $11653.68     | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/28 #251822                                                      | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $66.11        | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q20358                                             | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5274 | PA      | $4984.98      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/51#BQ1010                                                    | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138714 | PA      | $109106.43    | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 6% 07/01/2055 #TBA                                                 | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   10000000 | PA      | $10087501.00  | 0.57%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #737007                                                      | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6267 | PA      | $6164.82      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2015-H13 FL TSFR1M+39.448 05/63                                          | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      24868 | PA      | $24746.19     | 0.00%             | 2063-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2003-21 SK SOFR30A+798.552 3/33                                          | CUSIP: 31392JY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        722 | PA      | $74.34        | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 6% 07/01/2055 #TBA                                                 | CUSIP: 01F060675<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -9700000 | PA      | $-9784875.97  | -0.56%            | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2045#Q33347                                             | CUSIP: 3132QPWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6786 | PA      | $6186.09      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 8/27 #455273                                                      | CUSIP: 36208MXA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $18.92        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 1/27 #256630                                                      | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        105 | PA      | $105.85       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 03/01/2043#AR9089                                             | CUSIP: 3138W7C36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31912 | PA      | $28786.99     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2040#V81750                                             | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68659 | PA      | $64121.70     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3% 06/01/2055 #TBA                                                 | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1500000 | PA      | $-1276874.25  | -0.07%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 02/01/2041#                                                     | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16220 | PA      | $13772.28     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                       | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    5996541 | PA      | $5138022.30   | 0.29%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/28 #251410                                                      | CUSIP: 31371GGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $36.25        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2050#CA6009                                             | CUSIP: 3140QDVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58165 | PA      | $51900.52     | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/28 #456151                                                      | CUSIP: 36208NWL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $36.18        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 02/34#G30703                                                  | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     494846 | PA      | $481334.96    | 0.03%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2047#CA0324                                             | CUSIP: 3140Q7LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29065 | PA      | $27873.50     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE7376                                               | CUSIP: 31419JFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6299 | PA      | $6002.97      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2046#Q40085                                             | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70139 | PA      | $63874.67     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 6/41 #Q01208                                                      | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4310 | PA      | $4246.98      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 08/01/2032#                                                   | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        788 | PA      | $819.86       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/40 #739706                                                      | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3292 | PA      | $3306.68      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE7679                                               | CUSIP: 31419JQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16782 | PA      | $15984.31     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 7/39 #931506                                                      | CUSIP: 31412P3P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5047 | PA      | $4969.73      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.898% 5/35 #995272                                                 | CUSIP: 31416BT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2099 | PA      | $2151.91      | 0.00%             | 2035-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 07/01/2047#BE8819                                               | CUSIP: 3140FUYR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     138288 | PA      | $129362.01    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 10/01/2033#                                                     | CUSIP: 31296PYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1796 | PA      | $1807.82      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 10/40 #A94662                                                     | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6726 | PA      | $6610.32      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TENNESSEE VALLEY AUTHORITY 5.25% 09/15/2039                                  | CUSIP: 880591EH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    2235000 | PA      | $2302232.15   | 0.13%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 09/20/2051#785619                                               | CUSIP: 3622ABDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4314971 | PA      | $3585570.97   | 0.20%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 5/40 #741269                                                      | CUSIP: 3620AVQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1262 | PA      | $1238.41      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/28 #413862                                                      | CUSIP: 31379AWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         98 | PA      | $100.27       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H05 FA TSFR1M+61.448 12/60                                          | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     131237 | PA      | $131707.67    | 0.01%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2048#G67716                                             | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156815 | PA      | $151219.85    | 0.01%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6.00% 11/31 #003160                                                  | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        863 | PA      | $884.54       | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-63 FN SOFR30A+111.448 10/32                                         | CUSIP: 31392ED23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        799 | PA      | $804.48       | 0.00%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2008-83 FB TSFR1M+101.448 9/38                                           | CUSIP: 38375YFB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     335262 | PA      | $339058.67    | 0.02%             | 2038-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2051#CB2446                                             | CUSIP: 3140QMWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98902 | PA      | $88312.64     | 0.01%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6% 01/20/2055#MB0148                                                 | CUSIP: 3618N5EW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     493844 | PA      | $499018.36    | 0.03%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2010-150 ZC 4.75% 01/41                                                  | CUSIP: 31397QAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     136214 | PA      | $133900.23    | 0.01%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                               | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         61 | PA      | $0.38         | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AT1323                                               | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8075 | PA      | $7272.05      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 5/40 #004696                                                   | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4638 | PA      | $4563.80      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2.5% 06/01/2055 #TBA                                               | CUSIP: 01F022667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -7450000 | PA      | $-6071457.96  | -0.35%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2052#                                                   | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137691 | PA      | $122947.88    | 0.01%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AB7273                                             | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7624 | PA      | $6876.52      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 10/01/2045#Q37045                                               | CUSIP: 3132QTZK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5822 | PA      | $5456.60      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AR0530                                             | CUSIP: 3138NWSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7608 | PA      | $6852.46      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 8/36 #AE0746                                                      | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56015 | PA      | $58303.53     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2043#Q20707                                             | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10200 | PA      | $9653.64      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/42#AP5393                                                  | CUSIP: 3138M87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11540 | PA      | $10666.33     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 4/41 #734392                                                      | CUSIP: 3620AM2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4931 | PA      | $4952.67      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2048#CA2631                                               | CUSIP: 3140Q94R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52559 | PA      | $48886.93     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 1/40 #AD0732                                                      | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12249 | PA      | $12850.83     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/40 #682568                                                     | CUSIP: 36295WJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17994 | PA      | $17284.05     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.125% 03/31/2032                                                  | CUSIP: 91282CMT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19000000 | PA      | $18961406.25  | 1.08%             | 2032-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13654                                             | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6890 | PA      | $6529.01      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 01/01/2032#                                                     | CUSIP: 31287NUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        326 | PA      | $336.92       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/1/42 #AL3046                                               | CUSIP: 3138EKL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37832 | PA      | $34199.46     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 4.5% 04/25/2046                               | CUSIP: 3136AVT90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     744228 | PA      | $733496.09    | 0.04%             | 2046-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                               | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      14801 | PA      | $14997.64     | 0.00%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 09/01/2042#ZL3774                                             | CUSIP: 3131XKFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1263458 | PA      | $1168576.15   | 0.07%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 10/15/2040#705890                                             | CUSIP: 36297AF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18915 | PA      | $18156.49     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #678655                                                      | CUSIP: 36295R5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8543 | PA      | $8371.71      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 4/32 #C01343                                                      | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        202 | PA      | $209.99       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                        | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1256558 | PA      | $1027665.10   | 0.06%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.264% 08/01/2041#AL6552                                           | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40207 | PA      | $40343.96     | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.282% 07/25/2026                             | CUSIP: 3137FNWX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6882741 | PA      | $6729510.44   | 0.38%             | 2026-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.893% 10/35 #847787                                                | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5087 | PA      | $5188.76      | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2587 AD 4.71 3/33                                                        | CUSIP: 31393N5L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     305585 | PA      | $303157.37    | 0.02%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 09/01/2043#AL5059                                             | CUSIP: 3138EMTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65698 | PA      | $59184.42     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 1/36 #745154                                                      | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        652 | PA      | $680.83       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 07/01/2031#V61246                                             | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48102 | PA      | $46207.55     | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2012-H07 FA TSFR1M+74.448 3/20/62                                        | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     280088 | PA      | $281549.02    | 0.02%             | 2062-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 5% 04/48#784805                                                      | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     298369 | PA      | $297138.43    | 0.02%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                               | CUSIP: 31394EWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      51868 | PA      | $53419.03     | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 04/15/2043#AA6309                                             | CUSIP: 36178EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14343 | PA      | $13237.28     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 11/39 #678648                                                     | CUSIP: 36295R5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10811 | PA      | $10605.08     | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 2/28 #251500                                                      | CUSIP: 31371GKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.66         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 1/28 #313947                                                      | CUSIP: 31374GWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.78         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 01/01/2035#FM2286                                               | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     392429 | PA      | $373468.20    | 0.02%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 5% 06/01/2055 #TBA                                                 | CUSIP: 01F050668<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -15500000 | PA      | $-15007749.45 | -0.85%            | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 7/40 #A93142                                                      | CUSIP: 312941P35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8346 | PA      | $8224.88      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.0% 08/45#AS5634                                                       | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29435 | PA      | $25949.11     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #722204                                                      | CUSIP: 3620A8KR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5590 | PA      | $5500.31      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/31 #468613                                                      | CUSIP: 36209DSA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        126 | PA      | $129.25       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.417% 12/01/2040#848392                                            | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25709 | PA      | $26635.89     | 0.00%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/32 #578193                                                      | CUSIP: 36201BKE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        396 | PA      | $401.97       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2051#SD8184                                               | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     431901 | PA      | $370566.93    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 339 5 5.5% 8/33                                                          | CUSIP: 3136FAZ78<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       3404 | PA      | $484.29       | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 10/20/2050#MA6930                                                 | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8340403 | PA      | $6703804.95   | 0.38%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2% 08/15/2051                                    | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33422000 | PA      | $18778986.25  | 1.07%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2357 ZB 6.5% 9/31                                                        | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      19670 | PA      | $20158.68     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 2101 PD 6% 11/28                                                         | CUSIP: 3133TGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1729 | PA      | $1757.88      | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/41 #AE6390                                                      | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80595 | PA      | $76912.56     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 01/01/2043#Q15247                                             | CUSIP: 3132J6HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11829 | PA      | $10582.27     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2044#Q30263                                             | CUSIP: 3132QLJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7328 | PA      | $7114.51      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.75% 08/25/2044                              | CUSIP: 3137H7FZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3006153 | PA      | $2893403.11   | 0.16%             | 2044-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/48#G61343                                                    | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126918 | PA      | $118443.48    | 0.01%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 4/41 #Q00114                                                      | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6187 | PA      | $6074.39      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 11/01/2052#FS3295                                               | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1321029 | PA      | $1293627.68   | 0.07%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2041#Q01212                                             | CUSIP: 3132GEKZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2297 | PA      | $2258.26      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                            | CITI SWAP REC 4.03 04/25/30                                                  | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |    8400000 | NC      | $308944.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/40 #AE9416                                                     | CUSIP: 31419LPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1051 | PA      | $993.08       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE9771                                               | CUSIP: 31419L2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12995 | PA      | $12393.41     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 3/28 #456712                                                      | CUSIP: 36208PKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1022 | PA      | $1040.49      | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV3.25% MAC 06/18/28                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -122948000 | NC      | $285644.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 4.125% 08/15/2044                                | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17670000 | PA      | $15878841.75  | 0.90%             | 2044-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 6/40 #G05898                                                      | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8270 | PA      | $8323.15      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 11/31 #C01258                                                     | CUSIP: 31292HMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $359.67       | 0.00%             | 2031-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2043#Q15107                                             | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5136 | PA      | $4861.18      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 08/01/2034#C91782                                             | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91295 | PA      | $88479.99     | 0.01%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 12/37 #A69706                                                     | CUSIP: 3128L1YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7481 | PA      | $7848.13      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 07/01/2046#AL9515                                             | CUSIP: 3138ERSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143963 | PA      | $130663.54    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 3.75% 06/30/2030                                                   | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26780000 | PA      | $26491278.13  | 1.51%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 01/01/2039#K94441                                               | CUSIP: 3132LQZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16932 | PA      | $16171.12     | 0.00%             | 2039-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2045#Q33724                                             | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19088 | PA      | $17430.75     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2011-68 EC 3.5% 4/20/41                                                  | CUSIP: 38377VW93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      30788 | PA      | $30131.30     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 07/15/2045#AN5744                                             | CUSIP: 36186NLZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10350 | PA      | $9652.73      | 0.00%             | 2045-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 01/20/2052#MA7826                                                 | CUSIP: 36179WVT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12795148 | PA      | $10284416.14  | 0.58%             | 2052-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 6/40 #A92350                                                      | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6604 | PA      | $6646.83      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/31 #604620                                                      | CUSIP: 31388GVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $35.39        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4% 01/15/2041                                 | CUSIP: 3137ADSL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   10161404 | PA      | $9655296.03   | 0.55%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/01/2047#AS9990                                             | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27121 | PA      | $26008.90     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 06/15/2043#AC2222                                             | CUSIP: 36179BPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3255 | PA      | $2947.98      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.228% 7/41#AI3469                                                  | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17399 | PA      | $18087.54     | 0.00%             | 2041-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/39 #720064                                                      | CUSIP: 3620A55Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6015 | PA      | $5922.99      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 03/01/2041#SC0136                                               | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     970027 | PA      | $828478.97    | 0.05%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 9/26 #G30299                                                 | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        291 | PA      | $293.05       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 06/15/2043#AE4598                                             | CUSIP: 36180XDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5132 | PA      | $4731.28      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2042#AQ3314                                             | CUSIP: 3138MJVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9653 | PA      | $9458.73      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2047#AX5857                                               | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13125 | PA      | $12159.22     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 03/01/2052#CB3174                                             | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4766486 | PA      | $4256132.42   | 0.24%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/41 #AH4471                                                      | CUSIP: 3138A56H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4281 | PA      | $4082.44      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2047#AL9776                                             | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441524 | PA      | $400320.70    | 0.02%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR0739                                             | CUSIP: 3138NWZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12504 | PA      | $11238.74     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 02/15/2045#777576                                             | CUSIP: 36176VT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21534 | PA      | $19113.74     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/40#V81744                                                  | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33309 | PA      | $31081.18     | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 10/01/2045#AL7413                                             | CUSIP: 3138EQGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13995 | PA      | $13161.89     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13121                                             | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19436 | PA      | $18477.98     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 02/01/2055#SL0430                                               | CUSIP: 31427MPQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1262481 | PA      | $1293172.84   | 0.07%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/28 #475908                                                      | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         67 | PA      | $67.57        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.5% 09/15/2039#713871                                             | CUSIP: 36297KCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4357 | PA      | $4286.42      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 3/41 #738106                                                      | CUSIP: 3620ASAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3099 | PA      | $3112.91      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 7/40 #004923                                                   | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18612 | PA      | $18304.87     | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19606                                             | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9205 | PA      | $8738.22      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 07/01/2050#RA2976                                             | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1450352 | PA      | $1202196.16   | 0.07%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 08/01/2033#727029                                             | CUSIP: 31402EVW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $356.14       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 11/39 #935695                                                     | CUSIP: 31412U7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4268 | PA      | $4194.60      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 3/36 #888342                                                      | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6854 | PA      | $7118.69      | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 11/01/2042#AQ2171                                             | CUSIP: 3138MHMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10360 | PA      | $9334.57      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2013-133 IB 3% 04/32                                                     | CUSIP: 3136AHQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1308 | PA      | $4.31         | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 06/15/2045#AN5671                                             | CUSIP: 36186NJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3795 | PA      | $3612.03      | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP REC 3.89 04/21/26                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   -9200000 | NC      | $-295296.54   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 09/01/2033#                                                     | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5188 | PA      | $5376.21      | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3366 FD SOFR30A+36.448 5/37                                              | CUSIP: 31397KMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      16716 | PA      | $16505.93     | 0.00%             | 2037-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/29 #520559                                                     | CUSIP: 31384DJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $244.72       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/41 #778681                                                     | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9836 | PA      | $9412.27      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 12/35 #AD0723                                                     | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84120 | PA      | $87631.88     | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2047#Q48759                                             | CUSIP: 3132WNWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148689 | PA      | $142965.79    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 03/01/2043#AT0162                                             | CUSIP: 3138WMFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5712 | PA      | $4964.31      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE7382                                               | CUSIP: 31419JFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4341 | PA      | $4175.94      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 01/01/43#AQ1113                                                 | CUSIP: 3138MGGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19367 | PA      | $17551.13     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 6/41 #005082                                                   | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108527 | PA      | $106701.19    | 0.01%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19690                                             | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19371 | PA      | $18393.00     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.543% 01/44#AV5544                                                 | CUSIP: 3138XHES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48761 | PA      | $50233.80     | 0.00%             | 2044-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 11/01/2032#C73584                                               | CUSIP: 31288B6V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2846 | PA      | $2941.64      | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/46#AS7008                                                    | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8820 | PA      | $7943.45      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/31 #474767                                                      | CUSIP: 36209LMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $22.97        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 9/33 #C01622                                                      | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2179 | PA      | $2193.91      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 2006-62 KP PO 0% 4/36                                                    | CUSIP: 31395N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       6675 | PA      | $5589.02      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 05/01/2040#                                                     | CUSIP: 312940LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2092 | PA      | $2106.04      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5.0% 04/15/2041                               | CUSIP: 3137A9MV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2190666 | PA      | $2192890.72   | 0.12%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                               | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      30474 | PA      | $30096.50     | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2040#V81771                                             | CUSIP: 3132L66G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11404 | PA      | $10638.39     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2044#Q24546                                             | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9341 | PA      | $8839.51      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT0648                                                | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61130 | PA      | $56385.07     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047                                 | CUSIP: 38380UVE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     194097 | PA      | $179635.91    | 0.01%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2048#MA3307                                             | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23735 | PA      | $22739.82     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 01/01/2035#FM2349                                               | CUSIP: 3140X5TF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1072394 | PA      | $1020580.49   | 0.06%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/41 #552550                                                     | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5910 | PA      | $5658.84      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 05/01/2047#AS9602                                             | CUSIP: 3138WKU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12814 | PA      | $12304.85     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 4/26 #303856                                                      | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $37.84        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 07/01/2053#RA9382                                               | CUSIP: 3133KRM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3022301 | PA      | $3085386.45   | 0.18%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2046#BC8334                                               | CUSIP: 3140F4HL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9885 | PA      | $9259.56      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                        | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2300965 | PA      | $2089995.81   | 0.12%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 9/41 #G06719                                                      | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21777 | PA      | $21424.50     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2043#AQ7316                                             | CUSIP: 3138MPDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28001 | PA      | $24318.80     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 04/15/2043#AA6286                                             | CUSIP: 36178D6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5093 | PA      | $4576.68      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 12/20/2039#004592                                             | CUSIP: 36202FC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15145 | PA      | $14705.63     | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 08/01/2037#AB8009                                             | CUSIP: 31417E3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1080 | PA      | $1071.60      | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.0% 12/20/2042#AA5872                                               | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51929 | PA      | $47100.95     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/32 #582105                                                      | CUSIP: 36201FU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        157 | PA      | $161.45       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 11/20/2044#MA2372                                               | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     347079 | PA      | $329280.95    | 0.02%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #711174                                                      | CUSIP: 36297GCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3843 | PA      | $3782.68      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21835                                             | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16263 | PA      | $15418.20     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 10YR NOTE FUT (CBT)SEP25 TYU5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       1269 | NC      | $1752869.70   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 10/01/2050#CA7323                                               | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     516359 | PA      | $410503.54    | 0.02%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2% 06/01/2055 #TBA                                                 | CUSIP: 01F020661<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -19200000 | PA      | $-14924248.32 | -0.85%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2040#C03486                                             | CUSIP: 31292K2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3294 | PA      | $3243.11      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2043#Q22677                                             | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10542 | PA      | $9956.59      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 07/01/2043#AU1335                                             | CUSIP: 3138X0PV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6143 | PA      | $5646.21      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/41 #552554                                                     | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14384 | PA      | $13793.51     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 04/01/2042#MA1028                                             | CUSIP: 31418AEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3992 | PA      | $3791.43      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H14 FC TSFR1M+61.448 5/61                                           | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     121467 | PA      | $121930.63    | 0.01%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE8185                                               | CUSIP: 31419KCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7043 | PA      | $6692.23      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/35 #735744                                                      | CUSIP: 31402RLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        345 | PA      | $359.60       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 3.5% 01/31/2028                                                    | CUSIP: 91282CGH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5750000 | PA      | $5696542.94   | 0.32%             | 2028-01-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 02/01/2047#Q46222                                             | CUSIP: 3132WK4G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41174 | PA      | $39589.00     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 1/41 #AB2079                                                      | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97189 | PA      | $92732.53     | 0.01%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 7/32 #545762                                                      | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4656 | PA      | $4836.01      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2043#Q15893                                             | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10020 | PA      | $9495.48      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6% 06/01/2055 #TBA                                                   | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -12400000 | PA      | $-12520438.72 | -0.71%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2043#AR2887                                             | CUSIP: 3138W0F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8003 | PA      | $6965.88      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 7/27 #451321                                                      | CUSIP: 36208HLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $6.09         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2012-H01 FA TSFR1M+81.448 11/61                                          | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     512792 | PA      | $515862.25    | 0.03%             | 2061-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/40 #AE4645                                                     | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5720 | PA      | $5478.64      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 02/15/2043#AD1736                                             | CUSIP: 36180C4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90139 | PA      | $83742.88     | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 08/01/2032#J37406                                               | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8078 | PA      | $7822.00      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 02/20/2051#MA7192                                                 | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     382555 | PA      | $307487.88    | 0.02%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 02/15/2043#AD2180                                             | CUSIP: 36180DM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4224 | PA      | $3915.66      | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.66% 4/36 #868559                                                  | CUSIP: 31409D5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16638 | PA      | $17202.78     | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 4/36 #A79236                                                      | CUSIP: 3128LDHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14821 | PA      | $14927.20     | 0.00%             | 2036-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2042#Q06232                                             | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43268 | PA      | $41154.01     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2042#Q12215                                             | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1840 | PA      | $1743.11      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 05/20/2046#AS9183                                               | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3501 | PA      | $3152.67      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.21% 3/36 #1G1851                                                  | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3584 | PA      | $3646.38      | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.00% 6/36 #782394                                                      | CUSIP: 36241KUT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1055987 | PA      | $1088868.74   | 0.06%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/01/2045#BA3906                                             | CUSIP: 3140E8KU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8609 | PA      | $7867.64      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 04/01/2043#AT2008                                             | CUSIP: 3138WPGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42305 | PA      | $36770.62     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2004-73 AL TSFR1M+708.552 8/34                                           | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       4659 | PA      | $404.87       | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/40 #AE4113                                                     | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25437 | PA      | $24307.14     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 02/01/2028#FS3865                                               | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     568650 | PA      | $553818.47    | 0.03%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.375% 12/15/2026                                                  | CUSIP: 91282CJP7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     350000 | PA      | $351886.72    | 0.02%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 02/01/2043#Q15062                                             | CUSIP: 3132J6B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8775 | PA      | $7911.24      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 09/01/2041#FM9587                                               | CUSIP: 3140XDUM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1222958 | PA      | $1100688.38   | 0.06%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 6/41 #Q01393                                                      | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6930 | PA      | $6828.14      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 02/01/2051#                                                   | CUSIP: 3140QHK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3302159 | PA      | $2952720.14   | 0.17%             | 2051-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK9701                                                      | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6711 | PA      | $6373.09      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 10/01/2041#AL4242                                             | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32530 | PA      | $32693.62     | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/41 #AJ4047                                                     | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125959 | PA      | $119950.04    | 0.01%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 07/01/2041#Q02189                                             | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1682 | PA      | $1692.25      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 09/01/2035#                                                     | CUSIP: 31297TTR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        244 | PA      | $245.31       | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1.65% 01/20/2063                                | CUSIP: 38375BE73<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |          2 | PA      | $2.01         | 0.00%             | 2063-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2933 ZM 5.75% 02/15/2035                                                 | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      71350 | PA      | $70632.36     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H14 FB TSFR1M+61.448 5/61                                           | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     120292 | PA      | $120817.52    | 0.01%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5.5% 06/01/2055 #TBA                                                 | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15600000 | PA      | $15493008.96  | 0.88%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 5% 01/25/2042                                 | CUSIP: 3136A8GS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      46127 | PA      | $46244.67     | 0.00%             | 2042-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR1910                                             | CUSIP: 3138NYDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16583 | PA      | $14933.00     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2043#AQ9947                                             | CUSIP: 3138MSBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8403 | PA      | $7787.40      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 02/01/2041#                                                   | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4569 | PA      | $4488.68      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 5.5% 06/01/2055 #TBA                                               | CUSIP: 01F052664<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -17100000 | PA      | $-16934355.72 | -0.96%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/47#Q47942                                                  | CUSIP: 3132WMZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33628 | PA      | $32333.59     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2041#G06800                                             | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8815 | PA      | $8410.64      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA SOFR30A+593.552 01/25/2044        | CUSIP: 3136AHTW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      17161 | PA      | $1860.86      | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 10/41 #Q04113                                                     | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11349 | PA      | $10822.87     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/29 #357040                                                      | CUSIP: 31376JS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $95.45        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/40 #AH0851                                                     | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1994 | PA      | $1897.45      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 3% 02/15/2049                                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   95773600 | PA      | $68971956.63  | 3.92%             | 2049-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/26 #250736                                                     | CUSIP: 31371FPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.22         | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #726956                                                      | CUSIP: 31402ETM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2077 | PA      | $2056.24      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.280% 3/35 #843014                                                 | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10973 | PA      | $11158.01     | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 06/01/2050#SD8080                                               | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9796438 | PA      | $7693224.26   | 0.44%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.81% 1/36 #1J1262                                                  | CUSIP: 3128NHMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5188 | PA      | $5267.83      | 0.00%             | 2036-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2047#Q45635                                             | CUSIP: 3132WKHM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8424 | PA      | $8107.91      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 06/01/2053#RA9278                                               | CUSIP: 3133KRJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3478667 | PA      | $3545842.74   | 0.20%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.16% 9/35 #850124                                                  | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        317 | PA      | $325.54       | 0.00%             | 2035-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 04/01/2031#                                                     | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        266 | PA      | $274.31       | 0.00%             | 2031-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.75% 08/25/2025                              | CUSIP: 3137FJXQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15579119 | PA      | $15521226.96  | 0.88%             | 2025-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 07/01/2050#CA6416                                               | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5044317 | PA      | $4363442.41   | 0.25%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/01/2033#720240                                             | CUSIP: 31401WEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        261 | PA      | $258.93       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/41 #AJ5385                                                     | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35242 | PA      | $33524.36     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2006-12 BO 0% 10/35                                                      | CUSIP: 31394VS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       8129 | PA      | $7235.56      | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.61% 3/35 #1L0297                                                  | CUSIP: 3128Q2KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8570 | PA      | $8738.04      | 0.00%             | 2035-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.293% 3/35 #815586                                                 | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9834 | PA      | $10059.51     | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/28 #409486                                                      | CUSIP: 31378U2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $48.84        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 10/40 #004834                                                  | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3948 | PA      | $3883.91      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 02/01/2045#Q31307                                             | CUSIP: 3132QMNZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4443 | PA      | $4099.32      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 03/01/2045#AX9831                                             | CUSIP: 3138YB4R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8606 | PA      | $7606.06      | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 06/01/2055 #TBA                                                 | CUSIP: 21H042661<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5800000 | PA      | $5475528.86   | 0.31%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 3/1/43#AR6743                                                 | CUSIP: 3138W4P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27186 | PA      | $25041.46     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 6/42 #AB5423                                                      | CUSIP: 31417CAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66153 | PA      | $61255.73     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2052#CB2886                                               | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2467098 | PA      | $2119058.85   | 0.12%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 1/41 #AE9338                                                      | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3415 | PA      | $3261.35      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 05/43 #MA1012                                                   | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     286079 | PA      | $262623.54    | 0.01%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 04/15/2043#666342                                             | CUSIP: 36295CHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5591 | PA      | $4999.29      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 3.5% 03/25/2049                               | CUSIP: 3136B54E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     121636 | PA      | $118254.16    | 0.01%             | 2049-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 12/33 #G03583                                                     | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1510 | PA      | $1596.95      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 1/36 #839064                                                      | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        138 | PA      | $143.80       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.47% 3/40 #AD0820                                                  | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117077 | PA      | $121334.03    | 0.01%             | 2040-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 04/01/2037#BM1257                                             | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     669692 | PA      | $609187.59    | 0.03%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #479596                                                     | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        830 | PA      | $796.18       | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047                                 | CUSIP: 38380UAT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     172537 | PA      | $154444.82    | 0.01%             | 2047-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2045#Q32328                                             | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25255 | PA      | $23189.51     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/32 #565867                                                      | CUSIP: 36213VTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        192 | PA      | $198.05       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 09/01/2040#AE3951                                             | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4472 | PA      | $4259.07      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 09/15/2042#AB2330                                             | CUSIP: 36178MST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2019 | PA      | $1868.29      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 10/01/2042#AB6493                                             | CUSIP: 31417DGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12560 | PA      | $11312.08     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 6/33 #003401                                                   | CUSIP: 36202DX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        676 | PA      | $669.33       | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM TSFR1M+60 08/20/2063                            | CUSIP: 38375B5N8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      29254 | PA      | $29424.13     | 0.00%             | 2063-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2047#CA1780                                             | CUSIP: 3140Q86S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5197 | PA      | $4990.76      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2043#AQ9328                                             | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53698 | PA      | $49674.85     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 4/42 #MA0023                                                   | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53812 | PA      | $51429.84     | 0.00%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.5% 02/43 #Q15871                                                      | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15172 | PA      | $14177.41     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 2/27 #356391                                                      | CUSIP: 31376H2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $38.22        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 03/20/44#MA1760                                                 | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4209 | PA      | $3860.27      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 12/15/2046#AX5803                                               | CUSIP: 36196HNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2489 | PA      | $2313.33      | 0.00%             | 2046-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.50% 8/29 #781078                                                      | CUSIP: 36225BFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $18.17        | 0.00%             | 2029-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/40 #733919                                                      | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2076 | PA      | $2085.45      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 03/20/2052#                                                       | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2738855 | PA      | $2202278.31   | 0.13%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2050#FM3897                                               | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240161 | PA      | $189876.19    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 2/42 #757489                                                      | CUSIP: 36230SKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14341 | PA      | $13276.39     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 06/01/2054#CB8689                                             | CUSIP: 3140QUUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     864380 | PA      | $858149.67    | 0.05%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2051#FS4654                                               | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3292285 | PA      | $2583400.99   | 0.15%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/01/2041#                                                     | CUSIP: 3132GEVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4063 | PA      | $3867.54      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2039#AB0050                                             | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28664 | PA      | $28386.42     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 2/42 #757488                                                      | CUSIP: 36230SJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15934 | PA      | $14755.11     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 06/01/2038#K94293                                               | CUSIP: 3132LQUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8622 | PA      | $8261.89      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2802 ZG 5.5% 5/15/34                                                     | CUSIP: 31394YRN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1249137 | PA      | $1265395.61   | 0.07%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2043#AT2721                                             | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103559 | PA      | $93106.35     | 0.01%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 9/33 #734922                                                      | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1169 | PA      | $1157.42      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2045#Q34458                                             | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34218 | PA      | $32221.97     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FNR 2010-39 FG SOFR30A+103.448 3/36                                          | CUSIP: 31398PU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     840564 | PA      | $846130.72    | 0.05%             | 2036-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 10/27 #460697                                                     | CUSIP: 36208TX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        110 | PA      | $111.27       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 11/20/2050#MA6994                                                 | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5442422 | PA      | $4374481.05   | 0.25%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 5.47% 8/59 #725598                                                   | CUSIP: 3620ACDB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1211 | PA      | $1200.64      | 0.00%             | 2059-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 9/40 #004801                                                   | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41040 | PA      | $40371.38     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/26 #256384                                                      | CUSIP: 31371MXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.37        | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2040#A90709                                             | CUSIP: 312938YE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4064 | PA      | $4006.42      | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.5% 09/01/2053#CB7134                                             | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4007749 | PA      | $4155624.87   | 0.24%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 05/01/2033#G18687                                             | CUSIP: 3128MMXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7899 | PA      | $7515.34      | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2006-72 CY 6% 8/26                                                       | CUSIP: 31396KHM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      61181 | PA      | $61259.77     | 0.00%             | 2026-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2043#AB9238                                             | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6374 | PA      | $5730.40      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/35 #824358                                                      | CUSIP: 31406YZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $314.45       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/39 #713471                                                      | CUSIP: 36297JT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5359 | PA      | $5270.05      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AB7280                                             | CUSIP: 31417ECS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16229 | PA      | $14630.71     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2035#                                                     | CUSIP: 3128LXFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4007 | PA      | $4035.66      | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 07/01/2043#AL3931                                             | CUSIP: 3138ELLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2932 | PA      | $2771.79      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                  | CUSIP: 3136AA2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     253165 | PA      | $233972.05    | 0.01%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.752% 10/33 #755148                                                | CUSIP: 31403Q5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12446 | PA      | $12617.24     | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                 | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2968040 | PA      | $2609009.37   | 0.15%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/01/2032#BM5345                                               | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136522 | PA      | $132283.78    | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 10/37 #995073                                                     | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12123 | PA      | $12685.16     | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 12/26 #C91019                                                | CUSIP: 3128P7DY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $169.29       | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2802 OB 6% 5/34                                                          | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       9265 | PA      | $9443.33      | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/47#AL9779                                                    | CUSIP: 3138ER2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25739 | PA      | $24141.56     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 11/31#G05173                                                  | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1054 | PA      | $1047.09      | 0.00%             | 2031-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/01/2048#BM3532                                               | CUSIP: 3140J74S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46597 | PA      | $43428.70     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT3073                                                | CUSIP: 3138WQMX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10052 | PA      | $9272.64      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2046#AS7822                                             | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70889 | PA      | $64339.65     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 03/01/2043#Q16131                                             | CUSIP: 3132J7HH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3155 | PA      | $2986.86      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #772072                                                     | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6416 | PA      | $6139.47      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 5/27 #447102                                                      | CUSIP: 36208CU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         24 | PA      | $24.65        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 4/39 #930854                                                      | CUSIP: 31412PE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        770 | PA      | $757.69       | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 6/27 #780580                                                      | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         72 | PA      | $73.29        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2007-66 SB SOFR30A+3891.312 7/37                                         | CUSIP: 31396WYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        881 | PA      | $976.72       | 0.00%             | 2037-07-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                        | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    4054323 | PA      | $4036782.96   | 0.23%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.50% 1/42 #005279                                                   | CUSIP: 36202F2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2504 | PA      | $2319.02      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5% 9/33 #003442                                                      | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30922 | PA      | $31096.14     | 0.00%             | 2033-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.43% 01/25/2027                              | CUSIP: 3137BVZ82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1700000 | PA      | $1675147.02   | 0.10%             | 2027-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FNR 2010-118 PB 4.5% 10/40                                                   | CUSIP: 31398NUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1297103 | PA      | $1280014.35   | 0.07%             | 2040-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 03/01/2054#CB8112                                               | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     574604 | PA      | $581569.90    | 0.03%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 4/27 #780545                                                      | CUSIP: 36225ATA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $36.12        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 10/01/2046#BC4754                                               | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105802 | PA      | $99303.54     | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 3.875% 08/15/2034                                                  | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   36440000 | PA      | $35098690.97  | 2.00%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 02/15/2042#778869                                             | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4650 | PA      | $4452.19      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 11/01/2050#CA7616                                               | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363450 | PA      | $286101.67    | 0.02%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.4% 09/01/2042#AP9959                                             | CUSIP: 3138MEB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9082 | PA      | $8357.60      | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 01/01/2035#CA5039                                               | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140545 | PA      | $134106.24    | 0.01%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 3/32 #254240                                                      | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        841 | PA      | $883.64       | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 10/01/2032#                                                     | CUSIP: 31283HTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        274 | PA      | $283.89       | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 01/01/2046#G08687                                             | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35477 | PA      | $32242.02     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 03/01/2048#ZS4758                                               | CUSIP: 3132A5JB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6358 | PA      | $5533.39      | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2044#AL5512                                             | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40504 | PA      | $39350.16     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2051#MA4281                                               | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4970949 | PA      | $3891300.08   | 0.22%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR3691                                             | CUSIP: 3138W1C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9201 | PA      | $8225.24      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 5/27 #250912                                                      | CUSIP: 31371FVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.21         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3002 NE 5% 7/35                                                          | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      14867 | PA      | $15145.08     | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2045#AS4972                                             | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13122 | PA      | $11643.21     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2682 FB SOFR30A+101.448 10/33                                            | CUSIP: 31394KHG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     384948 | PA      | $387016.73    | 0.02%             | 2033-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2047#AS9422                                             | CUSIP: 3138WKPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2982 | PA      | $2863.86      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 1/37 #G02667                                                      | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1018 | PA      | $1025.18      | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 12/29 #524241                                                     | CUSIP: 31384HLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.72        | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/27 #313644                                                      | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $104.90       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #727160                                                      | CUSIP: 31402EZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $480.36       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 06/01/2053#CB6539                                               | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4507842 | PA      | $4596300.90   | 0.26%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H07 FA TSFR1M+61.448 3/61                                           | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     129397 | PA      | $129930.55    | 0.01%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 9/35 #A47784                                                      | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4351 | PA      | $4588.15      | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745088                                                      | CUSIP: 3620C0XR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5996 | PA      | $5894.63      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 1/42 #757487                                                      | CUSIP: 36230SJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18267 | PA      | $16901.47     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/40 #737454                                                      | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3544 | PA      | $3560.60      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 4.00% 4/34 #781481                                                  | CUSIP: 31349SUE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6665 | PA      | $6799.44      | 0.00%             | 2034-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.691% 02/01/2042#AK2344                                            | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53194 | PA      | $55415.08     | 0.00%             | 2042-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2047#G61047                                             | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75428 | PA      | $72878.05     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD    | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                     | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     155163 | PA      | $150996.99    | 0.01%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2043#AS0076                                             | CUSIP: 3138W9CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10388 | PA      | $9604.83      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/29 #323961                                                     | CUSIP: 31374TZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $66.31        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% #BM4385 08/48                                                 | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167959 | PA      | $165137.04    | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #713740                                                      | CUSIP: 36297J4Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10575 | PA      | $10398.12     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2051#CB3005                                               | CUSIP: 3140QNKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41648 | PA      | $35786.03     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/41 #AI2509                                                      | CUSIP: 3138AFYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1816 | PA      | $1734.22      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.0% 01/20/2043#MA0698                                               | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     279725 | PA      | $253068.85    | 0.01%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2012-H06 FA TSFR1M+74.448 1/62                                           | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     540144 | PA      | $543316.81    | 0.03%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21258                                             | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14572 | PA      | $13805.94     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2041#                                                   | CUSIP: 312944YF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4167 | PA      | $4104.01      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/40 #733989                                                     | CUSIP: 3620AMNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2030 | PA      | $1949.81      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 3/42 #794582                                                      | CUSIP: 36177PCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4405 | PA      | $4098.33      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 7/42 #AA8273                                                      | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4645 | PA      | $4307.65      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 05/15/2042#779220                                             | CUSIP: 36176XPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6630 | PA      | $5992.39      | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2011-94 SA TSFR1M+598.552 07/41                                          | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      18442 | PA      | $1754.21      | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/25 #303450                                                      | CUSIP: 31373UBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.97         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 07/01/2035#                                                     | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5205 | PA      | $5242.18      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 1/39 #701582                                                      | CUSIP: 36296UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3246 | PA      | $3310.44      | 0.00%             | 2039-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.50% 4/42 #C03811                                                      | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     327766 | PA      | $305092.21    | 0.02%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/40 #AE9065                                                     | CUSIP: 31419LCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3334 | PA      | $3182.25      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 10/01/2043#BM1167                                               | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35212 | PA      | $33498.09     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 01/01/2040#MA3890                                               | CUSIP: 31418DKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6766 | PA      | $6148.62      | 0.00%             | 2040-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                       | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1623852 | PA      | $1474495.19   | 0.08%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/29 #479545                                                      | CUSIP: 31382DWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $27.36        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2996 ZD 5.5% 06/35                                                       | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      44965 | PA      | $44310.75     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2024-K523 AS TSFR1M+55 05/25/2029             | CUSIP: 3137HDJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12494416 | PA      | $12467977.04  | 0.71%             | 2029-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/40 #741372                                                      | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2815 | PA      | $2766.41      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 5/36 #745550                                                      | CUSIP: 31403DH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        292 | PA      | $304.66       | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 4/28 #251615                                                      | CUSIP: 31371GN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $30.19        | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2711 FC SOFR30A+101.448 2/33                                             | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     300810 | PA      | $302482.41    | 0.02%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/47#BH0885                                                  | CUSIP: 3140GN6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3333 | PA      | $3200.87      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.78% 10/35 #1N0063                                                 | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1489 | PA      | $1552.67      | 0.00%             | 2035-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/39 #711476                                                     | CUSIP: 36297GMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9630 | PA      | $9253.31      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2008-73 FA TSFR1M+97.448 8/38                                            | CUSIP: 38375XJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     441442 | PA      | $445960.99    | 0.03%             | 2038-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/26 #349356                                                      | CUSIP: 31376ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $34.14        | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 12/01/2033#C91737                                             | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46261 | PA      | $44982.00     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 01/01/2037#MA2866                                               | CUSIP: 31418CFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148839 | PA      | $139307.23    | 0.01%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 04/01/2051#                                                   | CUSIP: 3140QKGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     951253 | PA      | $849995.44    | 0.05%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2770 FH SOFR30A+51.448 3/34                                              | CUSIP: 31394TZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      98963 | PA      | $98201.61     | 0.01%             | 2034-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/41 #AL1193                                                     | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40989 | PA      | $39034.51     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 3/42 #Q06886                                                      | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8100 | PA      | $7728.66      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                        | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      13444 | PA      | $534.84       | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96731                                                      | CUSIP: 312945PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17665 | PA      | $17394.79     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 12/01/2044#AW9502                                             | CUSIP: 3138XZRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10199 | PA      | $9610.94      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNMA 2017-H06 FA T1Y+35 08/66                                                | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     798133 | PA      | $794180.95    | 0.05%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE8603                                               | CUSIP: 31419KRZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9737 | PA      | $9290.69      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                        | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32131 | PA      | $30658.47     | 0.00%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                               | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1291741 | PA      | $1107111.21   | 0.06%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 7/35 #787578                                                      | CUSIP: 31405E6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        963 | PA      | $1004.11      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 06/01/2041#MA4364                                               | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17786 | PA      | $15064.61     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/28 #331338                                                      | CUSIP: 31375DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $64.68        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2044#Q24973                                             | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5617 | PA      | $5299.09      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/40#AE7364                                                    | CUSIP: 31419JFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7583 | PA      | $7221.54      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 03/01/2043#Q16470                                             | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7708 | PA      | $6959.41      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                        | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1137528 | PA      | $1127765.00   | 0.06%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 08/01/2043#AU2854                                               | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9258 | PA      | $8755.15      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 6% 07/01/2039#SB1215                                               | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5052021 | PA      | $5175551.57   | 0.29%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 0.0% 01/01/2042#AJ8357                                              | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122091 | PA      | $127081.73    | 0.01%             | 2042-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 06/01/2031#                                                     | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $92.48        | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19764                                             | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6944 | PA      | $6566.95      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 04/51#MA7311                                                      | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133933 | PA      | $107651.56    | 0.01%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2006-37 OW 0% 5/36                                                       | CUSIP: 31395DMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1615 | PA      | $1315.61      | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.5% 03/01/2053#SD7559                                             | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12628889 | PA      | $12664154.18  | 0.72%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/34 #725703                                                      | CUSIP: 31402DGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146594 | PA      | $152331.27    | 0.01%             | 2034-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3007 EW 5.5 7/25                                                         | CUSIP: 31395WEK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2122 | PA      | $2118.79      | 0.00%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4.5% 10/25/2044                               | CUSIP: 3137H9AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1230531 | PA      | $1215566.36   | 0.07%             | 2044-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19597                                             | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21399 | PA      | $20258.66     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AQ1181                                                     | CUSIP: 3138MGJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11869 | PA      | $10981.14     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 08/01/2043#AS0205                                             | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24209 | PA      | $21715.26     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 10/01/2044#AS3651                                             | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118810 | PA      | $115202.15    | 0.01%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.0% 8/45#Q35375                                                        | CUSIP: 3132QR6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5018 | PA      | $4436.06      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2044#AX6333                                             | CUSIP: 3138Y8BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2239 | PA      | $2167.08      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/32 #569328                                                      | CUSIP: 36200QPM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $35.07        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 10/01/2053#RJ0002                                             | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11384364 | PA      | $11797303.22  | 0.67%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TENNESSEE VALLEY AUTHORITY 5.375% 04/01/2056                                 | CUSIP: 880591DZ2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    2737000 | PA      | $2667760.47   | 0.15%             | 2056-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 2/40 #678654                                                      | CUSIP: 36295R5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10151 | PA      | $9743.92      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5.5% 06/01/2055 #TBA                                                 | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -15600000 | PA      | $-15493008.96 | -0.88%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 08/20/2043#MA1225                                               | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19831 | PA      | $18869.46     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 05/01/2055#CC0404                                               | CUSIP: 3140Y6NW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2918373 | PA      | $2983164.71   | 0.17%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/29 #494945                                                      | CUSIP: 31382WZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        524 | PA      | $546.54       | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 12/38 #970918                                                     | CUSIP: 31414NDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4745 | PA      | $4975.96      | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.562% 02/44#AL5596                                                 | CUSIP: 3138ENGE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18804 | PA      | $19368.68     | 0.00%             | 2044-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/44#Q28991                                               | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15316 | PA      | $14434.61     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 09/01/2046#AS7844                                               | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     301301 | PA      | $264774.90    | 0.02%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 12M+1.75 9/1/41 #1B8787                                             | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163566 | PA      | $169436.28    | 0.01%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/29 #505740                                                      | CUSIP: 31383KZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $113.26       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 04/01/2041#                                                     | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17105 | PA      | $14504.08     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.50% 7/30 #781205                                                      | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.71        | 0.00%             | 2030-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 3/41 #004978                                                   | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4379 | PA      | $4306.18      | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 05/01/2043#Q18363                                             | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3825 | PA      | $3617.69      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.49% 8/37 #1A1800                                                  | CUSIP: 3128NF7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1259 | PA      | $1263.43      | 0.00%             | 2037-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 5.5% 07/25/2034                               | CUSIP: 31394AEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     103052 | PA      | $103979.75    | 0.01%             | 2034-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 09/42#G07184                                                    | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68190 | PA      | $64863.19     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 10/32 #G01766                                                     | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1962 | PA      | $2046.59      | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 11/01/2041#RB5135                                               | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     739677 | PA      | $623826.09    | 0.04%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2010-31 BP 5% 3/20/40                                                    | CUSIP: 38376XL68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3354179 | PA      | $3391896.04   | 0.19%             | 2040-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/47#Q52377                                                    | CUSIP: 3132XUUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117633 | PA      | $109888.63    | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 11/34 #A45143                                                     | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1685 | PA      | $1773.50      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/01/2040#AE9804                                               | CUSIP: 31419L3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38182 | PA      | $36386.43     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.5% 03/31/2027                                                    | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19670000 | PA      | $19176713.38  | 1.09%             | 2027-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2218 ZB 6% 3/30                                                          | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1657 | PA      | $1689.11      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 01/20/2064                        | CUSIP: 38375UEJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     479631 | PA      | $482253.06    | 0.03%             | 2064-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 1.125% 08/31/2028                                                  | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   94478000 | PA      | $86598682.19  | 4.92%             | 2028-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 08/01/2045#AZ8288                                             | CUSIP: 3140E1F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24140 | PA      | $21281.42     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2046#BM5096                                             | CUSIP: 3140J9UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3753339 | PA      | $3465922.82   | 0.20%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 9/39 #710869                                                      | CUSIP: 36297FW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10959 | PA      | $11179.07     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/28 #660494                                                      | CUSIP: 31390YXX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $43.31        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                                 | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    4033826 | PA      | $3594666.56   | 0.20%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 11/36 #995606                                                       | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8514 | PA      | $8745.98      | 0.00%             | 2036-11-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                       | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1397479 | PA      | $1178377.01   | 0.07%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG2012-9 SH SOFR30A+643.552 06/25/2041                          | CUSIP: 3136A3M81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        357 | PA      | $0.76         | 0.00%             | 2041-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 08/01/2031#V61273                                             | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81174 | PA      | $77904.76     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 7.00% 12/26 #256589                                                | CUSIP: 31371M7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         59 | PA      | $59.43        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 5/42 #Q08167                                                      | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13901 | PA      | $13267.25     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/01/2045#AS5393                                             | CUSIP: 3138WE7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6309 | PA      | $6107.14      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/40 #G05969                                                      | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7145 | PA      | $7192.08      | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 11/01/2052#FS3248                                               | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2125653 | PA      | $2082225.61   | 0.12%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.753% 10/33 #746320                                                | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13717 | PA      | $14002.65     | 0.00%             | 2033-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 01/01/2036#G30933                                               | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     157474 | PA      | $152711.27    | 0.01%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 12/28 #780931                                                     | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         29 | PA      | $29.52        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 10YR 3% 01/01/2028#MA3250                                               | CUSIP: 31418CTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1589 | PA      | $1563.09      | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.75% 02/15/2045                                                   | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1030000 | PA      | $1005376.56   | 0.06%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 2095 PE 6% 11/28                                                         | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3094 | PA      | $3149.78      | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 01/20/2043#MA0852                                               | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27761 | PA      | $25607.47     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 5.0% 05/15/2039#783724                                             | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7668 | PA      | $7704.75      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745083                                                      | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12026 | PA      | $11816.34     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/26 #313182                                                     | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.23         | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.89% 3/33 #725130                                                  | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4393 | PA      | $4508.64      | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 09/01/2046#BC2817                                               | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     862314 | PA      | $757238.42    | 0.04%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 12/20/2049#BR8985                                               | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19868 | PA      | $17719.31     | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 9/41 #Q03295                                                      | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4263 | PA      | $4065.59      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3% 02/01/2037#C91917                                               | CUSIP: 3128P8DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52446 | PA      | $48982.96     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US LONG BOND(CBT) FUT SEP25 USU5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -7 | NC      | $-18935.42    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/47#BE3749                                                  | CUSIP: 3140FPEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153283 | PA      | $147143.66    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.358% 10/33 #754672                                                | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5745 | PA      | $5833.26      | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2048#Q58998                                             | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23011 | PA      | $22046.27     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR5360                                             | CUSIP: 3138W25W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6399 | PA      | $5745.00      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.653% 08/25/2026                             | CUSIP: 3137BSP72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15475000 | PA      | $15149740.26  | 0.86%             | 2026-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 3/34 #725228                                                      | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6159 | PA      | $6390.96      | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2047#AX5815                                               | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8444 | PA      | $7822.30      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 02/01/2045#AL7147                                             | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27305 | PA      | $26526.99     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 04/15/2046#784232                                               | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102152 | PA      | $97074.59     | 0.01%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2050#                                                     | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     745249 | PA      | $641629.08    | 0.04%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2052#FS0631                                               | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3653166 | PA      | $3137805.45   | 0.18%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 05/51#QC1514                                                    | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     152951 | PA      | $120830.38    | 0.01%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2043#AU6807                                             | CUSIP: 3138X6R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8744 | PA      | $8590.64      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 10/28 #434034                                                     | CUSIP: 36207KEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        141 | PA      | $142.33       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025                              | CUSIP: 3137BLMZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8148259 | PA      | $8123381.06   | 0.46%             | 2025-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 2/40 #711491                                                      | CUSIP: 36297GNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14312 | PA      | $13742.47     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AL3181                                             | CUSIP: 3138EKRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140424 | PA      | $126653.58    | 0.01%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 5/27 #379219                                                      | CUSIP: 31377KG41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.36         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.349% 12/34 #843013                                                | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13029 | PA      | $13241.01     | 0.00%             | 2034-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE8186                                               | CUSIP: 31419KCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14385 | PA      | $13746.09     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.37% 6/36 #916726                                                  | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1701 | PA      | $1739.49      | 0.00%             | 2036-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 07/01/2046#BC1216                                             | CUSIP: 3140EVK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232135 | PA      | $210689.70    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4.5% 03/01/2039#FM1774                                             | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41023 | PA      | $40200.00     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV3.5% MAC 06/18/45                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -23738000 | NC      | $340709.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/01/2047#Q47935                                             | CUSIP: 3132WMY99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77624 | PA      | $74636.01     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 5/46#Q40310                                                     | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45177 | PA      | $39850.73     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2045#G07949                                               | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133152 | PA      | $125879.55    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13381                                             | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        709 | PA      | $687.82       | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 05/01/2031#BC0919                                             | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35160 | PA      | $33766.46     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.375% 07/15/2027                                                  | CUSIP: 91282CKZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3530000 | PA      | $3563223.65   | 0.20%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 4/34 #A19922                                                      | CUSIP: 31296VAX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        827 | PA      | $832.92       | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2051#MA4347                                             | CUSIP: 31418DZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     404788 | PA      | $361699.42    | 0.02%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2046#AS7241                                             | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     410836 | PA      | $373651.96    | 0.02%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-60 FV SOFR30A+111.448 4/32                                          | CUSIP: 31392EVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       6329 | PA      | $6370.18      | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 01/20/2051#MA7135                                                 | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12459078 | PA      | $10014291.56  | 0.57%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/41 #AJ8098                                                     | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14790 | PA      | $14063.12     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #738886                                                     | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6237 | PA      | $5989.52      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-117 JN 4.5% 1/36                                                    | CUSIP: 31394VDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      50347 | PA      | $49239.20     | 0.00%             | 2036-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2048#BK0200                                             | CUSIP: 3140HDGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4636 | PA      | $4439.86      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 7/41 #748144                                                      | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        920 | PA      | $879.73       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 7/37 #G03508                                                      | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        580 | PA      | $608.10       | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AB7755                                             | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29297 | PA      | $26382.75     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 04/01/2050#BK2255                                               | CUSIP: 3140HFQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441320 | PA      | $382165.02    | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 06/01/2031#G18604                                             | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27747 | PA      | $26641.55     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                       | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1020187 | PA      | $883291.07    | 0.05%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/01/2041#                                                   | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4408 | PA      | $4339.05      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.428% 7/36 #555923                                                 | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1641 | PA      | $1667.85      | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 05/15/2045#AN1263                                             | CUSIP: 36185GML6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14206 | PA      | $13488.60     | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/32 #555144                                                     | CUSIP: 31385WWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $42.15        | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.0% 08/20/2042#MA0317                                               | CUSIP: 36179MK66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3882 | PA      | $3517.17      | 0.00%             | 2042-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2043#AT3989                                             | CUSIP: 3138WRNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52092 | PA      | $48028.01     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 3225 EO 0% 10/36                                                         | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       4902 | PA      | $4017.09      | 0.00%             | 2036-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2042#                                                     | CUSIP: 3132GSMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3605 | PA      | $3418.57      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 9/29 #793986                                                      | CUSIP: 31405NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        677 | PA      | $692.03       | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3949 MK 4.5% 10/34                                                       | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      10557 | PA      | $10414.31     | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/28 #468222                                                      | CUSIP: 36209DD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         62 | PA      | $62.69        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.125% 11/15/2027                                                  | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28520000 | PA      | $28678197.02  | 1.63%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 11/39 #728315                                                     | CUSIP: 3620AFDU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3322 | PA      | $3272.04      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.25% 01/15/2028                                                   | CUSIP: 91282CMF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11780000 | PA      | $11887676.50  | 0.68%             | 2028-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 01/01/2052#RA6620                                             | CUSIP: 3133KNK93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2258969 | PA      | $1857633.26   | 0.11%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 06/01/2041#AI5034                                             | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3719 | PA      | $3737.76      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2045#AY5316                                             | CUSIP: 3138YJ4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8919 | PA      | $8634.29      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 02/01/2040#                                                     | CUSIP: 312939LZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2058 | PA      | $2071.28      | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 07/15/2042#AA8275                                             | CUSIP: 36178GFQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1304 | PA      | $1208.64      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8% 02/01/2030#                                                     | CUSIP: 31292HAX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.02        | 0.00%             | 2030-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 3/39 #935009                                                      | CUSIP: 31412UGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        403 | PA      | $423.04       | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AQ8634                                             | CUSIP: 3138MQSY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6383 | PA      | $5711.16      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2046#G60440                                             | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     365412 | PA      | $333689.81    | 0.02%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2035#AB8198                                             | CUSIP: 31417FDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8256 | PA      | $8172.61      | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 05/44#AW4672                                                  | CUSIP: 3138XUFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3045 | PA      | $3042.95      | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/30 #710936                                                      | CUSIP: 31401KY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        198 | PA      | $206.27       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 1/41 #004946                                                   | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66599 | PA      | $65497.67     | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 12/20/2040#004880                                             | CUSIP: 36202FM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8315 | PA      | $8060.64      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2046#AL9489                                             | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66531 | PA      | $60322.02     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD    | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.5% 11/15/2031       | CUSIP: 3137BAMN9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1406989 | PA      | $1365897.67   | 0.08%             | 2031-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/45#BM1415                                                  | CUSIP: 3140J5SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29149 | PA      | $28637.43     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 07/01/2042#Q09230                                               | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166887 | PA      | $158452.60    | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 03/01/2043#AB8830                                             | CUSIP: 31417FY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6650 | PA      | $5985.40      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 9/39 #706762                                                      | CUSIP: 36297BFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2817 | PA      | $2716.85      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 01/01/2044#AV6341                                             | CUSIP: 3138XJBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1682 | PA      | $1645.69      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4% 09/01/2039#CA4213                                               | CUSIP: 3140QBVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87887 | PA      | $83834.19     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AP9735                                                     | CUSIP: 3138MDY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133963 | PA      | $123976.94    | 0.01%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 04/01/2048#BM3700                                               | CUSIP: 3140J8DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147048 | PA      | $137555.88    | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/40 #AE8271                                                     | CUSIP: 31419KFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1325 | PA      | $1264.77      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2519 ZD 5.50% 11/32                                                      | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3465 | PA      | $3500.43      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AR3125                                               | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8853 | PA      | $7972.90      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 11/01/2041#CB2110                                               | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3644792 | PA      | $3074943.55   | 0.17%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 01/01/2042#AJ6217                                               | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10610 | PA      | $10096.24     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 11/34 #735061                                                     | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110199 | PA      | $114657.84    | 0.01%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2042#AL5881                                             | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67610 | PA      | $66466.50     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 05/01/2045#Q33138                                             | CUSIP: 3132QPPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16193 | PA      | $15232.22     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 02/01/2048#CA1713                                             | CUSIP: 3140Q83X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26206 | PA      | $25107.61     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 1/35 #G06928                                                      | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22525 | PA      | $22677.88     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 12/01/2040#                                                     | CUSIP: 312944H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2944 | PA      | $2820.72      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2045#Q34311                                             | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     345643 | PA      | $315096.39    | 0.02%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 10/01/2051#FM9210                                               | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9443053 | PA      | $8122704.94   | 0.46%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8% 07/01/2030#                                                     | CUSIP: 31297XWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $76.33        | 0.00%             | 2030-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/01/2046#AL9058                                             | CUSIP: 3138ERB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     495468 | PA      | $450623.90    | 0.03%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 08/01/2031#AS7695                                             | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84460 | PA      | $81005.31     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2042#AL6997                                             | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     316678 | PA      | $311242.01    | 0.02%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 7/29 #481600                                                      | CUSIP: 36209T7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $27.63        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/30 #531078                                                      | CUSIP: 31384Q6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $76.75        | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/41 #783295                                                      | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50397 | PA      | $49444.73     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.457% 02/01/2044#AL5114                                            | CUSIP: 3138EMVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50400 | PA      | $51923.86     | 0.00%             | 2044-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 4/35 #A32122                                                      | CUSIP: 31297MLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2068 | PA      | $2082.75      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 2/1/43 #AR5859                                                | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5544 | PA      | $5128.83      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/43#Q22414                                                  | CUSIP: 3132JPVF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6154 | PA      | $6017.24      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/31 #689547                                                      | CUSIP: 31400KBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $100.46       | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AK5316                                                      | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3946 | PA      | $3736.76      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 06/01/2053#CB6538                                               | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6175999 | PA      | $6304912.92   | 0.36%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2027#                                                   | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $77.73        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/41 #AH6075                                                      | CUSIP: 3138A7XD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2604 | PA      | $2482.44      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 7.00% 4/32 #781432                                                   | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3598 | PA      | $3729.26      | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #313835                                                     | CUSIP: 31374GSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         44 | PA      | $44.72        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 1/1/43 #Q14696                                                  | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10145 | PA      | $9155.92      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2044#AX6510                                             | CUSIP: 3138Y8GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15463 | PA      | $14993.21     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 08/20/2051#785602                                               | CUSIP: 3622ABDF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16735359 | PA      | $13906423.58  | 0.79%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 11/40 #756928                                                     | CUSIP: 36230RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2551 | PA      | $2378.76      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 03/01/2043#AB8610                                             | CUSIP: 31417FR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8411 | PA      | $7580.01      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 7/35 #357843                                                      | CUSIP: 31376KP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2102 | PA      | $2193.75      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 03/01/2037#AS9292                                               | CUSIP: 3138WKKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191185 | PA      | $178343.82    | 0.01%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 09/01/2033#AL7521                                             | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125755 | PA      | $126433.04    | 0.01%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/32 #611797                                                      | CUSIP: 31388QUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        688 | PA      | $726.71       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 1/42 #757490                                                      | CUSIP: 36230SKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16323 | PA      | $15128.42     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 6/27 #436794                                                      | CUSIP: 36207NGB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.66         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 351 13 6% 3/34                                                           | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1955 | PA      | $330.68       | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 09/20/2051#785616                                               | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5175285 | PA      | $4300458.04   | 0.24%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 5/40 #AL2129                                                      | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15293 | PA      | $16033.64     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 4.50% 7/25 #G13844                                                 | CUSIP: 3128MCP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         82 | PA      | $81.48        | 0.00%             | 2025-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 2006-45 OP 0 6/36                                                        | CUSIP: 31395NEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     131023 | PA      | $109343.60    | 0.01%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 10/01/2040#FM4644                                               | CUSIP: 3140X8ES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343180 | PA      | $293077.80    | 0.02%             | 2040-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2047#Q49499                                             | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32805 | PA      | $31583.71     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 1997-41 J 7.5% 6/27                                                      | CUSIP: 31359PQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        300 | PA      | $306.28       | 0.00%             | 2027-06-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745232                                                      | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9718 | PA      | $9550.55      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/39 #723339                                                      | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2802 | PA      | $2814.72      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 1/36 #G03506                                                      | CUSIP: 3128M5GP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20593 | PA      | $21424.76     | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AK1510                                                      | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5975 | PA      | $5689.83      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 07/20/2043#635118                                               | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26243 | PA      | $24237.13     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 09/01/2046#G61420                                             | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     875106 | PA      | $797768.24    | 0.05%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 01/01/2048#MA3240                                             | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40662 | PA      | $38956.79     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 05/01/2038#C91994                                               | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     215375 | PA      | $206370.77    | 0.01%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 01/01/2027#                                                   | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.03         | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                              | Fidelity Cash Central Fund                                                   | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   37399761 | NS      | $37407240.65  | 2.13%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2274 ZM 6.5% 1/31                                                        | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        915 | PA      | $926.42       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 12/01/2042#Q13420                                             | CUSIP: 3132HPYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8807 | PA      | $8354.78      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 1/32 #C62372                                                      | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3406 | PA      | $3545.06      | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-20 Z 6% 5/31                                                        | CUSIP: 31359SXB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3398 | PA      | $3445.25      | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AL1521                                                      | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40692 | PA      | $38640.33     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 12/33 #G04895                                                     | CUSIP: 3128M6XY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        369 | PA      | $371.70       | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 07/20/2051#MA7472                                               | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     487535 | PA      | $408778.74    | 0.02%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/40 #545934                                                      | CUSIP: 36212WPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2799 | PA      | $2749.44      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 11/01/2030#                                                   | CUSIP: 31298C2P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $25.07        | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FNR 2010-15 FJ SOFR30A+104.448 6/36                                          | CUSIP: 31398MRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1164496 | PA      | $1172582.29   | 0.07%             | 2036-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/40 #743665                                                      | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1764 | PA      | $1771.92      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/40 #737559                                                     | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16797 | PA      | $16123.22     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 10/40 #004833                                                  | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16142 | PA      | $15476.97     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+660.552 06/25/2035                    | CUSIP: 31394D4V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      16900 | PA      | $1249.46      | 0.00%             | 2035-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.501% 04/01/2044#AV5913                                            | CUSIP: 3138XHSB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36295 | PA      | $37407.30     | 0.00%             | 2044-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AP7882                                                     | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44348 | PA      | $41026.71     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2520 BE 6% 11/32                                                         | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       6631 | PA      | $6811.37      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2009-118 XZ 5% 12/39                          | CUSIP: 38376PLJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    7840039 | PA      | $7986822.73   | 0.45%             | 2039-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 12/32 #735415                                                     | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8290 | PA      | $8614.50      | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 05/01/2035#                                                     | CUSIP: 31297P2R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        203 | PA      | $204.55       | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 7.00% 3/32 #003216                                                   | CUSIP: 36202DSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        548 | PA      | $568.64       | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2% 07/01/2055 #TBA                                                 | CUSIP: 01F020679<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -900000 | PA      | $-699960.87   | -0.04%            | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 06/01/2038#K94286                                               | CUSIP: 3132LQUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6395 | PA      | $6127.76      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                               | CUSIP: 31394E3H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1083371 | PA      | $1097022.80   | 0.06%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 4/39 #AB0043                                                      | CUSIP: 31416VBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48875 | PA      | $48388.80     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 10/39#004553                                                  | CUSIP: 36202FBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2710 | PA      | $2630.80      | 0.00%             | 2039-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2011-136 WI 4.5% 5/40                                                    | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      16464 | PA      | $708.45       | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP3391                                                      | CUSIP: 3138M6XV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7729 | PA      | $7177.13      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 12/01/2042#Q15249                                             | CUSIP: 3132J6H31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5826 | PA      | $5270.37      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2039#G05645                                             | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2232 | PA      | $2199.92      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 02/01/2049#BM5577                                               | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219478 | PA      | $217103.03    | 0.01%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.60% 2/35 #779905                                                  | CUSIP: 31404VNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3117 | PA      | $3215.43      | 0.00%             | 2035-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2045#Q32124                                             | CUSIP: 3132QNLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8251 | PA      | $7598.61      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #677235                                                      | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4948 | PA      | $4862.02      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2042#Q11138                                             | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12278 | PA      | $11737.24     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.5% 02/43 #Q15869                                                      | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37245 | PA      | $34583.53     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 11/01/2041#CB2113                                             | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     569899 | PA      | $500317.22    | 0.03%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 03/01/2044#Q25226                                             | CUSIP: 3132M5PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12495 | PA      | $11801.92     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 4.5% 06/25/2049                               | CUSIP: 3136B7EZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1519987 | PA      | $1447882.98   | 0.08%             | 2049-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 12/01/2042#Q13899                                             | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4780 | PA      | $4561.58      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55720                                               | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7833 | PA      | $7303.01      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/26 #256507                                                     | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $82.98        | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 10/41 #005280                                                  | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15010 | PA      | $14354.63     | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.0% 12/20/2042#MA0624                                               | CUSIP: 36179MVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24538 | PA      | $22206.99     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FGLMC 30YR 3.5% 09/46#Q43176                                                 | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      93908 | PA      | $85256.64     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/45#AX3256                                               | CUSIP: 3138Y4TN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13406 | PA      | $12161.67     | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 06/15/2043#AC9654                                             | CUSIP: 36179KWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4944 | PA      | $4582.00      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/41 #AI9685                                                      | CUSIP: 3138APXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1387 | PA      | $1328.05      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 1.5% 12/01/2040#RB5089                                             | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     956065 | PA      | $789413.82    | 0.04%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3110 OP PO 0% 9/35                                                       | CUSIP: 31396HU49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        783 | PA      | $771.96       | 0.00%             | 2035-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 06/01/2041#FM7891                                               | CUSIP: 3140XBXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     299650 | PA      | $255631.23    | 0.01%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2043#AQ9316                                             | CUSIP: 3138MRK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94339 | PA      | $82197.19     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2041#                                                   | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5026 | PA      | $4937.31      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 04/15/2043#AC1092                                             | CUSIP: 36179AF92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14721 | PA      | $14051.50     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 03/01/2041#A97686                                             | CUSIP: 312946RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2926 | PA      | $2943.43      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/31 #564867                                                      | CUSIP: 36213UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $13.97        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 01/01/2041#MA4231                                             | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1607721 | PA      | $1326425.36   | 0.08%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 12/20/44#MA2446                                                 | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9422 | PA      | $8939.31      | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2007-59 FC TSFR1M+61.448 7/37                                            | CUSIP: 38375LQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      66327 | PA      | $66109.39     | 0.00%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 07/01/2044#G61831                                               | CUSIP: 31335CA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13074 | PA      | $12479.39     | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 11/15/2042#AB9211                                             | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47434 | PA      | $43963.33     | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 7/40 #004746                                                   | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7621 | PA      | $7498.03      | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/27 #190289                                                     | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.40        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 12/01/2040#MA4202                                             | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1599563 | PA      | $1320779.70   | 0.08%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/01/2034#CA4890                                               | CUSIP: 3140QCNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156329 | PA      | $149166.77    | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/33 #C01614                                                      | CUSIP: 31292HYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        971 | PA      | $963.42       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 2.5% 08/20/2051#785564                                               | CUSIP: 3622ABB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4380317 | PA      | $3639870.80   | 0.21%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 04/20/2043#MA0934                                               | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30201 | PA      | $27850.67     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 04/15/2043#783836                                             | CUSIP: 3622A2HM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77884 | PA      | $72400.66     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068                    | CUSIP: 38380LGR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     668053 | PA      | $648047.60    | 0.04%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2047#BH9459                                             | CUSIP: 3140GYQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6093 | PA      | $5841.51      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/46#BC9077                                                  | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144764 | PA      | $131254.25    | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/25 #322438                                                      | CUSIP: 31374SEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.64         | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #739184                                                      | CUSIP: 3620ATFZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        881 | PA      | $865.29       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 07/01/2033#                                                     | CUSIP: 31283HYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        894 | PA      | $927.41       | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2033#727139                                             | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7313 | PA      | $7244.17      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/28 #457547                                                     | CUSIP: 31381DHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $10.89        | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 07/46#AS7533                                                    | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     832392 | PA      | $733303.01    | 0.04%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 7/41 #Q02385                                                      | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2718 | PA      | $2674.70      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2039#AB0051                                             | CUSIP: 31416VBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9413 | PA      | $9318.10      | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 10/35 #835485                                                     | CUSIP: 31407NF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        771 | PA      | $805.73       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 08/01/2031#BC2778                                             | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47855 | PA      | $45937.25     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.5% 03/43 #AR8173                                                      | CUSIP: 3138W6CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26361 | PA      | $24342.70     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13653                                             | CUSIP: 3132HQBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10465 | PA      | $9946.78      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 10/01/2042#C04268                                             | CUSIP: 31292LW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4897 | PA      | $4401.18      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.57% 07/25/2026                              | CUSIP: 3137BRQJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8573632 | PA      | $8413141.02   | 0.48%             | 2026-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/47#Q48876                                                  | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41494 | PA      | $39961.46     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 8/28 #251975                                                      | CUSIP: 31371G2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.44        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 07/01/2046#Q43088                                             | CUSIP: 3132WGNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9146 | PA      | $8312.42      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.625% 05/31/2027                                                  | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45180000 | PA      | $44068148.21  | 2.51%             | 2027-05-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR5858                                             | CUSIP: 3138W3QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17653 | PA      | $15848.56     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2007-57 SA 4062-6*1ML 6/37                                               | CUSIP: 31396WJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       2696 | PA      | $3329.74      | 0.00%             | 2037-06-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 07/01/2029#                                                     | CUSIP: 31292G4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $41.40        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 11/01/2050#SD8106                                               | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6563475 | PA      | $5142044.65   | 0.29%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.125% 10/31/2027                                                  | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24500000 | PA      | $24633027.41  | 1.40%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 11/01/2032#G18665                                             | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10173 | PA      | $9702.97      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745228                                                      | CUSIP: 3620C04M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19429 | PA      | $19094.70     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6% 06/01/2055 #TBA                                                   | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12400000 | PA      | $12520438.72  | 0.71%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | USTN TII 2.375% 02/15/2055                                                   | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4360000 | PA      | $4204208.20   | 0.24%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 09/01/2051#QC7496                                               | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     731747 | PA      | $628746.64    | 0.04%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2530 FE SOFR30A+71.448 2/32                                              | CUSIP: 31393FAU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7403 | PA      | $7402.13      | 0.00%             | 2032-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21605                                             | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14117 | PA      | $13390.26     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 03/15/2045#777581                                             | CUSIP: 36176VUE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35187 | PA      | $31244.59     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.947% 07/01/2043#AL5652                                            | CUSIP: 3138ENH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16708 | PA      | $17347.32     | 0.00%             | 2043-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 3/38 #889219                                                      | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4400 | PA      | $4616.53      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 12/01/2047#G61305                                               | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     192935 | PA      | $180233.62    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AS4297                                               | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30192 | PA      | $27191.61     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHMS K059 A2 CSTR 09/25/2026                                                 | CUSIP: 3137BSRE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22200000 | PA      | $21833438.04  | 1.24%             | 2026-09-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP PAY 3.14 09/12/2025                                                | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    3200000 | NC      | $195192.06    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #698474                                                      | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50252 | PA      | $49429.08     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 5.5% 08/01/2025#AL0517                                             | CUSIP: 3138EGSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.00         | 0.00%             | 2025-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/40 #A92286                                                      | CUSIP: 312940RF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        702 | PA      | $691.50       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/41 #Q02511                                                      | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2199 | PA      | $2165.73      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/39 #G05457                                                      | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15536 | PA      | $15324.51     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4.5% 06/01/2039#FM1045                                             | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21898 | PA      | $21458.54     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/42 #AK2525                                                      | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2856 | PA      | $2734.35      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 05/01/2052#CB3647                                               | CUSIP: 3140QPBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2722670 | PA      | $2677255.09   | 0.15%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2011-4 PZ 5% 2/41                                                        | CUSIP: 31397QKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      51960 | PA      | $51461.32     | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 02/15/2045#AK7288                                             | CUSIP: 36183RCZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24629 | PA      | $21904.21     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 10/01/2040#FM7397                                               | CUSIP: 3140XBGF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3248642 | PA      | $2955318.65   | 0.17%             | 2040-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/41 #AJ3485                                                     | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4844 | PA      | $4599.92      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/46#BC0287                                                  | CUSIP: 3140EUJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10720 | PA      | $10340.85     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 07/01/2041#Q02130                                             | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3772 | PA      | $3793.98      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.5% 09/25/2051                               | CUSIP: 3137H6XY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    5235536 | PA      | $5026889.88   | 0.29%             | 2051-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2010-170 B 4% 12/40                                                      | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      44357 | PA      | $42901.98     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF 3.25% 09/25/2040                                  | CUSIP: 3136BBWA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    9515420 | PA      | $8706304.72   | 0.50%             | 2040-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3336 LI SOFR30A+646.552 6/37                                             | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      14306 | PA      | $1594.47      | 0.00%             | 2037-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 11/40 #004854                                                  | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3967 | PA      | $3901.45      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/27 #313687                                                      | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.93        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/28 #433689                                                      | CUSIP: 36207JXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $14.92        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2039#AC6492                                             | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1436 | PA      | $1412.59      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 8/32 #C70220                                                      | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        502 | PA      | $522.51       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 06/01/2035#                                                     | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        477 | PA      | $480.12       | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP REC 3.95 04/29/30                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    6510000 | NC      | $229518.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 4.50% 7/26 #AB3303                                                 | CUSIP: 31416YU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        327 | PA      | $325.74       | 0.00%             | 2026-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2432 FE SOFR30A+101.448 6/31                                             | CUSIP: 31339NNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        573 | PA      | $575.13       | 0.00%             | 2031-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 5/39 #713327                                                      | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3816 | PA      | $3834.40      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 7/29 #C47273                                                      | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2807 | PA      | $2927.82      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNMA 13-149 MA 2.5% 5/20/40                                                  | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      81878 | PA      | $80273.56     | 0.00%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2996 MK 5.5% 6/35                                                        | CUSIP: 31395UYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3075 | PA      | $3118.38      | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1215944 | PA      | $1071109.72   | 0.06%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 08/20/2045#MA3035                                               | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     513754 | PA      | $481392.25    | 0.03%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/40#AE6588                                                    | CUSIP: 31419HKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6368 | PA      | $6096.66      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 4.25% 03/25/2042                              | CUSIP: 3136A4CM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2319862 | PA      | $2221648.33   | 0.13%             | 2042-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 8/37 #G06089                                                      | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6515 | PA      | $6824.45      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 07/01/2033#709470                                               | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7857 | PA      | $7897.73      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 04/01/2043#G07345                                             | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     159986 | PA      | $152047.91    | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.80% 5/37 #1N1474                                                  | CUSIP: 3128QHT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3013 | PA      | $3095.53      | 0.00%             | 2037-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 10/46#AL9397                                                    | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54955 | PA      | $48258.97     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2682 LD 4.5% 10/33                                                       | CUSIP: 31394KK78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      91310 | PA      | $91337.75     | 0.01%             | 2033-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2046#Q45028                                             | CUSIP: 3132WJSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11417 | PA      | $10988.45     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 11/41 #489862                                                     | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31664 | PA      | $30340.22     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                    | GSCM SWAP PAY 3.97 04/13/26                                                  | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   -9500000 | NC      | $-261885.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/47#Q48877                                                    | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52514 | PA      | $49286.16     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 07/01/2040#FM7867                                               | CUSIP: 3140XBW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110222 | PA      | $100166.35    | 0.01%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.0% 3/45#AY0609                                                        | CUSIP: 3138YDVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21610 | PA      | $19309.30     | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 11/01/2042#AQ1978                                             | CUSIP: 3138MHFU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6279 | PA      | $5637.43      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2043#Q20763                                             | CUSIP: 3132JMZ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7995 | PA      | $7620.05      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 04/01/2052#SD6932                                               | CUSIP: 3132DUVZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3239530 | PA      | $2546054.53   | 0.14%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 5/40 #736729                                                      | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11474 | PA      | $11278.29     | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 4/26 #313275                                                      | CUSIP: 31374F6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.23         | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745196                                                      | CUSIP: 3620C03D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7805 | PA      | $7668.15      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 02/01/2043#AR2626                                             | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54385 | PA      | $47295.48     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 03/01/2033#G18683                                             | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29578 | PA      | $28144.61     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 8/30 #549602                                                      | CUSIP: 31385QRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $33.27        | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 1/29 #323500                                                      | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         14 | PA      | $14.84        | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 8/27 #780622                                                      | CUSIP: 36225AVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.33         | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/25 #329280                                                     | CUSIP: 31375AXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.44         | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/32 #254379                                                      | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $105.36       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/41 #AJ4198                                                     | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12075 | PA      | $11504.26     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                            | CUSIP: 3136BUVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2952467 | PA      | $2943588.84   | 0.17%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2047#BE5550                                             | CUSIP: 3140FREY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12109 | PA      | $11628.06     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/28 #433616                                                      | CUSIP: 36207JVH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         21 | PA      | $20.85        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/33 #A12833                                                      | CUSIP: 31296MEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        679 | PA      | $683.83       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/46#Q39901                                                  | CUSIP: 3132QXAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7665 | PA      | $6980.72      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 02/20/2041#004948                                             | CUSIP: 36202FP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        813 | PA      | $788.07       | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                        | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     201100 | PA      | $180541.09    | 0.01%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                            | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1238239 | PA      | $1234882.68   | 0.07%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2052#RA8291                                               | CUSIP: 3133KQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1169044 | PA      | $1144794.79   | 0.07%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE8135                                               | CUSIP: 31419KBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4932 | PA      | $4686.74      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 07/01/2055 #TBA                                                   | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5950000 | PA      | $4779690.93   | 0.27%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/41 #AH4609                                                      | CUSIP: 3138A6DP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        651 | PA      | $619.99       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2016-H13 FB T1Y+50 05/20/2066                                            | CUSIP: 38376RUU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     704772 | PA      | $702425.21    | 0.04%             | 2066-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/27 #368817                                                      | CUSIP: 31376XVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $91.20        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2041#A96822                                               | CUSIP: 312945SK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1769 | PA      | $1686.09      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/33 #G01584                                                      | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $206.27       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 7.00% 8/26 #256430                                                 | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        149 | PA      | $149.81       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/48#CA1564                                                  | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16301 | PA      | $15612.22     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 6/40 #704995                                                      | CUSIP: 36296YGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1216 | PA      | $1221.80      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 6/41 #768770                                                      | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3292 | PA      | $3155.40      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 9/37 #942981                                                      | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1110 | PA      | $1163.03      | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 08/01/2035#G02836                                             | CUSIP: 3128M4PV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        298 | PA      | $294.77       | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-18 FD SOFR30A+91.448 2/32                                           | CUSIP: 31392CHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        352 | PA      | $352.39       | 0.00%             | 2032-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 05/01/2029#                                                     | CUSIP: 31293PXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $57.12        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 4/41 #A97942                                                      | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57876 | PA      | $56951.03     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55141                                               | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2140 | PA      | $1994.87      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 7/29 #323819                                                      | CUSIP: 31374TVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.50        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2033#727060                                             | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3407 | PA      | $3374.52      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 02/01/2042#SC0248                                             | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2098211 | PA      | $1841856.98   | 0.10%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 04/01/2046#Q39717                                               | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15630 | PA      | $13787.48     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                | FNS 384 6 5% 7/37                                                            | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      13340 | PA      | $2145.19      | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM TSFR1M+61.448 06/20/2064                        | CUSIP: 38375UKG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      38213 | PA      | $38346.45     | 0.00%             | 2064-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 0.0% 10/01/2041#AI6819                                              | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4584 | PA      | $4720.29      | 0.00%             | 2041-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                               | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    4360601 | PA      | $3871516.36   | 0.22%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 01/01/2043#AL7626                                               | CUSIP: 3138EQPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21559 | PA      | $20501.24     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 06/01/2031#J34584                                               | CUSIP: 31307RCV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3816 | PA      | $3711.63      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 08/01/2045#AZ3728                                             | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8861 | PA      | $7811.87      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 7/38 #711379                                                      | CUSIP: 36297GJY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        507 | PA      | $515.02       | 0.00%             | 2038-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 1/36 #A54473                                                      | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1040 | PA      | $1094.35      | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044                       | CUSIP: 38378YG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     393167 | PA      | $352301.89    | 0.02%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                        | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      14993 | PA      | $14201.79     | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/35 #830989                                                      | CUSIP: 31407HF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        594 | PA      | $618.80       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT0668                                                | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6162 | PA      | $5689.35      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK6409                                                      | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4971 | PA      | $4718.43      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745094                                                      | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24509 | PA      | $24090.94     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #735358                                                      | CUSIP: 3620AN5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6275 | PA      | $6167.04      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2043#Q20785                                             | CUSIP: 3132JM2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6894 | PA      | $6570.35      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 11/01/2053#FS6498                                               | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1124104 | PA      | $1142706.31   | 0.06%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2041#                                                   | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2452 | PA      | $2417.90      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV3.25% MAC 06/18/27                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -45077000 | NC      | $75643.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.36% 7/36 #1B7105                                                  | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66917 | PA      | $69065.21     | 0.00%             | 2036-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/39 #710848                                                      | CUSIP: 36297FWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4316 | PA      | $4336.18      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2004-91 Z 5 12/34                                                        | CUSIP: 31394BZJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1040048 | PA      | $1037776.23   | 0.06%             | 2034-12-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2004-22 AZ 5.5% 04/20/2034                    | CUSIP: 38374GDS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     893287 | PA      | $902051.44    | 0.05%             | 2034-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 348 14 6.5% 8/34                                                         | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       2105 | PA      | $377.77       | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 6% 06/01/2053#RA9276                                               | CUSIP: 3133KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3458365 | PA      | $3530552.18   | 0.20%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 08/01/2033#729380                                             | CUSIP: 31402HJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3151 | PA      | $3121.35      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 10/34 #357634                                                     | CUSIP: 31376KHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4796 | PA      | $4990.93      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 01/01/2052#SD8190                                               | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58655 | PA      | $50233.55     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/28 #454375                                                      | CUSIP: 36208LXC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         20 | PA      | $19.89        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 05/01/2045#Q33468                                             | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8132 | PA      | $7215.34      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 4.87% 10/35 #1M1052                                                 | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15262 | PA      | $15603.53     | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 4/42 #AK6572                                                      | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9511 | PA      | $8807.51      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 10/41 #Q03643                                                     | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29180 | PA      | $28666.68     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/42#AB6934                                                  | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14263 | PA      | $13178.71     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2003-70 BJ 5% 7/33                                                       | CUSIP: 31393DAN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      22610 | PA      | $22545.35     | 0.00%             | 2033-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21526                                             | CUSIP: 3132JNVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8369 | PA      | $7933.07      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2154 PT 6% 5/29                                                          | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2671 | PA      | $2723.43      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047                               | CUSIP: 3137H62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     988940 | PA      | $873378.08    | 0.05%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/41 #AB3687                                                     | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83285 | PA      | $79296.08     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2045#G61796                                             | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21758 | PA      | $21450.95     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 4/35 #A54855                                                      | CUSIP: 3128KHMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5862 | PA      | $5902.24      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.75% 04/30/2027                                                   | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34960000 | PA      | $34210271.96  | 1.95%             | 2027-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 7/40#V81831                                                   | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8575 | PA      | $7852.24      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55504                                               | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19560 | PA      | $18236.01     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 06/01/2032#C91456                                             | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212932 | PA      | $207862.21    | 0.01%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                    | CUSIP: 31394FGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      33280 | PA      | $32678.80     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/25 #303555                                                     | CUSIP: 31373UE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.14         | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 4.5% 11/01/2025#AL8242                                             | CUSIP: 3138ETEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        988 | PA      | $985.15       | 0.00%             | 2025-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 04/01/2035#                                                     | CUSIP: 3128MJBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1517 | PA      | $1527.81      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 07/01/2050#SD7521                                             | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172864 | PA      | $143827.11    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 07/01/2051#RA5574                                             | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1839889 | PA      | $1521633.04   | 0.09%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 3% 10/25/2049                                 | CUSIP: 3136B7UV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     718401 | PA      | $643980.36    | 0.04%             | 2049-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2007-37 TS TSFR1M+657.552 6/37                                           | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       8705 | PA      | $852.24       | 0.00%             | 2037-06-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/45#AZ9583                                                    | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18967 | PA      | $17742.58     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2044#AX6493                                             | CUSIP: 3138Y8GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2547 | PA      | $2469.59      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 10/40 #AE3832                                                     | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2923 | PA      | $2874.80      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 06/15/2043#AD3626                                             | CUSIP: 36180FA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5422 | PA      | $4843.96      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 11/47#V84700                                                  | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53473 | PA      | $48663.64     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 09/01/2041#G60405                                             | CUSIP: 31335ANW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51182 | PA      | $50426.81     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/01/2051#                                                   | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81343 | PA      | $72633.91     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/28 #190294                                                      | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $37.45        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 0.0% 07/01/2041#1B8505                                              | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6420 | PA      | $6643.78      | 0.00%             | 2041-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 02/01/2037#MA2897                                               | CUSIP: 31418CGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141456 | PA      | $131955.08    | 0.01%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8% 08/01/2030#                                                     | CUSIP: 31297YK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        171 | PA      | $176.21       | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 3/26 #250495                                                      | CUSIP: 31371FGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.30         | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/40 #711223                                                      | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21860 | PA      | $21490.72     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 11/39 #722699                                                     | CUSIP: 3620A83G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1508 | PA      | $1481.91      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/28 #432548                                                      | CUSIP: 31379XP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        229 | PA      | $238.62       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4% 05/20/2049#BN2615                                                 | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25909 | PA      | $23888.29     | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 12/20/2051#MA7767                                               | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163956 | PA      | $137470.41    | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 11/01/2045#Q37070                                             | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4854 | PA      | $4424.66      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/37 #AE0265                                                      | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34266 | PA      | $35568.59     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 7/39 #931504                                                      | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31931 | PA      | $31435.12     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 04/01/2051#FM6944                                               | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720205 | PA      | $568958.54    | 0.03%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/32 #579242                                                      | CUSIP: 36201CP32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        339 | PA      | $348.72       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-33 PK 6% 7/29                                                       | CUSIP: 31359WKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       2493 | PA      | $2533.57      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 07/01/2047#AS9968                                               | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83211 | PA      | $77839.83     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 04/01/2034#G16829                                               | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71639 | PA      | $68614.42     | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 07/01/2032#J37270                                               | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7065 | PA      | $6838.97      | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2045#Q33791                                             | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31414 | PA      | $28874.05     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.0% 07/20/2043#MA1374                                               | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22621 | PA      | $20399.49     | 0.00%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3% 2/1/43 #Q15788                                                       | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5847 | PA      | $5282.84      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/34 #G02758                                                      | CUSIP: 3128M4MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9069 | PA      | $9131.49      | 0.00%             | 2034-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                        | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1182405 | PA      | $967020.15    | 0.05%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2040#                                                   | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4015 | PA      | $3945.65      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 5% 06/01/2055 #TBA                                                 | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    2100000 | PA      | $2033307.99   | 0.12%             | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 04/01/2043#AR8236                                             | CUSIP: 3138W6EJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11109 | PA      | $9639.41      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 02/01/2051#SD7532                                               | CUSIP: 3132DVLM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5916575 | PA      | $4698105.70   | 0.27%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 08/01/2035#                                                     | CUSIP: 31297SPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        746 | PA      | $751.44       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-32 PL 6% 7/29                                                       | CUSIP: 31359WHX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3445 | PA      | $3504.28      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 2YR NOTE (CBT) FUT SEP25 TUU5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       1183 | NC      | $484862.86    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A97151                                                      | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2819 | PA      | $2778.29      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 08/01/2041#AI5189                                             | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        589 | PA      | $591.97       | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 12/30 #563583                                                     | CUSIP: 31386HCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $134.86       | 0.00%             | 2030-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5% 04/25/2048                                 | CUSIP: 3137H8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1818516 | PA      | $1816833.63   | 0.10%             | 2048-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #404745                                                     | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.30        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 07/01/2047#MA3058                                               | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     792319 | PA      | $739195.74    | 0.04%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 3.75% 05/15/2028                                                   | CUSIP: 91282CND9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13520000 | PA      | $13479872.64  | 0.77%             | 2028-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/29 #252806                                                     | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $32.93        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 10/01/2033#                                                     | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2540 | PA      | $2557.06      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 10/01/2040#V81966                                             | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13435 | PA      | $12302.13     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #251298                                                     | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $27.26        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 11/40 #749953                                                     | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4676 | PA      | $4485.14      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.25% 11/01/2041#AJ7445                                            | CUSIP: 3138E0HX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4667 | PA      | $4505.65      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 04/01/2046#Q40165                                               | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18795 | PA      | $16579.51     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/01/2042#G07368                                               | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176840 | PA      | $168380.77    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 04/20/2040#004673                                             | CUSIP: 36202FFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7160 | PA      | $6946.13      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 7/40 #A92914                                                      | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1542 | PA      | $1552.50      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2040#                                                   | CUSIP: 3129404Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1472 | PA      | $1450.15      | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 10/01/2041#                                                     | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18077 | PA      | $15252.78     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 07/01/2035#843431                                             | CUSIP: 31407XA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53191 | PA      | $53492.67     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2047#BH3646                                             | CUSIP: 3140GSBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3418 | PA      | $3277.45      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2044#AW3982                                             | CUSIP: 3138XTM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2355 | PA      | $2287.77      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 3/36 #003828                                                   | CUSIP: 36202EHD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1375 | PA      | $1358.43      | 0.00%             | 2036-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/29 #323542                                                      | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $151.58       | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 05/01/2041#SC0237                                             | CUSIP: 3132D9HN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4491610 | PA      | $3969425.97   | 0.23%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 6/38 #G05299                                                      | CUSIP: 3128M7GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2397 | PA      | $2372.67      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3% 03/20/2043#AD8812                                                 | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14256 | PA      | $12943.41     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 5/34 #A21977                                                      | CUSIP: 31296YFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1001 | PA      | $1007.45      | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21900                                             | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5037 | PA      | $4756.87      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 10/01/2045#AZ4750                                             | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57412 | PA      | $52161.66     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 9/41 #Q03210                                                      | CUSIP: 3132GJGT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3875 | PA      | $3687.93      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 12/40 #AB1887                                                     | CUSIP: 31416XCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1208 | PA      | $1185.95      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 11/29 #C46106                                                     | CUSIP: 31298EYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.95        | 0.00%             | 2029-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 04/01/2046#BC0824                                             | CUSIP: 3140EU4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101188 | PA      | $92029.60     | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 10/42#AP9654                                                  | CUSIP: 3138MDWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3375 | PA      | $3140.72      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE4058                                               | CUSIP: 31419EQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11400 | PA      | $10871.45     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE7386                                               | CUSIP: 31419JF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10460 | PA      | $9949.87      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                      | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1635292 | PA      | $1393411.51   | 0.08%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/40#AE8996                                                    | CUSIP: 31419K7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14902 | PA      | $14203.71     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 07/01/2051#                                                   | CUSIP: 3132DWB93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2333663 | PA      | $2083795.04   | 0.12%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/31 #564650                                                      | CUSIP: 36213UH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        249 | PA      | $255.77       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 12/27 #452821                                                     | CUSIP: 36208KAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $54.28        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.54% 4/37 #918912                                                  | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1171 | PA      | $1203.97      | 0.00%             | 2037-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 4/40 #737177                                                      | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23734 | PA      | $23844.31     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2043#Q15992                                             | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15673 | PA      | $14861.39     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 6/46#V82414                                                     | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     286180 | PA      | $252442.01    | 0.01%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 11/20/2047#784391                                               | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     268365 | PA      | $241776.56    | 0.01%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2039#A89270                                             | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5443 | PA      | $5361.86      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2009-116 KF TSFR1M+64.448 12/39                                          | CUSIP: 38376PA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      54381 | PA      | $54196.06     | 0.00%             | 2039-12-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/41 #Q02387                                                      | CUSIP: 3132GFUL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3922 | PA      | $3860.41      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 9/40 #004800                                                   | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73120 | PA      | $70104.85     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2045#Q33547                                             | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     162953 | PA      | $149127.76    | 0.01%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 08/01/2047#CA0181                                               | CUSIP: 3140Q7FX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366717 | PA      | $342128.89    | 0.02%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2502 ZC 6 9/32                                                           | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2483 | PA      | $2541.41      | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2046#BC9079                                             | CUSIP: 3140F5CR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16933 | PA      | $16275.95     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP PAY 4.01 05/07/30                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   11190000 | NC      | $467866.32    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2009-59 HB 5% 8/25/39                                                    | CUSIP: 31396QRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     506747 | PA      | $506664.90    | 0.03%             | 2039-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2052#SD1924                                               | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7656816 | PA      | $7497992.78   | 0.43%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT 3857 ZP 5% 05/15/2041                                | CUSIP: 3137AAL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3521612 | PA      | $3525570.06   | 0.20%             | 2041-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.125% 08/31/2030                                                  | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1950000 | PA      | $1961121.08   | 0.11%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.34% 9/36 #893580                                                  | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $288.27       | 0.00%             | 2036-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 06/01/2048#BM4426                                             | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     566538 | PA      | $513314.01    | 0.03%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                    | GSCM SWAP REC 3.97 04/13/26                                                  | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   -9500000 | NC      | $-335643.55   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 06/01/2031#J34653                                               | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26377 | PA      | $25618.65     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2033#727221                                             | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2682 | PA      | $2656.73      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.5% 04/25/2052                               | CUSIP: 3137H6RW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1827553 | PA      | $1722326.61   | 0.10%             | 2052-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 02/20/2043#MA0783                                               | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22521 | PA      | $20779.88     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/26 #256469                                                      | CUSIP: 31371M2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $148.54       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.75% 07/31/2027                                                   | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33510000 | PA      | $32720682.34  | 1.86%             | 2027-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.464% 5/1/41#1B8304                                                | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26706 | PA      | $27731.90     | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 11/35 #843132                                                     | CUSIP: 31407WVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4046 | PA      | $4215.27      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2.5% 12/25/2049                               | CUSIP: 3136BLGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1446554 | PA      | $1221550.03   | 0.07%             | 2049-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #735365                                                      | CUSIP: 3620AN6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2981 | PA      | $2929.45      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/39 #710776                                                      | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2523 | PA      | $2535.05      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/39 #726323                                                      | CUSIP: 3620AC4G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1181 | PA      | $1186.53      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.0% 04/01/2045#AY7471                                                  | CUSIP: 3138YMJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11503 | PA      | $10824.97     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2050#BP2187                                               | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172468 | PA      | $149349.79    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP4410                                                      | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27545 | PA      | $25506.15     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2432 FG SOFR30A+101.448 3/32                                             | CUSIP: 31339NNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        201 | PA      | $201.75       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 02/20/2043#AD1755                                               | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28603 | PA      | $26561.02     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/28 #433685                                                      | CUSIP: 36207JXN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $54.18        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 03/15/2042#733816                                               | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16648 | PA      | $15930.25     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 1.5% 06/25/2051                               | CUSIP: 3137H1B70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3749282 | PA      | $3057094.36   | 0.17%             | 2051-06-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 06/20/2040#004709                                             | CUSIP: 36202FGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6978 | PA      | $6776.21      | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 02/01/2042#AJ5602                                             | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105024 | PA      | $99824.37     | 0.01%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #737015                                                      | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9139 | PA      | $8982.71      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #735359                                                      | CUSIP: 3620AN5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2908 | PA      | $2858.66      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2145 MZ 6.5% 4/29                                                        | CUSIP: 3133TKE22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      10411 | PA      | $10560.67     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR0015                                             | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19397 | PA      | $17460.50     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2035#AB8197                                             | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16089 | PA      | $15912.33     | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM TSFR1M+65 12/20/2063                            | CUSIP: 38375UCK4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1244129 | PA      | $1252361.89   | 0.07%             | 2063-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 03/20/2043#AA6141                                               | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12957 | PA      | $12028.20     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 4/27 #440301                                                      | CUSIP: 36207SDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $3.00         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2010-160 DY 4% 12/20/2040                                                | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     201241 | PA      | $194829.06    | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 9/39 #G06670                                                      | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25268 | PA      | $26821.61     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 07/01/2055 #TBA                                                 | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9375000 | PA      | $7853639.06   | 0.45%             | 2055-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.3% 10/25/2026                               | CUSIP: 3137BTAC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18000000 | PA      | $17718586.20  | 1.01%             | 2026-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 05/01/2042#RB0710                                             | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     350219 | PA      | $306409.18    | 0.02%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 03/01/2033#G18680                                             | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68196 | PA      | $64985.04     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.58% 7/35 #995273                                                  | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15311 | PA      | $15740.41     | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2032#C91403                                             | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     299547 | PA      | $292604.52    | 0.02%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 02/01/2051#SD7535                                             | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1642266 | PA      | $1364352.55   | 0.08%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 10/35 #612663                                                     | CUSIP: 36202XTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2527 | PA      | $2571.29      | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 11/39 #726095                                                     | CUSIP: 3620ACUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3257 | PA      | $3271.56      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 11/01/2040#MA4175                                             | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1571715 | PA      | $1298891.32   | 0.07%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 08/01/2043#AS9172                                               | CUSIP: 3138WKFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2386 | PA      | $2255.36      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 12/01/2052#CB5273                                               | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1412314 | PA      | $1383018.56   | 0.08%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-74 SV SOFR30A+743.552 11/32                                         | CUSIP: 31392FRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        817 | PA      | $21.39        | 0.00%             | 2032-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/01/2033#729327                                             | CUSIP: 31402HHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $449.56       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 1929 EZ 7.5 2/2027                                                       | CUSIP: 3133T9A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        193 | PA      | $193.33       | 0.00%             | 2027-02-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2043#Q15400                                             | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11932 | PA      | $11304.64     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 01/01/2043#Q15372                                             | CUSIP: 3132J6MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3504 | PA      | $3318.86      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/40 #A93505                                                      | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2922 | PA      | $2877.30      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 06/01/2042#AO2244                                                   | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31840 | PA      | $33059.94     | 0.00%             | 2042-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 04/01/2043#Q17518                                             | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8343 | PA      | $7925.78      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 02/01/2035#AB0067                                               | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150178 | PA      | $150992.73    | 0.01%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/47#BE9387                                                  | CUSIP: 3140FVND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6410 | PA      | $6155.16      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR7033                                             | CUSIP: 3138W4Y70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11087 | PA      | $10032.28     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/28 #462669                                                      | CUSIP: 36208V6E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $34.81        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR3493                                             | CUSIP: 3138W03B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10498 | PA      | $9440.37      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 9/40#V81958                                                   | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29352 | PA      | $26703.14     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 4/40 #739091                                                      | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9188 | PA      | $9035.89      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 09/01/2049#                                                     | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43384 | PA      | $37473.79     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 12/37 #A69815                                                     | CUSIP: 3128L13Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1935 | PA      | $2030.43      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 5/33 #G01785                                                      | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6719 | PA      | $6919.96      | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 11/01/2047#Q52086                                             | CUSIP: 3132XUJ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17596 | PA      | $15925.60     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/34#FM0045                                                    | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62520 | PA      | $59557.71     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 2/41 #004945                                                   | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4314 | PA      | $4134.91      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 11/35 #A47571                                                     | CUSIP: 3128K8MU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1441 | PA      | $1451.65      | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 01/20/2044#MA1600                                               | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3769 | PA      | $3457.34      | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-25 Z 6% 6/29                                                        | CUSIP: 31359VU27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       2730 | PA      | $2741.92      | 0.00%             | 2029-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2052#RA8292                                               | CUSIP: 3133KQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1088621 | PA      | $1066039.77   | 0.06%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 12/20/2041#005258                                               | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49827 | PA      | $46167.00     | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 2/40 #706789                                                      | CUSIP: 36297BF63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9551 | PA      | $9186.67      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 05/46#MA3664                                                      | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49321 | PA      | $46137.57     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AB8529                                             | CUSIP: 31417FPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78026 | PA      | $70253.35     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 4.375% 08/15/2043                                | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   85314000 | PA      | $79795250.63  | 4.54%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 06/01/2052#BU8753                                               | CUSIP: 3140MAWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     984492 | PA      | $968070.50    | 0.06%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/26 #303890                                                      | CUSIP: 31373URK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.33         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 07/01/2041#                                                     | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17656 | PA      | $14928.22     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2044#AW1064                                             | CUSIP: 3138XQFE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4479 | PA      | $4351.04      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/41#A97555                                                  | CUSIP: 312946MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5177 | PA      | $5097.24      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2009-108 CF TSFR1M+71.448 11/39                                          | CUSIP: 38376ENU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     354792 | PA      | $354311.85    | 0.02%             | 2039-11-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 05/01/2034#                                                     | CUSIP: 31296XSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        502 | PA      | $505.12       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 1/34 #255070                                                      | CUSIP: 31371LJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85686 | PA      | $88941.28     | 0.01%             | 2034-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 3/42 #783550                                                      | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1917 | PA      | $1781.77      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2% 07/01/2055 #TBA                                                 | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     900000 | PA      | $699960.87    | 0.04%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 03/20/2043 #MA1090                                              | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56406 | PA      | $51986.29     | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H19 FG TSFR1M+41.448 8/60                                           | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     244059 | PA      | $244295.80    | 0.01%             | 2060-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/35 #357953                                                      | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1262 | PA      | $1314.04      | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 12/20/2063                        | CUSIP: 38375UDY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      18620 | PA      | $18723.54     | 0.00%             | 2063-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2033#                                                     | CUSIP: 31296RHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        985 | PA      | $991.48       | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-31 ZC 6.5% 7/31                                                     | CUSIP: 313920CW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1417 | PA      | $1434.56      | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2044#Q27808                                             | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2508 | PA      | $2383.50      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 5.00% 10/29 #MA0214                                                     | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        460 | PA      | $462.14       | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 01/01/2049#BN4472                                               | CUSIP: 3140JL6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10144 | PA      | $9435.65      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2043#AB9341                                             | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7699 | PA      | $6927.40      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #783008                                                      | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41691 | PA      | $40879.82     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 07/01/2050#CA6399                                             | CUSIP: 3140QEDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5485284 | PA      | $4546748.89   | 0.26%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/42 #AK3455                                                      | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6442 | PA      | $6141.72      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR1276                                             | CUSIP: 3138NXM20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6984 | PA      | $6348.32      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #713686                                                      | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1305 | PA      | $1292.99      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 10/41 #Q04092                                                     | CUSIP: 3132GKF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94733 | PA      | $90273.34     | 0.01%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/26 #250701                                                     | CUSIP: 31371FNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          2 | PA      | $1.90         | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                       | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1187459 | PA      | $1046870.30   | 0.06%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/27 #449474                                                      | CUSIP: 36208FJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         91 | PA      | $92.65        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.60% 8/35 #735810                                                  | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9619 | PA      | $9857.85      | 0.00%             | 2035-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT1745                                                | CUSIP: 3138WN5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46362 | PA      | $42714.73     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNMA 2004-24 ZM 5% 04/34                                                     | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      22988 | PA      | $22801.24     | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM RFT1Y+190 9 10/42#849255                                            | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77380 | PA      | $80218.11     | 0.00%             | 2042-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 12/41 #711616                                                     | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18056 | PA      | $16749.96     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 7/42 #AO9368                                                      | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4655 | PA      | $4304.81      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/39 #704628                                                      | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3267 | PA      | $3282.13      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.208% 02/25/2026                             | CUSIP: 3137FLN34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10672622 | PA      | $10583271.96  | 0.60%             | 2026-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AB7767                                             | CUSIP: 31417ETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101708 | PA      | $91533.72     | 0.01%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/29 #434145                                                      | CUSIP: 36207KHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $16.92        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-16 ZD 6.50% 4/32                                                    | CUSIP: 31392CVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1673 | PA      | $1720.65      | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 02/01/2048#CA1218                                             | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20697 | PA      | $19829.02     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.64% 1/35 #813730                                                  | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $367.79       | 0.00%             | 2035-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2045#Q32008                                             | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99640 | PA      | $91331.93     | 0.01%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 09/46#BC2843                                                    | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176926 | PA      | $166058.59    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AL2860                                             | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7142 | PA      | $6441.95      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/41 #Q02592                                                      | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20847 | PA      | $20513.17     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 01/46#MA3377                                                    | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3181 | PA      | $2975.67      | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55725                                               | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43338 | PA      | $40444.07     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/41 #AJ7472                                                     | CUSIP: 3138E0JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2582 | PA      | $2459.22      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 6% 06/01/2055 #TBA                                                 | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -42600000 | PA      | $-43027665.66 | -2.45%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 12/20/2050#MA7051                                                 | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12492212 | PA      | $10040923.89  | 0.57%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 3/41 #A97528                                                      | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3131 | PA      | $3080.00      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #729713                                                      | CUSIP: 31402HVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        523 | PA      | $518.38       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 12/39 #AC6795                                                     | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23935 | PA      | $23560.90     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 09/01/2035#                                                     | CUSIP: 31297S6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.43        | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 4683 LM 3% 05/15/2047                                                    | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     126550 | PA      | $120647.50    | 0.01%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                 | CUSIP: 3136ANY68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      88947 | PA      | $12935.30     | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2042#AL2266                                             | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46198 | PA      | $42801.35     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 06/01/2052#QE4073                                               | CUSIP: 3133BDQ24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1240381 | PA      | $1219691.13   | 0.07%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/40 #AE4428                                                     | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4602 | PA      | $4393.46      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2008-2 FD TSFR1M+59.448 1/38                                             | CUSIP: 38374DMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      66883 | PA      | $66588.60     | 0.00%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 2/34 #725162                                                      | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6364 | PA      | $6603.43      | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 11/01/2044#Q29663                                             | CUSIP: 3132MAML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32193 | PA      | $31255.69     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/42#G60488                                                    | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198766 | PA      | $189592.94    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                 | CUSIP: 38380HC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     211664 | PA      | $188738.28    | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 7/27 #190284                                                      | CUSIP: 31368HJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $22.37        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.625% 07/31/2029                                                  | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25679000 | PA      | $24408090.05  | 1.39%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 11/01/2040#AB1801                                             | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     149774 | PA      | $142933.35    | 0.01%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 5/27 #379801                                                      | CUSIP: 31377K3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $108.29       | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.50% 10/42 #Q11886                                                     | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8261 | PA      | $7653.65      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 08/01/2032#G18654                                             | CUSIP: 3128MMWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7134 | PA      | $6812.98      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                 | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   12957809 | PA      | $11192935.94  | 0.64%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 10/01/2041#RB5131                                               | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18423 | PA      | $15545.52     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 12/39 #704808                                                     | CUSIP: 36296YAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3148 | PA      | $3099.98      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 04/01/2050#MA3991                                               | CUSIP: 31418DNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80763 | PA      | $69533.69     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/28 #572167                                                     | CUSIP: 31386STY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.13        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2040#V81792                                             | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59612 | PA      | $54585.51     | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 09/01/2053#QH0300                                             | CUSIP: 3133CCKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     792979 | PA      | $821742.76    | 0.05%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.472% 12/01/2040#AE0653                                            | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52799 | PA      | $54960.70     | 0.00%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 4.56% 6/33 #780605                                                  | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19958 | PA      | $20217.65     | 0.00%             | 2033-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                      | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1201126 | PA      | $1031172.42   | 0.06%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 5/29 #252492                                                      | CUSIP: 31371HNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $13.20        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.801% 2/33 #695019                                                 | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10445 | PA      | $10584.94     | 0.00%             | 2033-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #719216                                                      | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12217 | PA      | $12011.44     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP PAY 3.89 04/21/26                                                  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   -9200000 | NC      | $-284390.49   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/46#AS7009                                                    | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7765 | PA      | $6993.55      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR2943                                             | CUSIP: 3138W0HV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9284 | PA      | $8374.97      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 01/01/2042#AJ5572                                             | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     145383 | PA      | $138652.74    | 0.01%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/32 #646414                                                      | CUSIP: 31390HDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $83.93        | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 2162 PH 6 6/29                                                           | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        462 | PA      | $469.65       | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/40 #AE3950                                                      | CUSIP: 31419EL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2572 | PA      | $2449.88      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 12/20/2045#MA3311                                                 | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3584 | PA      | $3352.75      | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 08/01/2032#J37452                                               | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5522 | PA      | $5343.83      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.25% 06/30/2031                                                   | CUSIP: 91282CKW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4940000 | PA      | $4981295.34   | 0.28%             | 2031-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2998 LY 5.5 7/25                                                         | CUSIP: 31395VV55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         38 | PA      | $38.35        | 0.00%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 11/01/2042#AQ4673                                             | CUSIP: 3138MLFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8799 | PA      | $7953.81      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 04/01/2042#BV7699                                             | CUSIP: 3140MMRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     596597 | PA      | $521755.73    | 0.03%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2046#V82292                                               | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46290 | PA      | $43416.38     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 28YR 6.00% 6/36 #889046                                                 | CUSIP: 31410GWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354049 | PA      | $368478.08    | 0.02%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 7/27 #451326                                                      | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $18.55        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 02/15/2045#AL4767                                             | CUSIP: 36184BJL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15198 | PA      | $14455.02     | 0.00%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-14 ZB 5% 3/35                                                       | CUSIP: 31394CXY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     318443 | PA      | $317516.24    | 0.02%             | 2035-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 02/01/2044#Q24572                                             | CUSIP: 3132M4W92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2997 | PA      | $2934.96      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 04/20/2047#MA4383                                                 | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     717760 | PA      | $668959.36    | 0.04%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3258 PM 5.5 12/36                                                        | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       4585 | PA      | $4696.74      | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065                      | CUSIP: 38376RLC8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     123055 | PA      | $120022.54    | 0.01%             | 2062-09-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2047#AS9459                                             | CUSIP: 3138WKQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3975 | PA      | $3817.38      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 10/01/2042#AP3667                                             | CUSIP: 3138M7CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30566 | PA      | $28487.22     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-102 CO 0% 11/35                                                     | CUSIP: 31394UHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       2104 | PA      | $1814.01      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                     | BOAM SWAP REC 3.14 09/12/2025                                                | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    3200000 | NC      | $8400.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 2/41 #738002                                                      | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4124 | PA      | $3959.45      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 11/01/2051#FM9517                                             | CUSIP: 3140XDSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1665374 | PA      | $1370539.46   | 0.08%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2047#AX5855                                               | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4023 | PA      | $3726.82      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 12/41 #739352                                                     | CUSIP: 3620ATL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16225 | PA      | $15033.49     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 07/15/2046#AT7623                                               | CUSIP: 36194GPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6144 | PA      | $5710.92      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2050#CA6275                                               | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     386520 | PA      | $304382.78    | 0.02%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-73 SA SOFR30A+1725.235 8/35                                         | CUSIP: 31394EB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        345 | PA      | $358.18       | 0.00%             | 2035-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/28 #457257                                                     | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         30 | PA      | $30.57        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 03/01/2052#SD2219                                               | CUSIP: 3132DPPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1877789 | PA      | $1612591.41   | 0.09%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 4/39 #AB0042                                                      | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     167197 | PA      | $165489.04    | 0.01%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/30 #590851                                                      | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1225 | PA      | $1277.95      | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 10/01/2053#RJ0001                                             | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11196216 | PA      | $11609328.00  | 0.66%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE4056                                               | CUSIP: 31419EQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15793 | PA      | $15020.47     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3% 03/20/2043#AA6146                                                 | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34470 | PA      | $31269.63     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2014-25 HC 3% 2/44                                                       | CUSIP: 38379AEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     251540 | PA      | $223755.20    | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #726923                                                      | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2907 | PA      | $2880.45      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 1/41 #AH1256                                                      | CUSIP: 3138A2ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9800 | PA      | $9335.02      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 09/20/2050#MA6864                                                 | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1984168 | PA      | $1596064.04   | 0.09%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 04/01/2043#MA1412                                             | CUSIP: 31418ASA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6998 | PA      | $6097.63      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2046#G60824                                               | CUSIP: 31335A4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48821 | PA      | $46146.79     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP6523                                                      | CUSIP: 3138MAG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2455 | PA      | $2281.53      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2.375% 02/15/2042                                | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     353100 | PA      | $251214.05    | 0.01%             | 2042-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 4/35 #735503                                                      | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     221101 | PA      | $229955.55    | 0.01%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 9/33 #727147                                                      | CUSIP: 31402EZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3268 | PA      | $3236.67      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 7/35 #G01838                                                      | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37382 | PA      | $37643.25     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2040#AE0675                                             | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4647 | PA      | $4565.45      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 09/20/2043#MA1285                                               | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     333657 | PA      | $306546.05    | 0.02%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 02/01/2048#G61896                                             | CUSIP: 31335CC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40349 | PA      | $36467.99     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2042#AP0495                                             | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7616 | PA      | $7035.09      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                 | CUSIP: 3136A8PY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      24133 | PA      | $535.48       | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 11/34 #605771                                                     | CUSIP: 36200N6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        481 | PA      | $493.21       | 0.00%             | 2034-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.87% 7/36 #1B7380                                                  | CUSIP: 3128QPSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17528 | PA      | $17992.29     | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.673% 03/25/2026                             | CUSIP: 3137BPW21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2975889 | PA      | $2932025.66   | 0.17%             | 2026-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 5/35 #G01818                                                      | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5726 | PA      | $5766.68      | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96876                                                      | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3355 | PA      | $3304.69      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 10/39 #723228                                                     | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1367 | PA      | $1373.83      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2051#FM9632                                               | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2195247 | PA      | $1891047.00   | 0.11%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 05/01/2052#QE2376                                               | CUSIP: 3133BBT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398575 | PA      | $391927.16    | 0.02%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 3/41 #A97620                                                      | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1052 | PA      | $1035.56      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 4% 06/25/2048                                 | CUSIP: 3136B2EX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     693018 | PA      | $146281.25    | 0.01%             | 2048-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 08/01/2051#FM9973                                               | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1315485 | PA      | $1135045.07   | 0.06%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745231                                                      | CUSIP: 3620C04Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15894 | PA      | $15621.19     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.967% 8/41#AI8879                                                  | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3913 | PA      | $4062.59      | 0.00%             | 2041-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/01/2046#BC0214                                               | CUSIP: 3140EUGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88283 | PA      | $82584.93     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.12% 10/36 #1A1201                                                 | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12734 | PA      | $12952.59     | 0.00%             | 2036-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3189 PD 6% 7/36                                                          | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      14980 | PA      | $15513.91     | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #479430                                                     | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17469 | PA      | $16742.17     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                            | FHR 2043 ZH 6% 4/28                                                          | CUSIP: 3133TDPN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        868 | PA      | $880.79       | 0.00%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/40#AE7390                                                    | CUSIP: 31419JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18835 | PA      | $18029.92     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                        | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24690 | PA      | $23886.31     | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-52 YZ 6.5% 10/31                                                    | CUSIP: 313921MN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        584 | PA      | $601.83       | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 07/01/2050#CA6312                                               | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1056747 | PA      | $914109.30    | 0.05%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 8/36 #888034                                                      | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13339 | PA      | $13895.10     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/41 #Q00736                                                      | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6448 | PA      | $6331.47      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 08/20/2044#MA2149                                               | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22496 | PA      | $21357.59     | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 02/01/2041#AH3520                                             | CUSIP: 3138A44E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12158 | PA      | $11592.28     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7% 04/01/2032#                                                     | CUSIP: 31287RQL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        290 | PA      | $305.86       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 06/01/2031#J34598                                               | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5612 | PA      | $5443.71      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/41 #783276                                                      | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1356 | PA      | $1332.51      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/01/2047#Q48754                                               | CUSIP: 3132WNWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     741237 | PA      | $694292.57    | 0.04%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK8237                                                      | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34764 | PA      | $33068.18     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 6/41 #738418                                                      | CUSIP: 3620ASK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        512 | PA      | $514.16       | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 06/01/2055 #TBA                                                   | CUSIP: 21H020667<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23700000 | PA      | $19041210.42  | 1.08%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2033#AL5321                                             | CUSIP: 3138EM4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5714 | PA      | $5659.74      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2040#A94586                                             | CUSIP: 312943CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11037 | PA      | $10863.71     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 05/15/2043#AD9112                                             | CUSIP: 36180NDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3396 | PA      | $3163.08      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 1% 11/25/2049                                 | CUSIP: 3136BHFA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    6651951 | PA      | $5663820.12   | 0.32%             | 2049-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #Q07573                                                      | CUSIP: 3132GSXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2637 | PA      | $2522.57      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA TSFR1M+31.448 04/63                 | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      22362 | PA      | $22156.03     | 0.00%             | 2063-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7% 04/01/2032#                                                     | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        666 | PA      | $696.08       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 4/41 #005017                                                   | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40693 | PA      | $40017.15     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 09/01/2043#AS0961                                             | CUSIP: 3138WAB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11627 | PA      | $10438.23     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/47#AS9614                                                  | CUSIP: 3138WKVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9346 | PA      | $8974.52      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE7374                                               | CUSIP: 31419JFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14444 | PA      | $13787.19     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/01/2051#                                                   | CUSIP: 3140XCYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47822 | PA      | $42731.87     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2046#AL8321                                               | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     160030 | PA      | $150450.20    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.54% 12/39 #AC8301                                                 | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        799 | PA      | $829.07       | 0.00%             | 2039-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 06/01/2043#AB9671                                             | CUSIP: 31417GW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53186 | PA      | $49043.54     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                  | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2307517 | PA      | $2300424.59   | 0.13%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/28 #458374                                                      | CUSIP: 36208RFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $30.22        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/01/2035#A38837                                             | CUSIP: 31297UZA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1920 | PA      | $1900.76      | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.5% 01/25/2051                               | CUSIP: 3137H77F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2492146 | PA      | $2345198.76   | 0.13%             | 2051-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 3.5% 04/25/2045                               | CUSIP: 3136AVBQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     326760 | PA      | $319691.29    | 0.02%             | 2045-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 11/01/2031#AS8387                                             | CUSIP: 3138WJJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10573 | PA      | $10126.95     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 11/41 #005233                                                  | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8932 | PA      | $8543.48      | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.308% 09/25/2025                             | CUSIP: 3137BM7C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11116044 | PA      | $11059023.20  | 0.63%             | 2025-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55661                                               | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36235 | PA      | $33781.38     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 6/41 #AB3143                                                      | CUSIP: 31416YP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15561 | PA      | $14846.12     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 5/1/43 #AT2720                                                | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85525 | PA      | $77025.07     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 359 19 6% 7/35                                                           | CUSIP: 3136FCUL8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1306 | PA      | $230.39       | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 12/01/2046#Q45023                                             | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65976 | PA      | $59898.29     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 02/01/2052#BV3494                                               | CUSIP: 3140MG3C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     795373 | PA      | $628589.97    | 0.04%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/26 #303913                                                      | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.72         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 6/35 #G01839                                                      | CUSIP: 3128LXBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1072 | PA      | $1079.39      | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 11/01/2051#FM9505                                             | CUSIP: 3140XDR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1291250 | PA      | $1062649.67   | 0.06%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/32 #648542                                                      | CUSIP: 31390KP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        139 | PA      | $146.99       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2045#AY5719                                             | CUSIP: 3138YKK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15493 | PA      | $14998.12     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/28 #465988                                                      | CUSIP: 36209AUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $33.87        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 07/15/2043#AF1083                                             | CUSIP: 36181GFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2738 | PA      | $2530.35      | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 11/40 #AE3874                                                     | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12045 | PA      | $11842.83     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2046#G60553                                             | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     716657 | PA      | $654441.79    | 0.04%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 07/20/2040#004737                                             | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        613 | PA      | $594.90       | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 03/01/2041#AE1147                                             | CUSIP: 31419BHZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4583 | PA      | $4352.90      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 11/40 #A95028                                                     | CUSIP: 312943SR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1561 | PA      | $1570.79      | 0.00%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 11/20/2040#004850                                             | CUSIP: 36202FL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15993 | PA      | $15501.03     | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                               | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1414334 | PA      | $1409958.83   | 0.08%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 10/34 #635855                                                     | CUSIP: 36291RMC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1655 | PA      | $1712.07      | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 02/01/2048#Q54334                                             | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     227949 | PA      | $206022.68    | 0.01%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 7/35 #826613                                                      | CUSIP: 31407CK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        708 | PA      | $738.46       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #726928                                                      | CUSIP: 31402ESR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2229 | PA      | $2207.54      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 6/41 #G06596                                                      | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     207916 | PA      | $209241.57    | 0.01%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                      | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     190604 | PA      | $177230.38    | 0.01%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 06/15/2043#AD2454                                             | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5689 | PA      | $5125.76      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 06/01/2031#J34571                                               | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9597 | PA      | $9321.27      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/01/2044#V81065                                             | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2805 | PA      | $2728.51      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 12/28 #323424                                                     | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         58 | PA      | $59.82        | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 8/39 #698479                                                      | CUSIP: 36296Q6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2670 | PA      | $2570.30      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 11/01/2040#V82091                                             | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28091 | PA      | $25705.34     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2040#A95413                                             | CUSIP: 312944AN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3463 | PA      | $3403.02      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5.5% 07/01/2055 #TBA                                                 | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15600000 | PA      | $15478383.96  | 0.88%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 05/01/2027#                                                   | CUSIP: 31283GYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.55         | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #726949                                                      | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7552 | PA      | $7482.57      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MA 2016-H20 FM TSFR1M+51.448 12/20/2062                       | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      33198 | PA      | $33020.77     | 0.00%             | 2062-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 10/34 #AL2130                                                     | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9469 | PA      | $9848.59      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                          | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     287755 | PA      | $271315.97    | 0.02%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 1/40 #A90893                                                      | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9496 | PA      | $9558.48      | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2043#Q17578                                             | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19864 | PA      | $18393.38     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer