# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0000035402-25-002930
**Filing Date:** 2025-12
**Character Count:** 1014432
**Document Hash:** 4c88d46c7322dcf3da7408f23affc8f6
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-25-002930.hdr.sgml**: 20251223

**ACCESSION NUMBER**: 0000035402-25-002930

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251223

**DATE AS OF CHANGE**: 20251223

**PERIOD START**: 20260731

**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:** 251599841

**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 GNMA Fund (Series ID: S000007068)

| Class ID   | Class Name         | Ticker Symbol   |
|:---|:---|:---|
| C000019282 | Fidelity GNMA Fund | FGMNX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® GNMA Fund**

**October 31, 2025**

MOG-NPRT1-1225

1.809097.122 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 10.1%  |  |  |
| Fannie Mae Guaranteed REMIC Series 2012-93 Class QW, 5% 1/25/2042  | 18759 | 18866 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class IP, 4% 2/25/2046 (b) | 12401140 | 2392043 |
| Fannie Mae Guaranteed REMIC Series 2016-78 Class IO, 3.5% 11/25/2046 (b) | 3397201 | 551262 |
| Fannie Mae Guaranteed REMIC Series 2017-1 Class JP, 3.5% 4/25/2045  | 133072 | 131129 |
| Fannie Mae Guaranteed REMIC Series 2017-22 Class JN, 4.5% 4/25/2046  | 323393 | 320950 |
| Fannie Mae Guaranteed REMIC Series 2017-89 Class KV, 3.5% 8/25/2047  | 387451 | 385388 |
| Fannie Mae Guaranteed REMIC Series 2019-52 Class M, 3.5% 3/25/2049  | 54452 | 53398 |
| Fannie Mae Guaranteed REMIC Series 2019-64 Class MJ, 4.5% 6/25/2049  | 662478 | 639872 |
| Fannie Mae Guaranteed REMIC Series 2019-74 Class LB, 3% 10/25/2049  | 318397 | 292035 |
| Fannie Mae Guaranteed REMIC Series 2021-26 Class HC, 1% 11/25/2049  | 2883159 | 2500900 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 924230 | 779346 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 982192 | 828222 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 804890 | 718163 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 1290490 | 1138250 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 8473229 | 7643232 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 925887 | 822853 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.3828% 6/25/2054 (c)(d) | 2492717 | 2499368 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.3828% 9/25/2054 (c)(d) | 1314192 | 1317161 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.5828% 2/25/2055 (c)(d) | 1966515 | 1978299 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.5828% 9/25/2054 (c)(d) | 2027669 | 2036855 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.3328% 2/25/2055 (c)(d) | 1183780 | 1186593 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2002-331 Class 12, 6.5% 2/25/2033 (b)(d) | 51055 | 7012 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (b) | 76015 | 10220 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (b) | 71500 | 9853 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 736888 | 652335 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2204 Class N, 7.5% 12/20/2029  | 214394 | 221003 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2220 Class PD, 8% 3/15/2030  | 108798 | 114161 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 573797 | 523051 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 4672519 | 4135306 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 920144 | 834464 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 1089171 | 952415 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 2929076 | 2669164 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5213 Class JM, 3.5% 9/25/2051  | 3015858 | 2957215 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5224 Class DQ, 3.75% 8/25/2044  | 1749766 | 1700286 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.3828% 2/25/2055 (c)(d) | 1045094 | 1044543 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.4328% 10/25/2054 (c)(d) | 2013253 | 2019905 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.61% 5/20/2060 (c)(d)(e) | 1162624 | 1161094 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.687% 8/20/2060 (c)(d)(e) | 1250524 | 1246376 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.767% 12/20/2060 (c)(d)(e) | 710222 | 708946 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.887% 12/20/2060 (c)(d)(e) | 563519 | 563511 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.887% 2/20/2061 (c)(d)(e) | 142995 | 142985 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.877% 2/20/2061 (c)(d)(e) | 660023 | 659853 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.887% 4/20/2061 (c)(d)(e) | 572499 | 572507 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.887% 5/20/2061 (c)(d)(e) | 569791 | 569710 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.887% 5/20/2061 (c)(d)(e) | 541695 | 541667 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.917% 6/20/2061 (c)(d)(e) | 592774 | 592993 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.987% 10/20/2061 (c)(d)(e) | 694811 | 695791 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 5.087% 11/20/2061 (c)(d)(e) | 736278 | 737968 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 5.087% 1/20/2062 (c)(d)(e) | 404838 | 405920 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 5.017% 1/20/2062 (c)(d)(e) | 845171 | 846798 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 5.017% 3/20/2062 (c)(d)(e) | 512709 | 513287 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 5.037% 5/20/2061 (c)(d)(e) | 1341 | 1339 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class FL, CME Term SOFR 1 month Index + 0.3945%, 4.667% 5/20/2063 (c)(d)(e) | 21537 | 21444 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H19 Class FA, CME Term SOFR 1 month Index + 0.3145%, 4.587% 4/20/2063 (c)(d)(e) | 17627 | 17338 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H21 Class HZ, 4.1442% 6/20/2063 (d)(e) | 220579 | 215697 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H21 Class JZ, 4.4487% 6/20/2065 (d)(e) | 20588 | 20406 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 318135 | 291294 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 4.2% 8/20/2066 (c)(d)(e) | 850555 | 846752 |
| Ginnie Mae Mortgage pass-thru certificates Series 2018-H12 Class HA, 3.25% 8/20/2068 (e) | 6991226 | 6821464 |
| Ginnie Mae REMIC pass-thru certificates Series 2003-74 Class PZ, 5.5% 8/20/2033  | 1676049 | 1706517 |
| Ginnie Mae REMIC pass-thru certificates Series 2003-75 Class ZA, 5.5% 9/20/2033  | 503480 | 519715 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 1051020 | 1050517 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.3537% 5/16/2034 (b)(d) | 118589 | 6804 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class SG, 6.3855% - CME Term SOFR 1 month Index 2.3545% 3/20/2033 (b)(d) | 1117782 | 44428 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-46 Class BZ, 6% 6/20/2034  | 659534 | 674641 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-59 Class SC, 7.0855% - CME Term SOFR 1 month Index 3.0537% 8/16/2034 (b)(d) | 698476 | 54474 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 3.0537% 8/17/2034 (b)(d) | 213935 | 20634 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-86 Class G, 6% 10/20/2034  | 6147212 | 6374470 |
| Ginnie Mae REMIC pass-thru certificates Series 2005-13 Class SA, 6.6855% - CME Term SOFR 1 month Index 2.6545% 2/20/2035 (b)(d) | 1265486 | 95318 |
| Ginnie Mae REMIC pass-thru certificates Series 2005-24 Class TC, 5.5% 3/20/2035  | 1207063 | 1242744 |
| Ginnie Mae REMIC pass-thru certificates Series 2005-26 Class ZA, 5.5% 1/20/2035  | 4949361 | 5060321 |
| Ginnie Mae REMIC pass-thru certificates Series 2005-47 Class ZY, 6% 6/20/2035  | 3682363 | 3824672 |
| Ginnie Mae REMIC pass-thru certificates Series 2005-57 Class PB, 5.5% 7/20/2035  | 1848763 | 1911106 |
| Ginnie Mae REMIC pass-thru certificates Series 2005-6 Class EX, 5.5% 11/20/2034  | 1000834 | 1026651 |
| Ginnie Mae REMIC pass-thru certificates Series 2005-6 Class EY, 5.5% 11/20/2033  | 1016000 | 1024143 |
| Ginnie Mae REMIC pass-thru certificates Series 2005-82 Class JV, 5% 6/20/2035  | 1000112 | 1009564 |
| Ginnie Mae REMIC pass-thru certificates Series 2005-82 Class NS, 6.1855% - CME Term SOFR 1 month Index 2.1545% 7/20/2034 (b)(d) | 1295604 | 97880 |
| Ginnie Mae REMIC pass-thru certificates Series 2006-13 Class DS, CME Term SOFR 1 month Index x 10.9283%, 4.8817% 3/20/2036 (c)(d) | 1355208 | 1390783 |
| Ginnie Mae REMIC pass-thru certificates Series 2006-2 Class Z, 5.5% 1/20/2036  | 2232206 | 2283168 |
| Ginnie Mae REMIC pass-thru certificates Series 2006-50 Class JC, 5% 6/20/2036  | 36651 | 36590 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-35 Class SC, CME Term SOFR 1 month Index x 39.5131%, 15.3221% 6/16/2037 (c)(d) | 180335 | 208124 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.5437% 6/16/2037 (b)(d) | 410005 | 35710 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-51 Class FE, CME Term SOFR 1 month Index + 0.8645%, 4.8963% 6/16/2038 (c)(d) | 123397 | 123964 |
| Ginnie Mae REMIC pass-thru certificates Series 2008-57 Class AF, CME Term SOFR 1 month Index + 0.6945%, 4.7255% 7/20/2038 (c)(d) | 288670 | 288734 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-13 Class E, 4.5% 3/16/2039  | 1270869 | 1257023 |
| Ginnie Mae REMIC pass-thru certificates Series 2009-42 Class AY, 5% 6/16/2037  | 796685 | 803855 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-130 Class KF, CME Term SOFR 1 month Index + 0.7645%, 4.7963% 10/16/2040 (c)(d) | 535357 | 536454 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 11309753 | 11100258 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-168 Class BG, 4% 4/20/2040  | 4346596 | 4248785 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 1780307 | 1745400 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.83% 3/20/2060 (c)(d)(e) | 1436604 | 1437542 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (b) | 71220 | 2344 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-52 Class HI, 7% 4/16/2041 (b) | 132286 | 15017 |
| Ginnie Mae REMIC pass-thru certificates Series 2012-103 Class IL, 3% 8/20/2027 (b) | 1569284 | 24983 |
| Ginnie Mae REMIC pass-thru certificates Series 2012-48 Class FA, CME Term SOFR 1 month Index + 0.4645%, 4.4963% 4/16/2042 (c)(d) | 211891 | 209863 |
| Ginnie Mae REMIC pass-thru certificates Series 2012-76 Class GF, CME Term SOFR 1 month Index + 0.4145%, 4.4463% 6/16/2042 (c)(d) | 224448 | 222855 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 3408742 | 3366165 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-182 Class IQ, 4.5% 12/16/2043 (b) | 2179034 | 387069 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-133 Class IB, 5% 9/20/2044 (b) | 2090515 | 419062 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-146 Class EI, 5% 10/20/2044 (b) | 4011555 | 837553 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-154 Class IO, 5% 10/20/2044 (b) | 805851 | 166803 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-158 Class ID, 5% 10/20/2044 (b) | 3556377 | 754205 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-178 Class IO, 5% 11/20/2044 (b) | 5007587 | 1028900 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 2623243 | 2407176 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 1006161 | 940617 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 1718093 | 1578940 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 1365849 | 1254875 |
| Ginnie Mae REMIC pass-thru certificates Series 2015-117 Class KI, 5% 8/20/2045 (b) | 4728096 | 937403 |
| Ginnie Mae REMIC pass-thru certificates Series 2015-14 Class IO, 5% 10/20/2044 (b) | 5433478 | 1102516 |
| Ginnie Mae REMIC pass-thru certificates Series 2015-24 Class PI, 3.5% 2/20/2045 (b) | 6641579 | 1042442 |
| Ginnie Mae REMIC pass-thru certificates Series 2015-79 Class IC, 5% 5/20/2045 (b) | 2592076 | 524240 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-12 Class FA, CME Term SOFR 1 month Index + 0.4645%, 4.4955% 1/20/2046 (c)(d) | 611899 | 600025 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-146 Class AL, 5.5915% 5/20/2040 (d) | 1580167 | 1617303 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-17 Class A, 3% 2/16/2046  | 10494965 | 9673257 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-171 Class BI, 5% 10/20/2044 (b) | 4892977 | 988097 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 776443 | 717220 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 3796501 | 3388623 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class K, 3% 8/20/2047  | 10612627 | 9839232 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-153 Class GA, 3% 9/20/2047  | 2191181 | 1982270 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-182 Class KA, 3% 10/20/2047  | 1767066 | 1604839 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 5081213 | 4746847 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-75 Class PT, 5.7075% 4/20/2047 (d) | 5776632 | 5905763 |
| Ginnie Mae REMIC pass-thru certificates Series 2018-13 Class Q, 3% 4/20/2047  | 1999344 | 1875718 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-42 Class FK, CME Term SOFR 1 month Index + 0.5645%, 4.5955% 4/20/2049 (c)(d) | 4234086 | 4191378 |
| TOTAL UNITED STATES |  | 179874847 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $190,807,966) |  | <br> **179874847** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 1.7%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.7%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 1.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.7%  |  |  |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K061 Class A2, 3.347% 11/25/2026  | 18180604 | 18005036 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K063 Class A2, 3.43% 1/25/2027  | 1300000 | 1290859 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K523 Class AS, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.8576% 4/25/2029 (c)(d) | 10589546 | 10606352 |
| Ginnie Mae Multifamily REMICS Series 2001-58 Class X, 0.4902% 9/16/2041 (b)(d) | 161943 | 2 |
| Ginnie Mae REMIC pass-thru certificates Series 2002-81 Class IO, 1.0218% 9/16/2042 (b)(d) | 533921 | 7083 |
| TOTAL UNITED STATES |  | 29909332 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $35,839,672) |  | <br> **29909332** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 123.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 123.1%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 123.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 123.1%  |  |  |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 6.71% 1/1/2035 (c)(d) | 6792 | 6970 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 6.105% 7/1/2034 (c)(d) | 3593 | 3671 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.596%, 6.596% 3/1/2036 (c)(d) | 24936 | 25705 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.61%, 6.36% 8/1/2035 (c)(d) | 69815 | 71772 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 6.387% 5/1/2035 (c)(d) | 56414 | 57927 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.667%, 6.47% 11/1/2036 (c)(d) | 20560 | 21151 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.673%, 6.566% 3/1/2033 (c)(d) | 13989 | 14354 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.89%, 6.54% 8/1/2035 (c)(d) | 36900 | 37819 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.142%, 6.28% 7/1/2036 (c)(d) | 21348 | 21731 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.277%, 6.434% 10/1/2033 (c)(d) | 8229 | 8413 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 6.58% 7/1/2034 (c)(d) | 46290 | 47355 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 6.71% 9/1/2034 (c)(d) | 18855 | 19325 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 317284 | 311215 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 416924 | 375451 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 209637 | 188495 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 83149 | 74796 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 36233 | 32391 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 563390 | 505541 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 300210 | 267907 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 196688 | 176261 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 980804 | 986965 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.51%, 6.01% 2/1/2033 (c)(d) | 2813 | 2850 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.244% 12/1/2034 (c)(d) | 7375 | 7499 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.285% 3/1/2035 (c)(d) | 7077 | 7201 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.184% 9/1/2033 (c)(d) | 91942 | 93425 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.199% 10/1/2033 (c)(d) | 2900 | 2947 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.206% 7/1/2035 (c)(d) | 4121 | 4198 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 1823318 | 1895822 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1591228 | 1632500 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 1514864 | 1578061 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 4226379 | 4390478 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 559605 | 574120 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 671322 | 696930 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 490206 | 508445 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 604108 | 637299 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 398219 | 413036 |
| Fannie Mae Mortgage pass-thru certificates 8.5% 12/1/2027  | 1487 | 1496 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 6457572 | 5823108 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 568056 | 511532 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 1215556 | 1095517 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 367908 | 330386 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 2604232 | 2361502 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 438674 | 396147 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 165261 | 147944 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 201805 | 195467 |
| Freddie Mac Gold Pool 3% 6/1/2051  | 61502 | 54995 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (h) | 1816585 | 1866525 |
| Freddie Mac Gold Pool 6.5% 10/1/2053 (g) | 3241048 | 3408738 |
| Freddie Mac Gold Pool 6.5% 10/1/2053 (g) | 3243406 | 3407164 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 224087 | 236311 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 218618 | 229656 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.86%, 6.61% 8/1/2034 (c)(d) | 16500 | 17005 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (c)(d) | 43406 | 44895 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.961%, 6.711% 6/1/2033 (c)(d) | 62583 | 64351 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 6.658% 3/1/2033 (c)(d) | 606 | 619 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.157% 6/1/2033 (c)(d) | 68417 | 69475 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.233%, 6.384% 12/1/2035 (c)(d) | 260768 | 266222 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.26%, 6.32% 6/1/2033 (c)(d) | 82350 | 83772 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 6.528% 3/1/2035 (c)(d) | 180255 | 183943 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.29% 10/1/2036 (c)(d) | 40828 | 41584 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.994%, 6.661% 10/1/2035 (c)(d) | 52647 | 53840 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 1420339 | 1467054 |
| Ginnie Mae I Pool 2.25% 5/20/2050  | 1379420 | 1165071 |
| Ginnie Mae I Pool 2.375% 5/20/2050  | 1104678 | 942982 |
| Ginnie Mae I Pool 2.5% 10/15/2042  | 156107 | 139475 |
| Ginnie Mae I Pool 2.5% 10/20/2052  | 2400638 | 2089861 |
| Ginnie Mae I Pool 2.5% 11/15/2042  | 209276 | 187157 |
| Ginnie Mae I Pool 2.5% 12/15/2042  | 2062319 | 1851478 |
| Ginnie Mae I Pool 2.5% 12/15/2042  | 1859618 | 1667880 |
| Ginnie Mae I Pool 2.5% 12/15/2042  | 407592 | 365922 |
| Ginnie Mae I Pool 2.5% 12/15/2042  | 154597 | 138523 |
| Ginnie Mae I Pool 2.5% 12/15/2042  | 143255 | 128672 |
| Ginnie Mae I Pool 2.5% 12/15/2042  | 25711 | 23231 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 4411295 | 3788532 |
| Ginnie Mae I Pool 2.5% 3/15/2028  | 1026694 | 1011208 |
| Ginnie Mae I Pool 2.5% 3/15/2028  | 545505 | 537015 |
| Ginnie Mae I Pool 2.5% 4/15/2028  | 900506 | 886492 |
| Ginnie Mae I Pool 2.5% 5/20/2050  | 1773784 | 1525588 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 19935290 | 17120929 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 5210070 | 4472911 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 3734927 | 3207650 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 9517219 | 8173628 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 5185429 | 4453378 |
| Ginnie Mae I Pool 2.625% 5/20/2050  | 2765347 | 2400353 |
| Ginnie Mae I Pool 2.75% 5/20/2050  | 601556 | 527329 |
| Ginnie Mae I Pool 3% 1/15/2043  | 125812 | 115735 |
| Ginnie Mae I Pool 3% 1/15/2045  | 453177 | 412963 |
| Ginnie Mae I Pool 3% 1/15/2045  | 8857 | 8061 |
| Ginnie Mae I Pool 3% 1/20/2050  | 92091 | 82797 |
| Ginnie Mae I Pool 3% 1/20/2050  | 50018 | 44985 |
| Ginnie Mae I Pool 3% 10/15/2042  | 1228021 | 1130064 |
| Ginnie Mae I Pool 3% 10/15/2043  | 91349 | 84002 |
| Ginnie Mae I Pool 3% 10/15/2049  | 9654148 | 8756684 |
| Ginnie Mae I Pool 3% 10/20/2041  | 496219 | 435046 |
| Ginnie Mae I Pool 3% 11/15/2042  | 67342 | 61881 |
| Ginnie Mae I Pool 3% 11/15/2042  | 24991 | 22915 |
| Ginnie Mae I Pool 3% 11/15/2042  | 24586 | 22846 |
| Ginnie Mae I Pool 3% 11/15/2044  | 64589 | 59351 |
| Ginnie Mae I Pool 3% 11/20/2049  | 408492 | 367778 |
| Ginnie Mae I Pool 3% 12/15/2042  | 1514328 | 1391024 |
| Ginnie Mae I Pool 3% 12/15/2042  | 422075 | 387986 |
| Ginnie Mae I Pool 3% 12/15/2042  | 232004 | 213887 |
| Ginnie Mae I Pool 3% 12/15/2042  | 68534 | 62998 |
| Ginnie Mae I Pool 3% 12/15/2042  | 1834 | 1690 |
| Ginnie Mae I Pool 3% 12/20/2042  | 13001485 | 11983559 |
| Ginnie Mae I Pool 3% 2/15/2038  | 3194170 | 2993468 |
| Ginnie Mae I Pool 3% 2/15/2038  | 2114271 | 1981423 |
| Ginnie Mae I Pool 3% 2/20/2043  | 2187483 | 2019854 |
| Ginnie Mae I Pool 3% 2/20/2050  | 2519958 | 2265644 |
| Ginnie Mae I Pool 3% 3/15/2038  | 921920 | 863362 |
| Ginnie Mae I Pool 3% 3/15/2043  | 70787 | 65070 |
| Ginnie Mae I Pool 3% 3/15/2045  | 426564 | 388581 |
| Ginnie Mae I Pool 3% 3/15/2045  | 66838 | 60725 |
| Ginnie Mae I Pool 3% 3/15/2045  | 11929 | 10908 |
| Ginnie Mae I Pool 3% 3/20/2043  | 8444499 | 7786752 |
| Ginnie Mae I Pool 3% 3/20/2043  | 3497126 | 3227038 |
| Ginnie Mae I Pool 3% 3/20/2043  | 1511820 | 1395408 |
| Ginnie Mae I Pool 3% 3/20/2043  | 198099 | 182797 |
| Ginnie Mae I Pool 3% 4/15/2042  | 36419 | 33662 |
| Ginnie Mae I Pool 3% 4/15/2043  | 1609413 | 1481572 |
| Ginnie Mae I Pool 3% 4/15/2043  | 569009 | 521015 |
| Ginnie Mae I Pool 3% 4/15/2043  | 445518 | 408950 |
| Ginnie Mae I Pool 3% 4/15/2043  | 164963 | 151694 |
| Ginnie Mae I Pool 3% 4/15/2043  | 130564 | 120368 |
| Ginnie Mae I Pool 3% 4/15/2045  | 949211 | 862961 |
| Ginnie Mae I Pool 3% 4/15/2045  | 553284 | 503679 |
| Ginnie Mae I Pool 3% 4/15/2045  | 448141 | 406753 |
| Ginnie Mae I Pool 3% 4/15/2045  | 12665 | 11496 |
| Ginnie Mae I Pool 3% 5/15/2027  | 104531 | 103658 |
| Ginnie Mae I Pool 3% 5/15/2043  | 803548 | 735514 |
| Ginnie Mae I Pool 3% 5/15/2043  | 660458 | 606464 |
| Ginnie Mae I Pool 3% 5/15/2043  | 630648 | 579090 |
| Ginnie Mae I Pool 3% 5/15/2043  | 390536 | 358609 |
| Ginnie Mae I Pool 3% 5/15/2043  | 289857 | 265223 |
| Ginnie Mae I Pool 3% 5/15/2043  | 254904 | 235260 |
| Ginnie Mae I Pool 3% 5/15/2043  | 222881 | 204297 |
| Ginnie Mae I Pool 3% 5/15/2043  | 104171 | 95931 |
| Ginnie Mae I Pool 3% 5/15/2043  | 76974 | 70531 |
| Ginnie Mae I Pool 3% 5/15/2043  | 71194 | 65444 |
| Ginnie Mae I Pool 3% 5/15/2043  | 12711 | 11663 |
| Ginnie Mae I Pool 3% 5/15/2045  | 437022 | 398918 |
| Ginnie Mae I Pool 3% 5/15/2045  | 16186 | 14691 |
| Ginnie Mae I Pool 3% 5/20/2050  | 1735115 | 1558922 |
| Ginnie Mae I Pool 3% 6/15/2038  | 955328 | 895958 |
| Ginnie Mae I Pool 3% 6/15/2042  | 73714 | 68016 |
| Ginnie Mae I Pool 3% 6/15/2042  | 70802 | 64967 |
| Ginnie Mae I Pool 3% 6/15/2043  | 856090 | 787516 |
| Ginnie Mae I Pool 3% 6/15/2043  | 765970 | 701609 |
| Ginnie Mae I Pool 3% 6/15/2043  | 97764 | 90742 |
| Ginnie Mae I Pool 3% 6/15/2043  | 51237 | 47015 |
| Ginnie Mae I Pool 3% 6/15/2043  | 35780 | 32832 |
| Ginnie Mae I Pool 3% 6/15/2043  | 33873 | 31193 |
| Ginnie Mae I Pool 3% 6/15/2043  | 5338 | 4909 |
| Ginnie Mae I Pool 3% 6/15/2045  | 4281 | 3882 |
| Ginnie Mae I Pool 3% 6/20/2042  | 2146978 | 1994561 |
| Ginnie Mae I Pool 3% 6/20/2050  | 3684646 | 3310488 |
| Ginnie Mae I Pool 3% 7/15/2042  | 166183 | 153432 |
| Ginnie Mae I Pool 3% 7/15/2042  | 111082 | 102037 |
| Ginnie Mae I Pool 3% 7/15/2043  | 112301 | 103047 |
| Ginnie Mae I Pool 3% 7/15/2043  | 53987 | 49627 |
| Ginnie Mae I Pool 3% 7/20/2050  | 2946984 | 2647732 |
| Ginnie Mae I Pool 3% 7/20/2050  | 2895882 | 2602724 |
| Ginnie Mae I Pool 3% 7/20/2050  | 2496100 | 2242633 |
| Ginnie Mae I Pool 3% 8/15/2042  | 32823 | 30097 |
| Ginnie Mae I Pool 3% 8/15/2042  | 14049 | 12919 |
| Ginnie Mae I Pool 3% 8/15/2043  | 131836 | 121364 |
| Ginnie Mae I Pool 3% 9/15/2042  | 508684 | 469656 |
| Ginnie Mae I Pool 3% 9/15/2042  | 271381 | 250840 |
| Ginnie Mae I Pool 3% 9/15/2042  | 200190 | 184558 |
| Ginnie Mae I Pool 3% 9/15/2042  | 125341 | 115554 |
| Ginnie Mae I Pool 3% 9/15/2042  | 81828 | 75383 |
| Ginnie Mae I Pool 3% 9/15/2042  | 60198 | 55416 |
| Ginnie Mae I Pool 3% 9/15/2042  | 13350 | 12298 |
| Ginnie Mae I Pool 3% 9/15/2042  | 6267 | 5778 |
| Ginnie Mae I Pool 3% 9/20/2046  | 3930999 | 3577277 |
| Ginnie Mae I Pool 3.25% 2/20/2041  | 679466 | 598596 |
| Ginnie Mae I Pool 3.25% 7/20/2046  | 119620 | 109963 |
| Ginnie Mae I Pool 3.375% 5/20/2050  | 282788 | 257687 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 4133032 | 3912020 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 2533241 | 2397184 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 1262561 | 1194750 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 56576 | 53524 |
| Ginnie Mae I Pool 3.5% 1/15/2045  | 388576 | 363475 |
| Ginnie Mae I Pool 3.5% 1/15/2045  | 196252 | 184954 |
| Ginnie Mae I Pool 3.5% 1/20/2048  | 1156812 | 1086614 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 79728 | 73356 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 48298 | 44558 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 47058 | 43415 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 13514 | 12433 |
| Ginnie Mae I Pool 3.5% 10/15/2042  | 198461 | 186906 |
| Ginnie Mae I Pool 3.5% 10/20/2044  | 1760581 | 1656395 |
| Ginnie Mae I Pool 3.5% 10/20/2049  | 653347 | 600314 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 1085946 | 1028644 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 340458 | 323230 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 134866 | 127498 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 38557 | 36270 |
| Ginnie Mae I Pool 3.5% 11/20/2044  | 6641906 | 6243848 |
| Ginnie Mae I Pool 3.5% 11/20/2044  | 1341460 | 1259632 |
| Ginnie Mae I Pool 3.5% 11/20/2044  | 1055557 | 991515 |
| Ginnie Mae I Pool 3.5% 11/20/2049  | 196397 | 181315 |
| Ginnie Mae I Pool 3.5% 11/20/2049  | 116804 | 107579 |
| Ginnie Mae I Pool 3.5% 12/15/2026  | 43298 | 43075 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 1425647 | 1347099 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 179939 | 169781 |
| Ginnie Mae I Pool 3.5% 12/15/2042  | 206706 | 195897 |
| Ginnie Mae I Pool 3.5% 12/20/2042  | 331203 | 312953 |
| Ginnie Mae I Pool 3.5% 12/20/2044  | 658132 | 617861 |
| Ginnie Mae I Pool 3.5% 12/20/2044  | 469407 | 440772 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 2127823 | 2013541 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 1187996 | 1120928 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 738499 | 699182 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 566228 | 536350 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 367738 | 347731 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 93198 | 88193 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 88669 | 83644 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 2713653 | 2569868 |
| Ginnie Mae I Pool 3.5% 3/15/2027  | 85427 | 84969 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 5912192 | 5593276 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 3755042 | 3553364 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 1426937 | 1347343 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 954403 | 903143 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 243049 | 229273 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 152190 | 144342 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 31338 | 29612 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 4781866 | 4529350 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 1209167 | 1144832 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 1102589 | 1043471 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 693041 | 654679 |
| Ginnie Mae I Pool 3.5% 4/15/2042 (i) | 9160578 | 8672874 |
| Ginnie Mae I Pool 3.5% 4/15/2042  | 4270843 | 4043465 |
| Ginnie Mae I Pool 3.5% 4/15/2042  | 3909704 | 3696992 |
| Ginnie Mae I Pool 3.5% 4/15/2042  | 2506185 | 2369254 |
| Ginnie Mae I Pool 3.5% 4/15/2042  | 1411862 | 1337028 |
| Ginnie Mae I Pool 3.5% 4/20/2043  | 1175052 | 1110742 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 4508885 | 4268835 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 1525391 | 1442400 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 823358 | 779136 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 612115 | 579239 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 45833 | 43350 |
| Ginnie Mae I Pool 3.5% 5/20/2050  | 2491076 | 2289650 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 853138 | 804593 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 107195 | 100908 |
| Ginnie Mae I Pool 3.5% 6/15/2044  | 439335 | 412090 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 7571444 | 7152554 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 924582 | 872178 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 491223 | 463271 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 9511 | 8937 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 1197350 | 1128665 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 519159 | 489498 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 67408006 | 62736861 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 260352 | 245422 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 191921 | 181129 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 89778 | 86867 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 43548 | 41003 |
| Ginnie Mae I Pool 3.5% 8/15/2043  | 433134 | 406809 |
| Ginnie Mae I Pool 3.5% 9/15/2026  | 4268 | 4254 |
| Ginnie Mae I Pool 3.5% 9/15/2043  | 83580 | 78623 |
| Ginnie Mae I Pool 3.5% 9/20/2049  | 1292401 | 1181194 |
| Ginnie Mae I Pool 3.7% 10/15/2042  | 3299042 | 3127053 |
| Ginnie Mae I Pool 3.74% 7/20/2042  | 208109 | 198402 |
| Ginnie Mae I Pool 3.75% 1/20/2046  | 1740540 | 1646516 |
| Ginnie Mae I Pool 3.75% 10/20/2041  | 857313 | 819339 |
| Ginnie Mae I Pool 3.75% 10/20/2045  | 2273455 | 2150643 |
| Ginnie Mae I Pool 3.75% 11/20/2045  | 814430 | 770435 |
| Ginnie Mae I Pool 3.75% 11/20/2046  | 2728958 | 2577276 |
| Ginnie Mae I Pool 3.75% 2/20/2046  | 641341 | 606696 |
| Ginnie Mae I Pool 3.75% 5/20/2046  | 791589 | 748827 |
| Ginnie Mae I Pool 3.75% 7/20/2047  | 207956 | 195747 |
| Ginnie Mae I Pool 3.75% 8/20/2045  | 1403399 | 1327776 |
| Ginnie Mae I Pool 3.75% 9/20/2045  | 1090492 | 1032297 |
| Ginnie Mae I Pool 4% 1/15/2040  | 436196 | 424356 |
| Ginnie Mae I Pool 4% 1/15/2040  | 148482 | 144339 |
| Ginnie Mae I Pool 4% 1/15/2040  | 59635 | 58024 |
| Ginnie Mae I Pool 4% 1/15/2041  | 503739 | 489426 |
| Ginnie Mae I Pool 4% 1/15/2041  | 235025 | 228347 |
| Ginnie Mae I Pool 4% 1/15/2041  | 205189 | 199462 |
| Ginnie Mae I Pool 4% 1/15/2041  | 171205 | 166449 |
| Ginnie Mae I Pool 4% 1/15/2041  | 163419 | 158880 |
| Ginnie Mae I Pool 4% 1/15/2041  | 132987 | 129310 |
| Ginnie Mae I Pool 4% 1/15/2041  | 63412 | 61740 |
| Ginnie Mae I Pool 4% 1/15/2041  | 56527 | 54992 |
| Ginnie Mae I Pool 4% 1/15/2041  | 53246 | 51828 |
| Ginnie Mae I Pool 4% 1/15/2041  | 31083 | 30190 |
| Ginnie Mae I Pool 4% 1/15/2041  | 18743 | 18244 |
| Ginnie Mae I Pool 4% 1/15/2041  | 4123 | 4005 |
| Ginnie Mae I Pool 4% 1/15/2042  | 311551 | 302556 |
| Ginnie Mae I Pool 4% 1/15/2042  | 173004 | 168062 |
| Ginnie Mae I Pool 4% 1/15/2042  | 135513 | 132121 |
| Ginnie Mae I Pool 4% 1/15/2042  | 48907 | 47480 |
| Ginnie Mae I Pool 4% 1/15/2042  | 19002 | 18433 |
| Ginnie Mae I Pool 4% 1/15/2043  | 67557 | 65438 |
| Ginnie Mae I Pool 4% 1/15/2045  | 287979 | 277511 |
| Ginnie Mae I Pool 4% 1/15/2045  | 188776 | 182615 |
| Ginnie Mae I Pool 4% 1/20/2042  | 3285379 | 3183963 |
| Ginnie Mae I Pool 4% 1/20/2042  | 80009 | 77475 |
| Ginnie Mae I Pool 4% 1/20/2049  | 797935 | 761285 |
| Ginnie Mae I Pool 4% 1/20/2050  | 587941 | 560568 |
| Ginnie Mae I Pool 4% 10/15/2039  | 1147043 | 1116204 |
| Ginnie Mae I Pool 4% 10/15/2039  | 952730 | 926626 |
| Ginnie Mae I Pool 4% 10/15/2039  | 556999 | 542314 |
| Ginnie Mae I Pool 4% 10/15/2039  | 131043 | 127470 |
| Ginnie Mae I Pool 4% 10/15/2040  | 4103504 | 3990546 |
| Ginnie Mae I Pool 4% 10/15/2040  | 1333557 | 1297359 |
| Ginnie Mae I Pool 4% 10/15/2040  | 388421 | 378078 |
| Ginnie Mae I Pool 4% 10/15/2040  | 191984 | 186650 |
| Ginnie Mae I Pool 4% 10/15/2040  | 156959 | 152619 |
| Ginnie Mae I Pool 4% 10/15/2040  | 61015 | 59244 |
| Ginnie Mae I Pool 4% 10/15/2040  | 51922 | 50431 |
| Ginnie Mae I Pool 4% 10/15/2040  | 31056 | 30209 |
| Ginnie Mae I Pool 4% 10/15/2040  | 17204 | 16733 |
| Ginnie Mae I Pool 4% 10/15/2040  | 16972 | 16507 |
| Ginnie Mae I Pool 4% 10/15/2040  | 9610 | 9355 |
| Ginnie Mae I Pool 4% 10/15/2040  | 6512 | 6337 |
| Ginnie Mae I Pool 4% 10/15/2041  | 2637527 | 2559022 |
| Ginnie Mae I Pool 4% 10/15/2041  | 862096 | 836949 |
| Ginnie Mae I Pool 4% 10/15/2041  | 603353 | 586592 |
| Ginnie Mae I Pool 4% 10/15/2041  | 505138 | 490631 |
| Ginnie Mae I Pool 4% 10/15/2041  | 278554 | 270639 |
| Ginnie Mae I Pool 4% 10/15/2041  | 266889 | 259185 |
| Ginnie Mae I Pool 4% 10/15/2041  | 192089 | 186657 |
| Ginnie Mae I Pool 4% 10/15/2041  | 185314 | 180073 |
| Ginnie Mae I Pool 4% 10/15/2041  | 146822 | 142743 |
| Ginnie Mae I Pool 4% 10/15/2041  | 131638 | 128065 |
| Ginnie Mae I Pool 4% 10/15/2041  | 98831 | 95904 |
| Ginnie Mae I Pool 4% 10/15/2041  | 83234 | 80806 |
| Ginnie Mae I Pool 4% 10/15/2041  | 64208 | 62231 |
| Ginnie Mae I Pool 4% 10/15/2041  | 61960 | 60207 |
| Ginnie Mae I Pool 4% 10/15/2041  | 61322 | 59649 |
| Ginnie Mae I Pool 4% 10/15/2041  | 52389 | 50940 |
| Ginnie Mae I Pool 4% 10/15/2041  | 30488 | 29622 |
| Ginnie Mae I Pool 4% 10/15/2041  | 11506 | 11150 |
| Ginnie Mae I Pool 4% 10/15/2041  | 10249 | 9955 |
| Ginnie Mae I Pool 4% 11/15/2039  | 1789643 | 1741295 |
| Ginnie Mae I Pool 4% 11/15/2039  | 285675 | 277738 |
| Ginnie Mae I Pool 4% 11/15/2039  | 209622 | 204319 |
| Ginnie Mae I Pool 4% 11/15/2040  | 918191 | 893863 |
| Ginnie Mae I Pool 4% 11/15/2040  | 271070 | 263747 |
| Ginnie Mae I Pool 4% 11/15/2040  | 212095 | 206123 |
| Ginnie Mae I Pool 4% 11/15/2040  | 169617 | 164841 |
| Ginnie Mae I Pool 4% 11/15/2040  | 46002 | 44694 |
| Ginnie Mae I Pool 4% 11/15/2040  | 43330 | 42275 |
| Ginnie Mae I Pool 4% 11/15/2040  | 23745 | 23088 |
| Ginnie Mae I Pool 4% 11/15/2040  | 8932 | 8697 |
| Ginnie Mae I Pool 4% 11/15/2041  | 481294 | 467400 |
| Ginnie Mae I Pool 4% 11/15/2041  | 67703 | 65708 |
| Ginnie Mae I Pool 4% 11/15/2042  | 616585 | 597511 |
| Ginnie Mae I Pool 4% 11/15/2042  | 138720 | 134571 |
| Ginnie Mae I Pool 4% 11/15/2042  | 22996 | 22281 |
| Ginnie Mae I Pool 4% 12/15/2039  | 712614 | 693547 |
| Ginnie Mae I Pool 4% 12/15/2039  | 475479 | 462881 |
| Ginnie Mae I Pool 4% 12/15/2039  | 79110 | 76912 |
| Ginnie Mae I Pool 4% 12/15/2040  | 1921294 | 1866700 |
| Ginnie Mae I Pool 4% 12/15/2040  | 646493 | 629112 |
| Ginnie Mae I Pool 4% 12/15/2040  | 286146 | 278197 |
| Ginnie Mae I Pool 4% 12/15/2040  | 186498 | 181114 |
| Ginnie Mae I Pool 4% 12/15/2040  | 83691 | 81335 |
| Ginnie Mae I Pool 4% 12/15/2040  | 80920 | 78682 |
| Ginnie Mae I Pool 4% 12/15/2040  | 9128 | 8902 |
| Ginnie Mae I Pool 4% 12/15/2040  | 7039 | 6844 |
| Ginnie Mae I Pool 4% 12/15/2040  | 3051 | 2961 |
| Ginnie Mae I Pool 4% 12/15/2041  | 801832 | 778084 |
| Ginnie Mae I Pool 4% 12/15/2041  | 556572 | 540088 |
| Ginnie Mae I Pool 4% 12/15/2041  | 224588 | 218237 |
| Ginnie Mae I Pool 4% 12/15/2041  | 153765 | 149166 |
| Ginnie Mae I Pool 4% 12/15/2041  | 74823 | 72552 |
| Ginnie Mae I Pool 4% 12/15/2041  | 73822 | 71625 |
| Ginnie Mae I Pool 4% 12/15/2041  | 64903 | 63175 |
| Ginnie Mae I Pool 4% 12/15/2041  | 7430 | 7214 |
| Ginnie Mae I Pool 4% 12/15/2042  | 278517 | 270921 |
| Ginnie Mae I Pool 4% 12/15/2042  | 16964 | 16454 |
| Ginnie Mae I Pool 4% 12/20/2040  | 125550 | 121908 |
| Ginnie Mae I Pool 4% 2/15/2040  | 420272 | 408918 |
| Ginnie Mae I Pool 4% 2/15/2040  | 362421 | 352677 |
| Ginnie Mae I Pool 4% 2/15/2040  | 19100 | 18609 |
| Ginnie Mae I Pool 4% 2/15/2041  | 387324 | 376711 |
| Ginnie Mae I Pool 4% 2/15/2041  | 79146 | 76897 |
| Ginnie Mae I Pool 4% 2/15/2041  | 76201 | 74065 |
| Ginnie Mae I Pool 4% 2/15/2041  | 58415 | 56807 |
| Ginnie Mae I Pool 4% 2/15/2041  | 25770 | 25084 |
| Ginnie Mae I Pool 4% 2/15/2041  | 18462 | 17913 |
| Ginnie Mae I Pool 4% 2/15/2041  | 14916 | 14537 |
| Ginnie Mae I Pool 4% 2/15/2042  | 499252 | 484466 |
| Ginnie Mae I Pool 4% 2/15/2042  | 227640 | 220565 |
| Ginnie Mae I Pool 4% 2/15/2042  | 120607 | 117211 |
| Ginnie Mae I Pool 4% 2/15/2042  | 80621 | 78257 |
| Ginnie Mae I Pool 4% 2/15/2042  | 61763 | 60071 |
| Ginnie Mae I Pool 4% 2/15/2042  | 57540 | 55811 |
| Ginnie Mae I Pool 4% 2/15/2045  | 431652 | 416015 |
| Ginnie Mae I Pool 4% 2/15/2045  | 92144 | 88795 |
| Ginnie Mae I Pool 4% 2/20/2046  | 690954 | 661809 |
| Ginnie Mae I Pool 4% 3/15/2040  | 296102 | 288491 |
| Ginnie Mae I Pool 4% 3/15/2040  | 228643 | 222555 |
| Ginnie Mae I Pool 4% 3/15/2041  | 1084312 | 1053781 |
| Ginnie Mae I Pool 4% 3/15/2041  | 41558 | 40424 |
| Ginnie Mae I Pool 4% 3/15/2041  | 22453 | 21837 |
| Ginnie Mae I Pool 4% 3/15/2041  | 14145 | 13720 |
| Ginnie Mae I Pool 4% 3/15/2042  | 246494 | 239048 |
| Ginnie Mae I Pool 4% 3/15/2042  | 166613 | 161679 |
| Ginnie Mae I Pool 4% 3/15/2042  | 35083 | 33993 |
| Ginnie Mae I Pool 4% 3/15/2044  | 353094 | 341619 |
| Ginnie Mae I Pool 4% 3/15/2045  | 250486 | 242487 |
| Ginnie Mae I Pool 4% 3/15/2045  | 145194 | 141106 |
| Ginnie Mae I Pool 4% 3/20/2042  | 585091 | 566572 |
| Ginnie Mae I Pool 4% 3/20/2047  | 304435 | 294257 |
| Ginnie Mae I Pool 4% 4/15/2039  | 413834 | 402815 |
| Ginnie Mae I Pool 4% 4/15/2039  | 114031 | 111192 |
| Ginnie Mae I Pool 4% 4/15/2041  | 2078546 | 2020540 |
| Ginnie Mae I Pool 4% 4/15/2042  | 42962 | 41652 |
| Ginnie Mae I Pool 4% 4/15/2043  | 211679 | 205600 |
| Ginnie Mae I Pool 4% 4/15/2043  | 12401 | 12037 |
| Ginnie Mae I Pool 4% 4/15/2045  | 303952 | 294117 |
| Ginnie Mae I Pool 4% 4/15/2045  | 177351 | 171040 |
| Ginnie Mae I Pool 4% 4/15/2045  | 96424 | 93068 |
| Ginnie Mae I Pool 4% 4/20/2047  | 3215743 | 3078090 |
| Ginnie Mae I Pool 4% 4/20/2047  | 2988630 | 2860698 |
| Ginnie Mae I Pool 4% 4/20/2048  | 1024357 | 980188 |
| Ginnie Mae I Pool 4% 4/20/2048  | 905788 | 866732 |
| Ginnie Mae I Pool 4% 5/15/2039  | 33119 | 32336 |
| Ginnie Mae I Pool 4% 5/15/2041  | 229798 | 222857 |
| Ginnie Mae I Pool 4% 5/15/2042  | 123045 | 119899 |
| Ginnie Mae I Pool 4% 5/15/2042  | 6328 | 6252 |
| Ginnie Mae I Pool 4% 5/15/2043  | 282304 | 273985 |
| Ginnie Mae I Pool 4% 5/15/2043  | 168992 | 163315 |
| Ginnie Mae I Pool 4% 5/15/2043  | 154417 | 149229 |
| Ginnie Mae I Pool 4% 5/15/2043  | 132897 | 129120 |
| Ginnie Mae I Pool 4% 5/15/2044  | 786289 | 759552 |
| Ginnie Mae I Pool 4% 5/15/2044  | 281355 | 272095 |
| Ginnie Mae I Pool 4% 6/15/2039  | 477345 | 466192 |
| Ginnie Mae I Pool 4% 6/15/2039  | 144453 | 140779 |
| Ginnie Mae I Pool 4% 6/15/2039  | 54459 | 53156 |
| Ginnie Mae I Pool 4% 6/15/2040  | 16667 | 16221 |
| Ginnie Mae I Pool 4% 6/15/2041  | 1174983 | 1141899 |
| Ginnie Mae I Pool 4% 6/15/2041  | 725394 | 704672 |
| Ginnie Mae I Pool 4% 6/15/2041  | 581655 | 564342 |
| Ginnie Mae I Pool 4% 6/15/2041  | 516279 | 500760 |
| Ginnie Mae I Pool 4% 6/15/2041  | 456729 | 443682 |
| Ginnie Mae I Pool 4% 6/15/2041  | 414052 | 401545 |
| Ginnie Mae I Pool 4% 6/15/2041  | 367927 | 357988 |
| Ginnie Mae I Pool 4% 6/15/2041  | 330601 | 321008 |
| Ginnie Mae I Pool 4% 6/15/2041  | 320823 | 311085 |
| Ginnie Mae I Pool 4% 6/15/2041  | 139337 | 135128 |
| Ginnie Mae I Pool 4% 6/15/2041  | 107415 | 104786 |
| Ginnie Mae I Pool 4% 6/15/2041  | 104791 | 101641 |
| Ginnie Mae I Pool 4% 6/15/2041  | 70343 | 68292 |
| Ginnie Mae I Pool 4% 6/15/2041  | 37285 | 36214 |
| Ginnie Mae I Pool 4% 6/15/2041  | 22629 | 22075 |
| Ginnie Mae I Pool 4% 6/15/2041  | 21492 | 20842 |
| Ginnie Mae I Pool 4% 6/15/2042  | 355181 | 345770 |
| Ginnie Mae I Pool 4% 6/15/2042  | 65257 | 63163 |
| Ginnie Mae I Pool 4% 6/15/2042  | 29788 | 28837 |
| Ginnie Mae I Pool 4% 6/15/2043  | 255721 | 247518 |
| Ginnie Mae I Pool 4% 6/15/2043  | 29923 | 29091 |
| Ginnie Mae I Pool 4% 6/15/2045  | 689954 | 668911 |
| Ginnie Mae I Pool 4% 7/15/2039  | 47221 | 45994 |
| Ginnie Mae I Pool 4% 7/15/2040  | 1209 | 1175 |
| Ginnie Mae I Pool 4% 7/15/2041  | 261605 | 253588 |
| Ginnie Mae I Pool 4% 7/15/2041  | 103291 | 100409 |
| Ginnie Mae I Pool 4% 7/15/2041  | 51023 | 49543 |
| Ginnie Mae I Pool 4% 7/15/2041  | 45361 | 44038 |
| Ginnie Mae I Pool 4% 7/15/2041  | 33972 | 33072 |
| Ginnie Mae I Pool 4% 7/15/2041  | 23242 | 22620 |
| Ginnie Mae I Pool 4% 7/15/2041  | 13438 | 13028 |
| Ginnie Mae I Pool 4% 7/15/2041  | 7388 | 7169 |
| Ginnie Mae I Pool 4% 7/15/2041  | 4665 | 4529 |
| Ginnie Mae I Pool 4% 7/15/2042  | 191331 | 185412 |
| Ginnie Mae I Pool 4% 7/15/2042  | 144113 | 139614 |
| Ginnie Mae I Pool 4% 7/15/2043  | 450463 | 435329 |
| Ginnie Mae I Pool 4% 8/15/2040  | 199838 | 194543 |
| Ginnie Mae I Pool 4% 8/15/2040  | 53574 | 52106 |
| Ginnie Mae I Pool 4% 8/15/2040  | 32409 | 31555 |
| Ginnie Mae I Pool 4% 8/15/2040  | 2873 | 2793 |
| Ginnie Mae I Pool 4% 8/15/2041  | 1847775 | 1793877 |
| Ginnie Mae I Pool 4% 8/15/2041  | 1219264 | 1181900 |
| Ginnie Mae I Pool 4% 8/15/2041  | 762596 | 740811 |
| Ginnie Mae I Pool 4% 8/15/2041  | 744149 | 721562 |
| Ginnie Mae I Pool 4% 8/15/2041  | 506933 | 491995 |
| Ginnie Mae I Pool 4% 8/15/2041  | 241420 | 234021 |
| Ginnie Mae I Pool 4% 8/15/2041  | 99595 | 96690 |
| Ginnie Mae I Pool 4% 8/15/2041  | 73613 | 71510 |
| Ginnie Mae I Pool 4% 8/15/2041  | 40426 | 39235 |
| Ginnie Mae I Pool 4% 8/15/2041  | 26697 | 25969 |
| Ginnie Mae I Pool 4% 8/15/2042  | 5678 | 5524 |
| Ginnie Mae I Pool 4% 8/15/2043  | 20624 | 19920 |
| Ginnie Mae I Pool 4% 8/15/2043  | 7250 | 7025 |
| Ginnie Mae I Pool 4% 9/15/2039  | 53980 | 52508 |
| Ginnie Mae I Pool 4% 9/15/2039  | 18634 | 18188 |
| Ginnie Mae I Pool 4% 9/15/2040  | 513312 | 499445 |
| Ginnie Mae I Pool 4% 9/15/2040  | 252238 | 245136 |
| Ginnie Mae I Pool 4% 9/15/2040  | 206574 | 200862 |
| Ginnie Mae I Pool 4% 9/15/2040  | 129811 | 126338 |
| Ginnie Mae I Pool 4% 9/15/2040  | 127452 | 124009 |
| Ginnie Mae I Pool 4% 9/15/2040  | 53833 | 52386 |
| Ginnie Mae I Pool 4% 9/15/2040  | 31323 | 30473 |
| Ginnie Mae I Pool 4% 9/15/2040  | 11828 | 11510 |
| Ginnie Mae I Pool 4% 9/15/2040  | 5938 | 5779 |
| Ginnie Mae I Pool 4% 9/15/2040  | 2963 | 2882 |
| Ginnie Mae I Pool 4% 9/15/2041  | 2435393 | 2365086 |
| Ginnie Mae I Pool 4% 9/15/2041  | 681188 | 661626 |
| Ginnie Mae I Pool 4% 9/15/2041  | 286580 | 278437 |
| Ginnie Mae I Pool 4% 9/15/2041  | 271512 | 264108 |
| Ginnie Mae I Pool 4% 9/15/2041  | 225392 | 218817 |
| Ginnie Mae I Pool 4% 9/15/2041  | 75623 | 73474 |
| Ginnie Mae I Pool 4% 9/15/2041  | 71623 | 69577 |
| Ginnie Mae I Pool 4% 9/15/2041  | 61952 | 60231 |
| Ginnie Mae I Pool 4% 9/15/2041  | 50833 | 49358 |
| Ginnie Mae I Pool 4% 9/15/2041  | 43752 | 42443 |
| Ginnie Mae I Pool 4% 9/15/2041  | 20321 | 19698 |
| Ginnie Mae I Pool 4% 9/15/2041  | 14386 | 13941 |
| Ginnie Mae I Pool 4% 9/15/2041  | 7510 | 7320 |
| Ginnie Mae I Pool 4.25% 1/20/2046  | 276880 | 268825 |
| Ginnie Mae I Pool 4.5% 1/15/2039  | 247676 | 247305 |
| Ginnie Mae I Pool 4.5% 1/15/2040  | 2633731 | 2631377 |
| Ginnie Mae I Pool 4.5% 1/15/2040  | 284522 | 284295 |
| Ginnie Mae I Pool 4.5% 1/15/2040  | 183868 | 183650 |
| Ginnie Mae I Pool 4.5% 1/15/2040  | 68038 | 67951 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 190202 | 190057 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 126873 | 126655 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 834024 | 832591 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 339506 | 339086 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 299304 | 299065 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 163632 | 163485 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 151341 | 151230 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 53492 | 53461 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 4401 | 4395 |
| Ginnie Mae I Pool 4.5% 11/20/2052  | 31686532 | 31152240 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 1291562 | 1290531 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 779618 | 778896 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 588566 | 588021 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 304693 | 304361 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 243302 | 243115 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 171038 | 170912 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 155892 | 155922 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 124456 | 124404 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 100431 | 100419 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 92403 | 92344 |
| Ginnie Mae I Pool 4.5% 12/15/2040  | 94487 | 94341 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 637343 | 635991 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 542028 | 541508 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 419447 | 419153 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 223056 | 222935 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 197663 | 197506 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 188540 | 188305 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 109897 | 109802 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 109391 | 109293 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 73238 | 73170 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 37270 | 37240 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 5228 | 5227 |
| Ginnie Mae I Pool 4.5% 2/15/2041  | 177675 | 177504 |
| Ginnie Mae I Pool 4.5% 2/15/2041  | 73349 | 73199 |
| Ginnie Mae I Pool 4.5% 3/15/2039  | 30471 | 30455 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 996510 | 994531 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 144035 | 143938 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 129317 | 129164 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 88592 | 88403 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 3468647 | 3462768 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 178062 | 177834 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 12144 | 12115 |
| Ginnie Mae I Pool 4.5% 4/15/2039  | 714412 | 713217 |
| Ginnie Mae I Pool 4.5% 4/15/2039  | 597750 | 596750 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 359745 | 359063 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 275116 | 274668 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 159023 | 158792 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 64132 | 63990 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 62669 | 62530 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 44395 | 44365 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 29351 | 29323 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 229135 | 228811 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 160324 | 159992 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 93577 | 93535 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 92711 | 92649 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 60877 | 60803 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 1297 | 1295 |
| Ginnie Mae I Pool 4.5% 4/20/2040  | 63007 | 62745 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 2166780 | 2127536 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 790757 | 790251 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 202423 | 202312 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 97106 | 97050 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 95129 | 94999 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 672713 | 672068 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 161186 | 161001 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 81987 | 81890 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 45007 | 44965 |
| Ginnie Mae I Pool 4.5% 5/15/2041  | 125287 | 125155 |
| Ginnie Mae I Pool 4.5% 5/15/2041  | 90971 | 90786 |
| Ginnie Mae I Pool 4.5% 5/15/2041  | 2224 | 2219 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 4627277 | 4620754 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 265336 | 265166 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 103715 | 103626 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 48857 | 48807 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 33092 | 33069 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 20674 | 20678 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 17250 | 17248 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 8634 | 8628 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 1676493 | 1674994 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 1579665 | 1576669 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 701706 | 700943 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 364729 | 364391 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 359749 | 359381 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 102779 | 102681 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 82563 | 82478 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 40576 | 40538 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5530 | 5531 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 74658 | 74553 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 17103 | 17098 |
| Ginnie Mae I Pool 4.5% 7/15/2033  | 2341 | 2343 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 472553 | 472310 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 80827 | 80692 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 69600 | 69555 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 17843 | 17829 |
| Ginnie Mae I Pool 4.5% 7/20/2040  | 122254 | 121713 |
| Ginnie Mae I Pool 4.5% 7/20/2041  | 54015 | 53968 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 1710775 | 1709680 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 1486075 | 1484889 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 554686 | 554243 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 331133 | 330942 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 248706 | 248515 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 12114 | 12108 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 436918 | 436429 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 92300 | 92053 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 868425 | 867787 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 776264 | 775068 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 247463 | 247257 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 85588 | 85506 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 7939 | 7930 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 277290 | 276934 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 169360 | 169115 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 139233 | 139095 |
| Ginnie Mae I Pool 4.5% 9/15/2041  | 61219 | 61143 |
| Ginnie Mae I Pool 4.5% 9/20/2040  | 1774484 | 1773541 |
| Ginnie Mae I Pool 4.75% 7/15/2040  | 295150 | 296572 |
| Ginnie Mae I Pool 4.875% 12/15/2039  | 318005 | 320978 |
| Ginnie Mae I Pool 4.875% 9/15/2039  | 879587 | 887820 |
| Ginnie Mae I Pool 4.875% 9/15/2039  | 623829 | 629609 |
| Ginnie Mae I Pool 4.875% 9/15/2039  | 605939 | 611606 |
| Ginnie Mae I Pool 5% 1/15/2034  | 2669 | 2707 |
| Ginnie Mae I Pool 5% 1/15/2035  | 5429 | 5515 |
| Ginnie Mae I Pool 5% 1/15/2035  | 103 | 104 |
| Ginnie Mae I Pool 5% 1/15/2036  | 3073 | 3123 |
| Ginnie Mae I Pool 5% 1/15/2039  | 149336 | 151699 |
| Ginnie Mae I Pool 5% 1/15/2040  | 4254549 | 4331561 |
| Ginnie Mae I Pool 5% 1/20/2035  | 1679515 | 1704076 |
| Ginnie Mae I Pool 5% 10/15/2033  | 15840 | 16059 |
| Ginnie Mae I Pool 5% 10/15/2033  | 5733 | 5814 |
| Ginnie Mae I Pool 5% 10/15/2033  | 3805 | 3857 |
| Ginnie Mae I Pool 5% 10/15/2033  | 282 | 287 |
| Ginnie Mae I Pool 5% 10/15/2034  | 16760 | 16996 |
| Ginnie Mae I Pool 5% 10/15/2035  | 816 | 830 |
| Ginnie Mae I Pool 5% 10/15/2036  | 1059 | 1077 |
| Ginnie Mae I Pool 5% 10/15/2039  | 23009 | 23418 |
| Ginnie Mae I Pool 5% 10/15/2039  | 1337 | 1360 |
| Ginnie Mae I Pool 5% 10/15/2040  | 12623 | 12848 |
| Ginnie Mae I Pool 5% 10/20/2038  | 21969 | 22340 |
| Ginnie Mae I Pool 5% 11/15/2033  | 32186 | 32656 |
| Ginnie Mae I Pool 5% 11/15/2033  | 27287 | 27585 |
| Ginnie Mae I Pool 5% 11/15/2033  | 16753 | 16984 |
| Ginnie Mae I Pool 5% 11/15/2033  | 10265 | 10406 |
| Ginnie Mae I Pool 5% 11/15/2034  | 455 | 462 |
| Ginnie Mae I Pool 5% 11/15/2035  | 33394 | 33890 |
| Ginnie Mae I Pool 5% 11/15/2035  | 24013 | 24406 |
| Ginnie Mae I Pool 5% 11/15/2035  | 4882 | 4955 |
| Ginnie Mae I Pool 5% 11/15/2039  | 2423443 | 2466400 |
| Ginnie Mae I Pool 5% 11/15/2039  | 18862 | 19198 |
| Ginnie Mae I Pool 5% 11/15/2039  | 12092 | 12308 |
| Ginnie Mae I Pool 5% 11/15/2039  | 11570 | 11775 |
| Ginnie Mae I Pool 5% 12/15/2033  | 10603 | 10747 |
| Ginnie Mae I Pool 5% 12/15/2033  | 5106 | 5173 |
| Ginnie Mae I Pool 5% 12/15/2034  | 6420 | 6522 |
| Ginnie Mae I Pool 5% 12/15/2034  | 515 | 523 |
| Ginnie Mae I Pool 5% 12/20/2034  | 770247 | 780254 |
| Ginnie Mae I Pool 5% 2/15/2034  | 23887 | 24244 |
| Ginnie Mae I Pool 5% 2/15/2035  | 386 | 392 |
| Ginnie Mae I Pool 5% 2/15/2039  | 12862 | 13090 |
| Ginnie Mae I Pool 5% 2/15/2040  | 6089 | 6178 |
| Ginnie Mae I Pool 5% 2/15/2040  | 2871 | 2922 |
| Ginnie Mae I Pool 5% 2/20/2035  | 1639 | 1661 |
| Ginnie Mae I Pool 5% 3/15/2035  | 48604 | 49388 |
| Ginnie Mae I Pool 5% 3/15/2036  | 212236 | 215655 |
| Ginnie Mae I Pool 5% 3/15/2036  | 66508 | 67246 |
| Ginnie Mae I Pool 5% 3/15/2036  | 19998 | 20326 |
| Ginnie Mae I Pool 5% 3/15/2036  | 482 | 490 |
| Ginnie Mae I Pool 5% 3/15/2038  | 6165 | 6272 |
| Ginnie Mae I Pool 5% 3/15/2039  | 2334 | 2374 |
| Ginnie Mae I Pool 5% 3/15/2040  | 12188 | 12406 |
| Ginnie Mae I Pool 5% 4/15/2033  | 10682 | 10824 |
| Ginnie Mae I Pool 5% 4/15/2033  | 8014 | 8119 |
| Ginnie Mae I Pool 5% 4/15/2034  | 2752 | 2786 |
| Ginnie Mae I Pool 5% 4/15/2034  | 1181 | 1198 |
| Ginnie Mae I Pool 5% 4/15/2035  | 63508 | 64479 |
| Ginnie Mae I Pool 5% 4/15/2035  | 3323 | 3373 |
| Ginnie Mae I Pool 5% 4/15/2035  | 2271 | 2307 |
| Ginnie Mae I Pool 5% 4/15/2036  | 7392 | 7514 |
| Ginnie Mae I Pool 5% 4/15/2041  | 207523 | 211384 |
| Ginnie Mae I Pool 5% 4/20/2048  | 2041659 | 2087136 |
| Ginnie Mae I Pool 5% 5/15/2033  | 104924 | 106273 |
| Ginnie Mae I Pool 5% 5/15/2033  | 56025 | 56768 |
| Ginnie Mae I Pool 5% 5/15/2033  | 14604 | 14798 |
| Ginnie Mae I Pool 5% 5/15/2033  | 600 | 608 |
| Ginnie Mae I Pool 5% 5/15/2034  | 497066 | 504261 |
| Ginnie Mae I Pool 5% 5/15/2034  | 6215 | 6307 |
| Ginnie Mae I Pool 5% 5/15/2034  | 3332 | 3383 |
| Ginnie Mae I Pool 5% 5/15/2034  | 670 | 680 |
| Ginnie Mae I Pool 5% 5/15/2034  | 561 | 569 |
| Ginnie Mae I Pool 5% 5/15/2035  | 753 | 765 |
| Ginnie Mae I Pool 5% 5/15/2036  | 3113 | 3141 |
| Ginnie Mae I Pool 5% 5/15/2040  | 38545 | 39231 |
| Ginnie Mae I Pool 5% 5/15/2040  | 20558 | 20939 |
| Ginnie Mae I Pool 5% 6/15/2033  | 7394 | 7493 |
| Ginnie Mae I Pool 5% 6/15/2033  | 6900 | 6994 |
| Ginnie Mae I Pool 5% 6/15/2033  | 3142 | 3188 |
| Ginnie Mae I Pool 5% 6/15/2033  | 2870 | 2900 |
| Ginnie Mae I Pool 5% 6/15/2034  | 8110 | 8234 |
| Ginnie Mae I Pool 5% 6/15/2034  | 1933 | 1963 |
| Ginnie Mae I Pool 5% 6/15/2034  | 710 | 722 |
| Ginnie Mae I Pool 5% 6/15/2034  | 374 | 380 |
| Ginnie Mae I Pool 5% 6/15/2035  | 1785 | 1813 |
| Ginnie Mae I Pool 5% 6/15/2035  | 1001 | 1017 |
| Ginnie Mae I Pool 5% 6/15/2036  | 42153 | 42852 |
| Ginnie Mae I Pool 5% 6/15/2036  | 2596 | 2639 |
| Ginnie Mae I Pool 5% 6/15/2040  | 3435723 | 3497120 |
| Ginnie Mae I Pool 5% 6/15/2040  | 2663 | 2711 |
| Ginnie Mae I Pool 5% 6/15/2040  | 2156 | 2195 |
| Ginnie Mae I Pool 5% 7/15/2033  | 3156 | 3188 |
| Ginnie Mae I Pool 5% 7/15/2033  | 822 | 833 |
| Ginnie Mae I Pool 5% 7/15/2033  | 346 | 351 |
| Ginnie Mae I Pool 5% 7/15/2033  | 304 | 308 |
| Ginnie Mae I Pool 5% 7/15/2034  | 15329 | 15553 |
| Ginnie Mae I Pool 5% 7/15/2034  | 1210 | 1229 |
| Ginnie Mae I Pool 5% 7/15/2035  | 214310 | 217685 |
| Ginnie Mae I Pool 5% 7/15/2035  | 8796 | 8930 |
| Ginnie Mae I Pool 5% 7/15/2040  | 1184290 | 1205795 |
| Ginnie Mae I Pool 5% 7/15/2040  | 42845 | 43608 |
| Ginnie Mae I Pool 5% 7/15/2040  | 23491 | 23920 |
| Ginnie Mae I Pool 5% 8/15/2033  | 124354 | 125953 |
| Ginnie Mae I Pool 5% 8/15/2033  | 75891 | 76930 |
| Ginnie Mae I Pool 5% 8/15/2033  | 47415 | 48124 |
| Ginnie Mae I Pool 5% 8/15/2033  | 32050 | 32479 |
| Ginnie Mae I Pool 5% 8/15/2033  | 14601 | 14793 |
| Ginnie Mae I Pool 5% 8/15/2033  | 13611 | 13811 |
| Ginnie Mae I Pool 5% 8/15/2033  | 2315 | 2343 |
| Ginnie Mae I Pool 5% 8/15/2033  | 1021 | 1035 |
| Ginnie Mae I Pool 5% 8/15/2033  | 627 | 635 |
| Ginnie Mae I Pool 5% 8/15/2035  | 4171 | 4240 |
| Ginnie Mae I Pool 5% 8/15/2035  | 1733 | 1761 |
| Ginnie Mae I Pool 5% 8/20/2040  | 581487 | 590902 |
| Ginnie Mae I Pool 5% 9/15/2033  | 126502 | 128317 |
| Ginnie Mae I Pool 5% 9/15/2033  | 89412 | 90730 |
| Ginnie Mae I Pool 5% 9/15/2033  | 4993 | 5063 |
| Ginnie Mae I Pool 5% 9/15/2035  | 10369 | 10542 |
| Ginnie Mae I Pool 5% 9/15/2036  | 196339 | 199555 |
| Ginnie Mae I Pool 5% 9/15/2036  | 41907 | 42533 |
| Ginnie Mae I Pool 5% 9/15/2039  | 1089615 | 1108757 |
| Ginnie Mae I Pool 5% 9/15/2039  | 8782 | 8937 |
| Ginnie Mae I Pool 5% 9/15/2040  | 11496 | 11705 |
| Ginnie Mae I Pool 5.09% 11/15/2036  | 107197 | 108828 |
| Ginnie Mae I Pool 5.09% 11/15/2036  | 35547 | 36123 |
| Ginnie Mae I Pool 5.09% 4/15/2036  | 50627 | 51432 |
| Ginnie Mae I Pool 5.09% 5/15/2036  | 185050 | 187998 |
| Ginnie Mae I Pool 5.09% 5/15/2036  | 93716 | 95206 |
| Ginnie Mae I Pool 5.09% 5/15/2036  | 53942 | 54783 |
| Ginnie Mae I Pool 5.09% 6/15/2036  | 241502 | 245251 |
| Ginnie Mae I Pool 5.09% 6/15/2036  | 188659 | 191627 |
| Ginnie Mae I Pool 5.09% 7/15/2036  | 179559 | 182476 |
| Ginnie Mae I Pool 5.09% 7/15/2036  | 99291 | 100900 |
| Ginnie Mae I Pool 5.09% 7/15/2036  | 76552 | 77796 |
| Ginnie Mae I Pool 5.09% 7/15/2036  | 42823 | 43506 |
| Ginnie Mae I Pool 5.09% 8/15/2036  | 181611 | 184508 |
| Ginnie Mae I Pool 5.09% 8/15/2036  | 95098 | 96610 |
| Ginnie Mae I Pool 5.09% 8/15/2036  | 93870 | 95372 |
| Ginnie Mae I Pool 5.09% 9/15/2036  | 141303 | 143586 |
| Ginnie Mae I Pool 5.15% 2/15/2036  | 82059 | 83563 |
| Ginnie Mae I Pool 5.2% 7/15/2036  | 38672 | 39386 |
| Ginnie Mae I Pool 5.25% 4/15/2036  | 38015 | 38810 |
| Ginnie Mae I Pool 5.25% 5/15/2036  | 74840 | 76253 |
| Ginnie Mae I Pool 5.35% 1/20/2030  | 136493 | 137857 |
| Ginnie Mae I Pool 5.35% 1/20/2030  | 84757 | 85604 |
| Ginnie Mae I Pool 5.35% 10/20/2029  | 84246 | 85113 |
| Ginnie Mae I Pool 5.35% 10/20/2030  | 11650 | 11787 |
| Ginnie Mae I Pool 5.35% 11/20/2029  | 208343 | 210300 |
| Ginnie Mae I Pool 5.35% 11/20/2030  | 38744 | 39245 |
| Ginnie Mae I Pool 5.35% 11/20/2030  | 26992 | 27398 |
| Ginnie Mae I Pool 5.35% 12/20/2029  | 318010 | 321093 |
| Ginnie Mae I Pool 5.35% 12/20/2030  | 36023 | 36437 |
| Ginnie Mae I Pool 5.35% 12/20/2030  | 32515 | 32954 |
| Ginnie Mae I Pool 5.35% 12/20/2030  | 31861 | 32318 |
| Ginnie Mae I Pool 5.35% 3/20/2030  | 25070 | 25320 |
| Ginnie Mae I Pool 5.35% 4/20/2029  | 71476 | 72105 |
| Ginnie Mae I Pool 5.35% 4/20/2030  | 64208 | 64657 |
| Ginnie Mae I Pool 5.35% 5/20/2029  | 36634 | 36945 |
| Ginnie Mae I Pool 5.35% 5/20/2030  | 37990 | 38256 |
| Ginnie Mae I Pool 5.35% 6/20/2029  | 145188 | 146509 |
| Ginnie Mae I Pool 5.35% 6/20/2030  | 48712 | 49271 |
| Ginnie Mae I Pool 5.35% 7/20/2029  | 74990 | 75582 |
| Ginnie Mae I Pool 5.35% 7/20/2030  | 90639 | 91652 |
| Ginnie Mae I Pool 5.35% 7/20/2030  | 34404 | 34778 |
| Ginnie Mae I Pool 5.35% 8/20/2029  | 29546 | 29770 |
| Ginnie Mae I Pool 5.35% 9/20/2029  | 61723 | 62285 |
| Ginnie Mae I Pool 5.35% 9/20/2030  | 67675 | 68610 |
| Ginnie Mae I Pool 5.39% 5/15/2036  | 39085 | 40106 |
| Ginnie Mae I Pool 5.45% 2/15/2037  | 246789 | 253679 |
| Ginnie Mae I Pool 5.45% 2/15/2037  | 109206 | 112252 |
| Ginnie Mae I Pool 5.5% 1/15/2035  | 8013 | 8224 |
| Ginnie Mae I Pool 5.5% 10/15/2032  | 86209 | 87956 |
| Ginnie Mae I Pool 5.5% 10/15/2034  | 63664 | 65332 |
| Ginnie Mae I Pool 5.5% 10/15/2038  | 382069 | 393823 |
| Ginnie Mae I Pool 5.5% 11/15/2033  | 65173 | 66788 |
| Ginnie Mae I Pool 5.5% 11/15/2034  | 1835 | 1835 |
| Ginnie Mae I Pool 5.5% 12/15/2033  | 32031 | 32815 |
| Ginnie Mae I Pool 5.5% 12/15/2034  | 565 | 580 |
| Ginnie Mae I Pool 5.5% 2/15/2034  | 3625 | 3716 |
| Ginnie Mae I Pool 5.5% 2/15/2034  | 231 | 236 |
| Ginnie Mae I Pool 5.5% 2/15/2038  | 2300 | 2370 |
| Ginnie Mae I Pool 5.5% 2/15/2039  | 93869 | 96800 |
| Ginnie Mae I Pool 5.5% 3/15/2034  | 127165 | 130372 |
| Ginnie Mae I Pool 5.5% 3/15/2035  | 33241 | 34133 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 23237 | 23934 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 7234633 | 7393002 |
| Ginnie Mae I Pool 5.5% 4/15/2033  | 22018 | 22534 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 92406 | 94723 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 33519 | 34335 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 20402 | 20910 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 7953 | 8155 |
| Ginnie Mae I Pool 5.5% 4/15/2035  | 3124 | 3207 |
| Ginnie Mae I Pool 5.5% 4/15/2038  | 6376 | 6567 |
| Ginnie Mae I Pool 5.5% 5/15/2033  | 246503 | 252234 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 142863 | 146383 |
| Ginnie Mae I Pool 5.5% 6/15/2034  | 16116 | 16518 |
| Ginnie Mae I Pool 5.5% 7/15/2033  | 3355 | 3435 |
| Ginnie Mae I Pool 5.5% 7/15/2035  | 23828 | 24439 |
| Ginnie Mae I Pool 5.5% 7/20/2040  | 594874 | 615706 |
| Ginnie Mae I Pool 5.5% 9/15/2033  | 38278 | 39191 |
| Ginnie Mae I Pool 5.5% 9/15/2038  | 46200 | 47629 |
| Ginnie Mae I Pool 5.6% 11/15/2036  | 115125 | 118372 |
| Ginnie Mae I Pool 5.75% 1/20/2040  | 244511 | 254118 |
| Ginnie Mae I Pool 5.75% 1/20/2040  | 180033 | 187090 |
| Ginnie Mae I Pool 5.75% 11/20/2039  | 228179 | 237103 |
| Ginnie Mae I Pool 5.75% 11/20/2039  | 118751 | 122950 |
| Ginnie Mae I Pool 5.75% 12/20/2039  | 207654 | 215616 |
| Ginnie Mae I Pool 5.75% 12/20/2039  | 118016 | 122621 |
| Ginnie Mae I Pool 5.75% 12/20/2039  | 88996 | 92524 |
| Ginnie Mae I Pool 5.75% 12/20/2039  | 79859 | 82937 |
| Ginnie Mae I Pool 5.75% 2/20/2040  | 227231 | 236097 |
| Ginnie Mae I Pool 5.75% 2/20/2040  | 185824 | 193057 |
| Ginnie Mae I Pool 5.75% 3/20/2040  | 138545 | 143976 |
| Ginnie Mae I Pool 5.75% 3/20/2040  | 130928 | 136152 |
| Ginnie Mae I Pool 5.75% 4/20/2040  | 126848 | 131898 |
| Ginnie Mae I Pool 5.75% 4/20/2040  | 108824 | 113175 |
| Ginnie Mae I Pool 5.75% 4/20/2040  | 76738 | 79673 |
| Ginnie Mae I Pool 5.75% 4/20/2040  | 63426 | 65451 |
| Ginnie Mae I Pool 5.75% 5/20/2040  | 71650 | 74497 |
| Ginnie Mae I Pool 5.75% 6/20/2040  | 185785 | 193084 |
| Ginnie Mae I Pool 5.75% 6/20/2040  | 99788 | 103681 |
| Ginnie Mae I Pool 5.75% 6/20/2040  | 63036 | 65561 |
| Ginnie Mae I Pool 5.75% 7/20/2040  | 176649 | 183726 |
| Ginnie Mae I Pool 5.75% 7/20/2040  | 125897 | 130736 |
| Ginnie Mae I Pool 5.75% 8/20/2040  | 561275 | 583428 |
| Ginnie Mae I Pool 5.75% 8/20/2040  | 386071 | 401475 |
| Ginnie Mae I Pool 5.75% 8/20/2040  | 342825 | 356169 |
| Ginnie Mae I Pool 5.75% 9/20/2039  | 92930 | 96530 |
| Ginnie Mae I Pool 5.75% 9/20/2040  | 212968 | 221316 |
| Ginnie Mae I Pool 5.75% 9/20/2040  | 143805 | 149506 |
| Ginnie Mae I Pool 5.75% 9/20/2040  | 86113 | 89398 |
| Ginnie Mae I Pool 6% 1/15/2029  | 6576 | 6714 |
| Ginnie Mae I Pool 6% 1/15/2029  | 3597 | 3672 |
| Ginnie Mae I Pool 6% 1/15/2032  | 1566 | 1627 |
| Ginnie Mae I Pool 6% 1/15/2033  | 43415 | 45089 |
| Ginnie Mae I Pool 6% 1/15/2033  | 23489 | 24386 |
| Ginnie Mae I Pool 6% 1/15/2033  | 118 | 122 |
| Ginnie Mae I Pool 6% 1/15/2034  | 19935 | 20751 |
| Ginnie Mae I Pool 6% 1/15/2034  | 19664 | 20482 |
| Ginnie Mae I Pool 6% 10/15/2032  | 35628 | 36965 |
| Ginnie Mae I Pool 6% 10/15/2033  | 560855 | 583318 |
| Ginnie Mae I Pool 6% 11/15/2033  | 104593 | 108625 |
| Ginnie Mae I Pool 6% 11/15/2033  | 4058 | 4226 |
| Ginnie Mae I Pool 6% 11/15/2036  | 122875 | 128382 |
| Ginnie Mae I Pool 6% 12/15/2031  | 33902 | 35107 |
| Ginnie Mae I Pool 6% 12/15/2031  | 8072 | 8373 |
| Ginnie Mae I Pool 6% 12/15/2032  | 39830 | 41352 |
| Ginnie Mae I Pool 6% 12/15/2033  | 75822 | 78947 |
| Ginnie Mae I Pool 6% 12/15/2033  | 15976 | 16622 |
| Ginnie Mae I Pool 6% 12/15/2033  | 1559 | 1620 |
| Ginnie Mae I Pool 6% 12/15/2033  | 1505 | 1566 |
| Ginnie Mae I Pool 6% 12/15/2033  | 543 | 563 |
| Ginnie Mae I Pool 6% 12/15/2036  | 50604 | 52670 |
| Ginnie Mae I Pool 6% 2/15/2031  | 17830 | 18393 |
| Ginnie Mae I Pool 6% 2/15/2032  | 13204 | 13717 |
| Ginnie Mae I Pool 6% 2/15/2032  | 4350 | 4516 |
| Ginnie Mae I Pool 6% 2/15/2033  | 32598 | 33865 |
| Ginnie Mae I Pool 6% 2/15/2037  | 23106 | 24126 |
| Ginnie Mae I Pool 6% 3/15/2032  | 1128 | 1172 |
| Ginnie Mae I Pool 6% 3/15/2032  | 357 | 371 |
| Ginnie Mae I Pool 6% 3/15/2039  | 65348 | 68529 |
| Ginnie Mae I Pool 6% 4/15/2029  | 49049 | 50106 |
| Ginnie Mae I Pool 6% 4/15/2029  | 3805 | 3892 |
| Ginnie Mae I Pool 6% 4/15/2031  | 1348 | 1394 |
| Ginnie Mae I Pool 6% 4/15/2033  | 1139 | 1184 |
| Ginnie Mae I Pool 6% 4/15/2034  | 60790 | 63173 |
| Ginnie Mae I Pool 6% 4/15/2034  | 49959 | 52098 |
| Ginnie Mae I Pool 6% 4/15/2034  | 20653 | 21476 |
| Ginnie Mae I Pool 6% 5/15/2029  | 39 | 39 |
| Ginnie Mae I Pool 6% 6/15/2032  | 1033 | 1074 |
| Ginnie Mae I Pool 6% 6/15/2034  | 39125 | 40819 |
| Ginnie Mae I Pool 6% 7/15/2029  | 299 | 305 |
| Ginnie Mae I Pool 6% 7/15/2031  | 68612 | 70962 |
| Ginnie Mae I Pool 6% 7/15/2033  | 382 | 395 |
| Ginnie Mae I Pool 6% 7/15/2036  | 54313 | 56582 |
| Ginnie Mae I Pool 6% 7/15/2036  | 17233 | 18009 |
| Ginnie Mae I Pool 6% 8/15/2032  | 45718 | 47585 |
| Ginnie Mae I Pool 6% 8/15/2033  | 166 | 169 |
| Ginnie Mae I Pool 6% 9/15/2032  | 77673 | 80905 |
| Ginnie Mae I Pool 6% 9/15/2033  | 39358 | 40981 |
| Ginnie Mae I Pool 6.45% 1/15/2032  | 18531 | 19323 |
| Ginnie Mae I Pool 6.45% 6/15/2032  | 32554 | 34131 |
| Ginnie Mae I Pool 6.5% 1/15/2028  | 2187 | 2255 |
| Ginnie Mae I Pool 6.5% 1/15/2039  | 182612 | 193240 |
| Ginnie Mae I Pool 6.5% 1/15/2039  | 11820 | 12543 |
| Ginnie Mae I Pool 6.5% 10/15/2028  | 33164 | 34194 |
| Ginnie Mae I Pool 6.5% 10/15/2028  | 10016 | 10327 |
| Ginnie Mae I Pool 6.5% 10/15/2028  | 4272 | 4405 |
| Ginnie Mae I Pool 6.5% 10/15/2028  | 1962 | 2023 |
| Ginnie Mae I Pool 6.5% 10/15/2037  | 355572 | 375235 |
| Ginnie Mae I Pool 6.5% 11/15/2028  | 20227 | 20856 |
| Ginnie Mae I Pool 6.5% 11/15/2028  | 9082 | 9364 |
| Ginnie Mae I Pool 6.5% 11/15/2028  | 8542 | 8807 |
| Ginnie Mae I Pool 6.5% 11/15/2028  | 2429 | 2505 |
| Ginnie Mae I Pool 6.5% 11/15/2029  | 8767 | 9039 |
| Ginnie Mae I Pool 6.5% 12/15/2027  | 9955 | 10264 |
| Ginnie Mae I Pool 6.5% 12/15/2027  | 6025 | 6212 |
| Ginnie Mae I Pool 6.5% 12/15/2028  | 1794 | 1849 |
| Ginnie Mae I Pool 6.5% 12/15/2028  | 132 | 136 |
| Ginnie Mae I Pool 6.5% 12/15/2028  | 74 | 76 |
| Ginnie Mae I Pool 6.5% 12/15/2034  | 297 | 315 |
| Ginnie Mae I Pool 6.5% 12/15/2036  | 81106 | 85559 |
| Ginnie Mae I Pool 6.5% 12/15/2038  | 255039 | 271035 |
| Ginnie Mae I Pool 6.5% 12/15/2038  | 148594 | 157217 |
| Ginnie Mae I Pool 6.5% 12/15/2038  | 67370 | 71268 |
| Ginnie Mae I Pool 6.5% 12/15/2038  | 5181 | 5481 |
| Ginnie Mae I Pool 6.5% 2/15/2028  | 985 | 1016 |
| Ginnie Mae I Pool 6.5% 3/15/2026  | 208 | 209 |
| Ginnie Mae I Pool 6.5% 3/15/2028  | 2451 | 2527 |
| Ginnie Mae I Pool 6.5% 4/15/2026  | 413 | 413 |
| Ginnie Mae I Pool 6.5% 4/15/2026  | 331 | 331 |
| Ginnie Mae I Pool 6.5% 4/15/2026  | 212 | 213 |
| Ginnie Mae I Pool 6.5% 4/15/2026  | 101 | 101 |
| Ginnie Mae I Pool 6.5% 4/15/2026  | 101 | 101 |
| Ginnie Mae I Pool 6.5% 4/15/2026  | 86 | 86 |
| Ginnie Mae I Pool 6.5% 4/15/2028  | 92 | 94 |
| Ginnie Mae I Pool 6.5% 4/15/2029  | 1084 | 1118 |
| Ginnie Mae I Pool 6.5% 5/15/2028  | 1951 | 2011 |
| Ginnie Mae I Pool 6.5% 5/15/2029  | 3117 | 3214 |
| Ginnie Mae I Pool 6.5% 5/15/2029  | 26 | 26 |
| Ginnie Mae I Pool 6.5% 6/15/2028  | 1754 | 1809 |
| Ginnie Mae I Pool 6.5% 6/15/2029  | 1984 | 2045 |
| Ginnie Mae I Pool 6.5% 6/15/2029  | 1581 | 1630 |
| Ginnie Mae I Pool 6.5% 6/15/2037  | 79427 | 84328 |
| Ginnie Mae I Pool 6.5% 6/15/2037  | 5207 | 5518 |
| Ginnie Mae I Pool 6.5% 8/15/2026  | 1042 | 1046 |
| Ginnie Mae I Pool 6.5% 8/15/2027  | 450 | 464 |
| Ginnie Mae I Pool 6.5% 8/15/2028  | 2658 | 2740 |
| Ginnie Mae I Pool 6.5% 8/15/2028  | 277 | 278 |
| Ginnie Mae I Pool 6.5% 8/15/2035  | 3511 | 3628 |
| Ginnie Mae I Pool 6.5% 8/15/2038  | 117416 | 124289 |
| Ginnie Mae I Pool 6.5% 8/20/2032  | 2890 | 3004 |
| Ginnie Mae I Pool 6.5% 8/20/2034  | 44060 | 46062 |
| Ginnie Mae I Pool 6.5% 9/15/2027  | 674 | 695 |
| Ginnie Mae I Pool 6.5% 9/15/2028  | 1629 | 1679 |
| Ginnie Mae I Pool 6.5% 9/15/2028  | 1542 | 1590 |
| Ginnie Mae I Pool 6.5% 9/15/2028  | 390 | 402 |
| Ginnie Mae I Pool 6.5% 9/15/2028  | 292 | 301 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 213 | 225 |
| Ginnie Mae I Pool 6.5% 9/15/2038  | 3884 | 4104 |
| Ginnie Mae I Pool 7% 1/15/2026  | 153 | 153 |
| Ginnie Mae I Pool 7% 1/15/2026  | 5 | 4 |
| Ginnie Mae I Pool 7% 1/15/2026  | 5 | 4 |
| Ginnie Mae I Pool 7% 1/15/2026  | 3 | 2 |
| Ginnie Mae I Pool 7% 1/15/2027  | 4531 | 4547 |
| Ginnie Mae I Pool 7% 1/15/2028  | 8366 | 8482 |
| Ginnie Mae I Pool 7% 1/15/2028  | 2803 | 2842 |
| Ginnie Mae I Pool 7% 1/15/2028  | 2729 | 2767 |
| Ginnie Mae I Pool 7% 1/15/2028  | 1889 | 1913 |
| Ginnie Mae I Pool 7% 1/15/2028  | 1289 | 1300 |
| Ginnie Mae I Pool 7% 1/15/2028  | 685 | 693 |
| Ginnie Mae I Pool 7% 1/15/2028  | 667 | 676 |
| Ginnie Mae I Pool 7% 1/15/2028  | 612 | 620 |
| Ginnie Mae I Pool 7% 1/15/2028  | 609 | 616 |
| Ginnie Mae I Pool 7% 1/15/2028  | 546 | 551 |
| Ginnie Mae I Pool 7% 1/15/2028  | 543 | 550 |
| Ginnie Mae I Pool 7% 1/15/2028  | 528 | 531 |
| Ginnie Mae I Pool 7% 1/15/2028  | 263 | 267 |
| Ginnie Mae I Pool 7% 1/15/2028  | 180 | 182 |
| Ginnie Mae I Pool 7% 1/15/2028  | 167 | 169 |
| Ginnie Mae I Pool 7% 1/15/2028  | 104 | 106 |
| Ginnie Mae I Pool 7% 1/15/2028  | 47 | 47 |
| Ginnie Mae I Pool 7% 1/15/2029  | 6637 | 6770 |
| Ginnie Mae I Pool 7% 1/15/2029  | 1722 | 1740 |
| Ginnie Mae I Pool 7% 1/15/2029  | 992 | 1013 |
| Ginnie Mae I Pool 7% 1/15/2030  | 1671 | 1716 |
| Ginnie Mae I Pool 7% 1/15/2030  | 845 | 867 |
| Ginnie Mae I Pool 7% 1/15/2032  | 9608 | 9951 |
| Ginnie Mae I Pool 7% 1/15/2032  | 712 | 737 |
| Ginnie Mae I Pool 7% 10/15/2027  | 17484 | 17642 |
| Ginnie Mae I Pool 7% 10/15/2027  | 1054 | 1063 |
| Ginnie Mae I Pool 7% 10/15/2027  | 592 | 598 |
| Ginnie Mae I Pool 7% 10/15/2027  | 477 | 483 |
| Ginnie Mae I Pool 7% 10/15/2027  | 285 | 286 |
| Ginnie Mae I Pool 7% 10/15/2028  | 8869 | 9028 |
| Ginnie Mae I Pool 7% 10/15/2028  | 6482 | 6605 |
| Ginnie Mae I Pool 7% 10/15/2028  | 3563 | 3628 |
| Ginnie Mae I Pool 7% 10/15/2028  | 1797 | 1830 |
| Ginnie Mae I Pool 7% 10/15/2028  | 1450 | 1471 |
| Ginnie Mae I Pool 7% 10/15/2028  | 855 | 866 |
| Ginnie Mae I Pool 7% 10/15/2028  | 617 | 623 |
| Ginnie Mae I Pool 7% 10/15/2028  | 335 | 337 |
| Ginnie Mae I Pool 7% 10/15/2028  | 276 | 281 |
| Ginnie Mae I Pool 7% 10/15/2028  | 199 | 201 |
| Ginnie Mae I Pool 7% 10/15/2030  | 875 | 901 |
| Ginnie Mae I Pool 7% 10/15/2031  | 5073 | 5246 |
| Ginnie Mae I Pool 7% 10/15/2031  | 599 | 619 |
| Ginnie Mae I Pool 7% 10/15/2031  | 334 | 341 |
| Ginnie Mae I Pool 7% 11/15/2026  | 11 | 11 |
| Ginnie Mae I Pool 7% 11/15/2026  | 3 | 2 |
| Ginnie Mae I Pool 7% 11/15/2026  | 2 | 1 |
| Ginnie Mae I Pool 7% 11/15/2027  | 7087 | 7160 |
| Ginnie Mae I Pool 7% 11/15/2027  | 905 | 916 |
| Ginnie Mae I Pool 7% 11/15/2027  | 532 | 533 |
| Ginnie Mae I Pool 7% 11/15/2027  | 390 | 392 |
| Ginnie Mae I Pool 7% 11/15/2027  | 31 | 32 |
| Ginnie Mae I Pool 7% 11/15/2028  | 2262 | 2295 |
| Ginnie Mae I Pool 7% 11/15/2028  | 1073 | 1091 |
| Ginnie Mae I Pool 7% 11/15/2028  | 972 | 991 |
| Ginnie Mae I Pool 7% 11/15/2028  | 720 | 728 |
| Ginnie Mae I Pool 7% 11/15/2028  | 65 | 66 |
| Ginnie Mae I Pool 7% 11/15/2031  | 130 | 134 |
| Ginnie Mae I Pool 7% 12/15/2025  | 7 | 6 |
| Ginnie Mae I Pool 7% 12/15/2026  | 867 | 872 |
| Ginnie Mae I Pool 7% 12/15/2026  | 28 | 28 |
| Ginnie Mae I Pool 7% 12/15/2026  | 6 | 5 |
| Ginnie Mae I Pool 7% 12/15/2027  | 1636 | 1653 |
| Ginnie Mae I Pool 7% 12/15/2027  | 592 | 599 |
| Ginnie Mae I Pool 7% 12/15/2027  | 496 | 502 |
| Ginnie Mae I Pool 7% 12/15/2027  | 90 | 91 |
| Ginnie Mae I Pool 7% 12/15/2028  | 4418 | 4499 |
| Ginnie Mae I Pool 7% 12/15/2028  | 2341 | 2374 |
| Ginnie Mae I Pool 7% 12/15/2028  | 1747 | 1760 |
| Ginnie Mae I Pool 7% 12/15/2028  | 787 | 803 |
| Ginnie Mae I Pool 7% 12/15/2028  | 697 | 709 |
| Ginnie Mae I Pool 7% 12/15/2028  | 678 | 689 |
| Ginnie Mae I Pool 7% 12/15/2028  | 552 | 562 |
| Ginnie Mae I Pool 7% 12/15/2028  | 497 | 498 |
| Ginnie Mae I Pool 7% 12/15/2028  | 385 | 392 |
| Ginnie Mae I Pool 7% 12/15/2029  | 3082 | 3157 |
| Ginnie Mae I Pool 7% 12/15/2030  | 6341 | 6540 |
| Ginnie Mae I Pool 7% 12/15/2030  | 189 | 195 |
| Ginnie Mae I Pool 7% 12/15/2031  | 3705 | 3829 |
| Ginnie Mae I Pool 7% 12/15/2031  | 2546 | 2637 |
| Ginnie Mae I Pool 7% 12/15/2031  | 1941 | 2005 |
| Ginnie Mae I Pool 7% 12/15/2031  | 543 | 561 |
| Ginnie Mae I Pool 7% 2/15/2026  | 9 | 9 |
| Ginnie Mae I Pool 7% 2/15/2026  | 3 | 2 |
| Ginnie Mae I Pool 7% 2/15/2027  | 69 | 69 |
| Ginnie Mae I Pool 7% 2/15/2028  | 5669 | 5724 |
| Ginnie Mae I Pool 7% 2/15/2028  | 2040 | 2068 |
| Ginnie Mae I Pool 7% 2/15/2028  | 2023 | 2045 |
| Ginnie Mae I Pool 7% 2/15/2028  | 1087 | 1099 |
| Ginnie Mae I Pool 7% 2/15/2028  | 887 | 899 |
| Ginnie Mae I Pool 7% 2/15/2028  | 704 | 712 |
| Ginnie Mae I Pool 7% 2/15/2028  | 432 | 436 |
| Ginnie Mae I Pool 7% 2/15/2028  | 411 | 416 |
| Ginnie Mae I Pool 7% 2/15/2028  | 362 | 366 |
| Ginnie Mae I Pool 7% 2/15/2028  | 159 | 161 |
| Ginnie Mae I Pool 7% 2/15/2028  | 47 | 47 |
| Ginnie Mae I Pool 7% 2/15/2029  | 2970 | 3030 |
| Ginnie Mae I Pool 7% 2/15/2029  | 911 | 930 |
| Ginnie Mae I Pool 7% 2/15/2029  | 238 | 241 |
| Ginnie Mae I Pool 7% 2/15/2032  | 2159 | 2230 |
| Ginnie Mae I Pool 7% 2/15/2032  | 960 | 993 |
| Ginnie Mae I Pool 7% 3/15/2026  | 61 | 61 |
| Ginnie Mae I Pool 7% 3/15/2026  | 34 | 34 |
| Ginnie Mae I Pool 7% 3/15/2026  | 10 | 10 |
| Ginnie Mae I Pool 7% 3/15/2026  | 3 | 2 |
| Ginnie Mae I Pool 7% 3/15/2027  | 358 | 360 |
| Ginnie Mae I Pool 7% 3/15/2028  | 2749 | 2783 |
| Ginnie Mae I Pool 7% 3/15/2028  | 1673 | 1692 |
| Ginnie Mae I Pool 7% 3/15/2028  | 1601 | 1625 |
| Ginnie Mae I Pool 7% 3/15/2028  | 1348 | 1367 |
| Ginnie Mae I Pool 7% 3/15/2028  | 1346 | 1364 |
| Ginnie Mae I Pool 7% 3/15/2028  | 1226 | 1236 |
| Ginnie Mae I Pool 7% 3/15/2028  | 767 | 778 |
| Ginnie Mae I Pool 7% 3/15/2028  | 733 | 739 |
| Ginnie Mae I Pool 7% 3/15/2028  | 343 | 347 |
| Ginnie Mae I Pool 7% 3/15/2028  | 340 | 344 |
| Ginnie Mae I Pool 7% 3/15/2028  | 258 | 261 |
| Ginnie Mae I Pool 7% 3/15/2028  | 254 | 257 |
| Ginnie Mae I Pool 7% 3/15/2029  | 5587 | 5662 |
| Ginnie Mae I Pool 7% 3/15/2029  | 858 | 864 |
| Ginnie Mae I Pool 7% 3/15/2029  | 377 | 384 |
| Ginnie Mae I Pool 7% 3/15/2031  | 3230 | 3329 |
| Ginnie Mae I Pool 7% 3/15/2031  | 327 | 335 |
| Ginnie Mae I Pool 7% 3/15/2032  | 7274 | 7400 |
| Ginnie Mae I Pool 7% 3/15/2032  | 1216 | 1257 |
| Ginnie Mae I Pool 7% 4/15/2026  | 96 | 96 |
| Ginnie Mae I Pool 7% 4/15/2026  | 14 | 15 |
| Ginnie Mae I Pool 7% 4/15/2026  | 7 | 6 |
| Ginnie Mae I Pool 7% 4/15/2026  | 7 | 6 |
| Ginnie Mae I Pool 7% 4/15/2028  | 4545 | 4613 |
| Ginnie Mae I Pool 7% 4/15/2028  | 3653 | 3702 |
| Ginnie Mae I Pool 7% 4/15/2028  | 3188 | 3233 |
| Ginnie Mae I Pool 7% 4/15/2028  | 2952 | 2981 |
| Ginnie Mae I Pool 7% 4/15/2028  | 1522 | 1546 |
| Ginnie Mae I Pool 7% 4/15/2028  | 1319 | 1336 |
| Ginnie Mae I Pool 7% 4/15/2028  | 1099 | 1113 |
| Ginnie Mae I Pool 7% 4/15/2028  | 1041 | 1056 |
| Ginnie Mae I Pool 7% 4/15/2028  | 1041 | 1053 |
| Ginnie Mae I Pool 7% 4/15/2028  | 1009 | 1022 |
| Ginnie Mae I Pool 7% 4/15/2028  | 871 | 884 |
| Ginnie Mae I Pool 7% 4/15/2028  | 677 | 688 |
| Ginnie Mae I Pool 7% 4/15/2028  | 643 | 651 |
| Ginnie Mae I Pool 7% 4/15/2028  | 613 | 621 |
| Ginnie Mae I Pool 7% 4/15/2028  | 478 | 485 |
| Ginnie Mae I Pool 7% 4/15/2028  | 426 | 432 |
| Ginnie Mae I Pool 7% 4/15/2028  | 217 | 219 |
| Ginnie Mae I Pool 7% 4/15/2028  | 213 | 214 |
| Ginnie Mae I Pool 7% 4/15/2028  | 172 | 173 |
| Ginnie Mae I Pool 7% 4/15/2029  | 3554 | 3623 |
| Ginnie Mae I Pool 7% 4/15/2029  | 1999 | 2035 |
| Ginnie Mae I Pool 7% 4/15/2030  | 14656 | 15063 |
| Ginnie Mae I Pool 7% 4/15/2030  | 1536 | 1579 |
| Ginnie Mae I Pool 7% 4/15/2031  | 13609 | 14037 |
| Ginnie Mae I Pool 7% 4/15/2031  | 2009 | 2073 |
| Ginnie Mae I Pool 7% 4/15/2031  | 465 | 479 |
| Ginnie Mae I Pool 7% 4/15/2031  | 54 | 56 |
| Ginnie Mae I Pool 7% 4/15/2032  | 14813 | 15336 |
| Ginnie Mae I Pool 7% 4/15/2032  | 225 | 231 |
| Ginnie Mae I Pool 7% 4/15/2032  | 42 | 43 |
| Ginnie Mae I Pool 7% 4/20/2032  | 172503 | 179449 |
| Ginnie Mae I Pool 7% 5/15/2026  | 127 | 127 |
| Ginnie Mae I Pool 7% 5/15/2026  | 13 | 13 |
| Ginnie Mae I Pool 7% 5/15/2026  | 8 | 7 |
| Ginnie Mae I Pool 7% 5/15/2026  | 7 | 6 |
| Ginnie Mae I Pool 7% 5/15/2026  | 5 | 4 |
| Ginnie Mae I Pool 7% 5/15/2027  | 753 | 757 |
| Ginnie Mae I Pool 7% 5/15/2027  | 237 | 238 |
| Ginnie Mae I Pool 7% 5/15/2028  | 4636 | 4709 |
| Ginnie Mae I Pool 7% 5/15/2028  | 1685 | 1705 |
| Ginnie Mae I Pool 7% 5/15/2028  | 1143 | 1161 |
| Ginnie Mae I Pool 7% 5/15/2028  | 790 | 800 |
| Ginnie Mae I Pool 7% 5/15/2028  | 707 | 716 |
| Ginnie Mae I Pool 7% 5/15/2028  | 553 | 561 |
| Ginnie Mae I Pool 7% 5/15/2028  | 474 | 480 |
| Ginnie Mae I Pool 7% 5/15/2028  | 448 | 454 |
| Ginnie Mae I Pool 7% 5/15/2028  | 311 | 312 |
| Ginnie Mae I Pool 7% 5/15/2028  | 196 | 199 |
| Ginnie Mae I Pool 7% 5/15/2028  | 28 | 28 |
| Ginnie Mae I Pool 7% 5/15/2029  | 3725 | 3801 |
| Ginnie Mae I Pool 7% 5/15/2031  | 3923 | 4042 |
| Ginnie Mae I Pool 7% 5/15/2031  | 307 | 317 |
| Ginnie Mae I Pool 7% 5/15/2032  | 43329 | 44510 |
| Ginnie Mae I Pool 7% 5/15/2032  | 3231 | 3345 |
| Ginnie Mae I Pool 7% 5/15/2032  | 135 | 140 |
| Ginnie Mae I Pool 7% 6/15/2026  | 208 | 208 |
| Ginnie Mae I Pool 7% 6/15/2026  | 5 | 4 |
| Ginnie Mae I Pool 7% 6/15/2027  | 169 | 170 |
| Ginnie Mae I Pool 7% 6/15/2028  | 6000 | 6097 |
| Ginnie Mae I Pool 7% 6/15/2028  | 2508 | 2541 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1957 | 1988 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1428 | 1451 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1296 | 1314 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1255 | 1273 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1227 | 1232 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1168 | 1186 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1005 | 1022 |
| Ginnie Mae I Pool 7% 6/15/2028  | 979 | 992 |
| Ginnie Mae I Pool 7% 6/15/2028  | 888 | 901 |
| Ginnie Mae I Pool 7% 6/15/2028  | 611 | 614 |
| Ginnie Mae I Pool 7% 6/15/2028  | 511 | 520 |
| Ginnie Mae I Pool 7% 6/15/2028  | 496 | 502 |
| Ginnie Mae I Pool 7% 6/15/2028  | 458 | 465 |
| Ginnie Mae I Pool 7% 6/15/2028  | 428 | 434 |
| Ginnie Mae I Pool 7% 6/15/2028  | 375 | 381 |
| Ginnie Mae I Pool 7% 6/15/2028  | 327 | 332 |
| Ginnie Mae I Pool 7% 6/15/2028  | 282 | 285 |
| Ginnie Mae I Pool 7% 6/15/2028  | 276 | 276 |
| Ginnie Mae I Pool 7% 6/15/2028  | 233 | 235 |
| Ginnie Mae I Pool 7% 6/15/2028  | 143 | 145 |
| Ginnie Mae I Pool 7% 6/15/2028  | 65 | 65 |
| Ginnie Mae I Pool 7% 6/15/2029  | 3512 | 3592 |
| Ginnie Mae I Pool 7% 6/15/2029  | 2800 | 2856 |
| Ginnie Mae I Pool 7% 6/15/2029  | 655 | 659 |
| Ginnie Mae I Pool 7% 6/15/2029  | 45 | 46 |
| Ginnie Mae I Pool 7% 6/15/2029  | 34 | 34 |
| Ginnie Mae I Pool 7% 6/15/2029  | 28 | 29 |
| Ginnie Mae I Pool 7% 6/15/2030  | 113 | 116 |
| Ginnie Mae I Pool 7% 6/15/2031  | 5628 | 5812 |
| Ginnie Mae I Pool 7% 6/15/2031  | 4251 | 4394 |
| Ginnie Mae I Pool 7% 6/15/2032  | 35952 | 37181 |
| Ginnie Mae I Pool 7% 6/15/2032  | 15231 | 15661 |
| Ginnie Mae I Pool 7% 6/15/2032  | 13897 | 14412 |
| Ginnie Mae I Pool 7% 6/15/2032  | 8205 | 8515 |
| Ginnie Mae I Pool 7% 6/15/2032  | 7632 | 7923 |
| Ginnie Mae I Pool 7% 6/15/2032  | 989 | 1027 |
| Ginnie Mae I Pool 7% 7/15/2026  | 219 | 219 |
| Ginnie Mae I Pool 7% 7/15/2028  | 4417 | 4489 |
| Ginnie Mae I Pool 7% 7/15/2028  | 4130 | 4199 |
| Ginnie Mae I Pool 7% 7/15/2028  | 3369 | 3414 |
| Ginnie Mae I Pool 7% 7/15/2028  | 2510 | 2553 |
| Ginnie Mae I Pool 7% 7/15/2028  | 2150 | 2166 |
| Ginnie Mae I Pool 7% 7/15/2028  | 1991 | 2022 |
| Ginnie Mae I Pool 7% 7/15/2028  | 1973 | 2002 |
| Ginnie Mae I Pool 7% 7/15/2028  | 1599 | 1604 |
| Ginnie Mae I Pool 7% 7/15/2028  | 1499 | 1520 |
| Ginnie Mae I Pool 7% 7/15/2028  | 1194 | 1212 |
| Ginnie Mae I Pool 7% 7/15/2028  | 1036 | 1053 |
| Ginnie Mae I Pool 7% 7/15/2028  | 828 | 840 |
| Ginnie Mae I Pool 7% 7/15/2028  | 822 | 835 |
| Ginnie Mae I Pool 7% 7/15/2028  | 804 | 809 |
| Ginnie Mae I Pool 7% 7/15/2028  | 416 | 423 |
| Ginnie Mae I Pool 7% 7/15/2028  | 355 | 359 |
| Ginnie Mae I Pool 7% 7/15/2028  | 341 | 341 |
| Ginnie Mae I Pool 7% 7/15/2028  | 140 | 141 |
| Ginnie Mae I Pool 7% 7/15/2028  | 72 | 73 |
| Ginnie Mae I Pool 7% 7/15/2028  | 36 | 36 |
| Ginnie Mae I Pool 7% 7/15/2029  | 4198 | 4293 |
| Ginnie Mae I Pool 7% 7/15/2029  | 381 | 390 |
| Ginnie Mae I Pool 7% 7/15/2029  | 208 | 212 |
| Ginnie Mae I Pool 7% 7/15/2029  | 192 | 196 |
| Ginnie Mae I Pool 7% 7/15/2030  | 1162 | 1185 |
| Ginnie Mae I Pool 7% 7/15/2031  | 4759 | 4922 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1550 | 1602 |
| Ginnie Mae I Pool 7% 7/15/2032  | 37936 | 39383 |
| Ginnie Mae I Pool 7% 7/15/2032  | 26319 | 27239 |
| Ginnie Mae I Pool 7% 7/15/2032  | 6973 | 7232 |
| Ginnie Mae I Pool 7% 7/15/2032  | 2985 | 3093 |
| Ginnie Mae I Pool 7% 7/15/2032  | 1977 | 2046 |
| Ginnie Mae I Pool 7% 7/15/2032  | 287 | 297 |
| Ginnie Mae I Pool 7% 7/20/2032  | 123267 | 127969 |
| Ginnie Mae I Pool 7% 8/15/2027  | 6224 | 6269 |
| Ginnie Mae I Pool 7% 8/15/2027  | 528 | 532 |
| Ginnie Mae I Pool 7% 8/15/2027  | 233 | 235 |
| Ginnie Mae I Pool 7% 8/15/2028  | 7276 | 7394 |
| Ginnie Mae I Pool 7% 8/15/2028  | 4860 | 4925 |
| Ginnie Mae I Pool 7% 8/15/2028  | 4178 | 4241 |
| Ginnie Mae I Pool 7% 8/15/2028  | 1282 | 1301 |
| Ginnie Mae I Pool 7% 8/15/2028  | 1263 | 1278 |
| Ginnie Mae I Pool 7% 8/15/2028  | 1194 | 1214 |
| Ginnie Mae I Pool 7% 8/15/2028  | 1063 | 1078 |
| Ginnie Mae I Pool 7% 8/15/2028  | 965 | 981 |
| Ginnie Mae I Pool 7% 8/15/2028  | 764 | 777 |
| Ginnie Mae I Pool 7% 8/15/2028  | 756 | 769 |
| Ginnie Mae I Pool 7% 8/15/2028  | 567 | 573 |
| Ginnie Mae I Pool 7% 8/15/2028  | 339 | 343 |
| Ginnie Mae I Pool 7% 8/15/2028  | 282 | 285 |
| Ginnie Mae I Pool 7% 8/15/2028  | 270 | 274 |
| Ginnie Mae I Pool 7% 8/15/2028  | 206 | 207 |
| Ginnie Mae I Pool 7% 8/15/2028  | 170 | 173 |
| Ginnie Mae I Pool 7% 8/15/2029  | 2159 | 2211 |
| Ginnie Mae I Pool 7% 8/15/2029  | 441 | 452 |
| Ginnie Mae I Pool 7% 8/15/2031  | 14506 | 14700 |
| Ginnie Mae I Pool 7% 8/15/2031  | 12067 | 12471 |
| Ginnie Mae I Pool 7% 8/15/2031  | 1485 | 1536 |
| Ginnie Mae I Pool 7% 8/15/2031  | 510 | 527 |
| Ginnie Mae I Pool 7% 8/15/2032  | 7173 | 7415 |
| Ginnie Mae I Pool 7% 8/15/2032  | 4215 | 4367 |
| Ginnie Mae I Pool 7% 8/15/2032  | 599 | 605 |
| Ginnie Mae I Pool 7% 9/15/2027  | 14 | 14 |
| Ginnie Mae I Pool 7% 9/15/2028  | 2915 | 2967 |
| Ginnie Mae I Pool 7% 9/15/2028  | 2373 | 2410 |
| Ginnie Mae I Pool 7% 9/15/2028  | 1493 | 1517 |
| Ginnie Mae I Pool 7% 9/15/2028  | 1203 | 1215 |
| Ginnie Mae I Pool 7% 9/15/2028  | 951 | 961 |
| Ginnie Mae I Pool 7% 9/15/2028  | 744 | 754 |
| Ginnie Mae I Pool 7% 9/15/2028  | 518 | 527 |
| Ginnie Mae I Pool 7% 9/15/2028  | 382 | 389 |
| Ginnie Mae I Pool 7% 9/15/2028  | 266 | 270 |
| Ginnie Mae I Pool 7% 9/15/2029  | 271 | 277 |
| Ginnie Mae I Pool 7% 9/15/2031  | 2151 | 2211 |
| Ginnie Mae I Pool 7.25% 9/15/2027  | 5385 | 5418 |
| Ginnie Mae I Pool 7.25% 9/15/2027  | 1840 | 1859 |
| Ginnie Mae I Pool 7.395% 12/20/2026  | 9394 | 9454 |
| Ginnie Mae I Pool 7.395% 2/20/2027  | 3399 | 3424 |
| Ginnie Mae I Pool 7.395% 9/20/2026  | 4537 | 4559 |
| Ginnie Mae I Pool 7.5% 1/15/2026  | 1064 | 1064 |
| Ginnie Mae I Pool 7.5% 1/15/2026  | 20 | 20 |
| Ginnie Mae I Pool 7.5% 1/15/2027  | 2294 | 2312 |
| Ginnie Mae I Pool 7.5% 1/15/2027  | 1533 | 1543 |
| Ginnie Mae I Pool 7.5% 1/15/2028  | 4287 | 4329 |
| Ginnie Mae I Pool 7.5% 1/15/2028  | 2150 | 2193 |
| Ginnie Mae I Pool 7.5% 1/15/2029  | 2733 | 2794 |
| Ginnie Mae I Pool 7.5% 1/15/2029  | 781 | 787 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 8387 | 8744 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 5256 | 5485 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 1420 | 1443 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 11425 | 11734 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 5811 | 5908 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 180 | 183 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 137 | 141 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 15 | 15 |
| Ginnie Mae I Pool 7.5% 10/15/2029  | 1160 | 1201 |
| Ginnie Mae I Pool 7.5% 10/15/2029  | 594 | 614 |
| Ginnie Mae I Pool 7.5% 10/15/2029  | 393 | 407 |
| Ginnie Mae I Pool 7.5% 10/15/2029  | 32 | 33 |
| Ginnie Mae I Pool 7.5% 10/15/2030  | 7900 | 8160 |
| Ginnie Mae I Pool 7.5% 10/15/2030  | 4819 | 4991 |
| Ginnie Mae I Pool 7.5% 10/15/2031  | 39217 | 41033 |
| Ginnie Mae I Pool 7.5% 10/15/2031  | 2015 | 2109 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 1342 | 1355 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 414 | 419 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 222 | 224 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 181 | 185 |
| Ginnie Mae I Pool 7.5% 11/15/2028  | 1036 | 1042 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 29870 | 30877 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 13906 | 14394 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 9664 | 10011 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 3599 | 3707 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 703 | 729 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 477 | 493 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 256 | 265 |
| Ginnie Mae I Pool 7.5% 11/15/2030  | 16188 | 16888 |
| Ginnie Mae I Pool 7.5% 12/15/2025  | 2 | 1 |
| Ginnie Mae I Pool 7.5% 12/15/2025  | 2 | 1 |
| Ginnie Mae I Pool 7.5% 12/15/2026  | 919 | 927 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 4861 | 4929 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 481 | 486 |
| Ginnie Mae I Pool 7.5% 12/15/2028  | 275 | 279 |
| Ginnie Mae I Pool 7.5% 12/15/2028  | 241 | 246 |
| Ginnie Mae I Pool 7.5% 12/15/2029  | 27512 | 28379 |
| Ginnie Mae I Pool 7.5% 12/15/2029  | 24252 | 24981 |
| Ginnie Mae I Pool 7.5% 12/15/2029  | 12547 | 13005 |
| Ginnie Mae I Pool 7.5% 12/15/2029  | 5835 | 6027 |
| Ginnie Mae I Pool 7.5% 12/15/2029  | 4839 | 4939 |
| Ginnie Mae I Pool 7.5% 12/15/2029  | 412 | 427 |
| Ginnie Mae I Pool 7.5% 12/15/2029  | 53 | 55 |
| Ginnie Mae I Pool 7.5% 12/15/2030  | 53493 | 55483 |
| Ginnie Mae I Pool 7.5% 12/15/2030  | 9480 | 9896 |
| Ginnie Mae I Pool 7.5% 12/15/2030  | 4815 | 4938 |
| Ginnie Mae I Pool 7.5% 12/15/2030  | 741 | 774 |
| Ginnie Mae I Pool 7.5% 2/15/2028  | 370 | 374 |
| Ginnie Mae I Pool 7.5% 2/15/2029  | 3184 | 3231 |
| Ginnie Mae I Pool 7.5% 2/15/2029  | 2265 | 2333 |
| Ginnie Mae I Pool 7.5% 2/15/2032  | 59086 | 61689 |
| Ginnie Mae I Pool 7.5% 2/15/2032  | 10387 | 10922 |
| Ginnie Mae I Pool 7.5% 2/15/2032  | 3832 | 4025 |
| Ginnie Mae I Pool 7.5% 3/15/2026  | 395 | 395 |
| Ginnie Mae I Pool 7.5% 3/15/2026  | 233 | 233 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 124 | 125 |
| Ginnie Mae I Pool 7.5% 3/15/2030  | 6610 | 6866 |
| Ginnie Mae I Pool 7.5% 3/15/2031  | 45383 | 47434 |
| Ginnie Mae I Pool 7.5% 3/15/2031  | 24876 | 26028 |
| Ginnie Mae I Pool 7.5% 3/15/2031  | 11753 | 12297 |
| Ginnie Mae I Pool 7.5% 3/15/2032  | 23492 | 24523 |
| Ginnie Mae I Pool 7.5% 3/15/2032  | 4874 | 5123 |
| Ginnie Mae I Pool 7.5% 3/15/2032  | 4729 | 4878 |
| Ginnie Mae I Pool 7.5% 3/15/2032  | 3233 | 3395 |
| Ginnie Mae I Pool 7.5% 4/15/2026  | 739 | 741 |
| Ginnie Mae I Pool 7.5% 4/15/2026  | 89 | 89 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 1985 | 2005 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 915 | 926 |
| Ginnie Mae I Pool 7.5% 4/15/2029  | 1441 | 1471 |
| Ginnie Mae I Pool 7.5% 4/15/2029  | 1124 | 1160 |
| Ginnie Mae I Pool 7.5% 4/15/2029  | 457 | 462 |
| Ginnie Mae I Pool 7.5% 5/15/2026  | 259 | 260 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 1902 | 1907 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 707 | 716 |
| Ginnie Mae I Pool 7.5% 5/15/2029  | 50 | 51 |
| Ginnie Mae I Pool 7.5% 5/15/2031  | 52721 | 54898 |
| Ginnie Mae I Pool 7.5% 5/15/2032  | 40493 | 42498 |
| Ginnie Mae I Pool 7.5% 5/15/2032  | 29784 | 31212 |
| Ginnie Mae I Pool 7.5% 5/15/2032  | 21519 | 22365 |
| Ginnie Mae I Pool 7.5% 5/15/2032  | 10102 | 10545 |
| Ginnie Mae I Pool 7.5% 5/15/2032  | 1295 | 1354 |
| Ginnie Mae I Pool 7.5% 5/15/2032  | 1038 | 1061 |
| Ginnie Mae I Pool 7.5% 6/15/2026  | 1029 | 1031 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 2162 | 2192 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 1643 | 1663 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 1130 | 1141 |
| Ginnie Mae I Pool 7.5% 6/15/2028  | 87 | 90 |
| Ginnie Mae I Pool 7.5% 6/15/2029  | 763 | 780 |
| Ginnie Mae I Pool 7.5% 6/15/2029  | 186 | 189 |
| Ginnie Mae I Pool 7.5% 6/15/2029  | 19 | 19 |
| Ginnie Mae I Pool 7.5% 6/15/2031  | 31483 | 32888 |
| Ginnie Mae I Pool 7.5% 7/15/2026  | 321 | 322 |
| Ginnie Mae I Pool 7.5% 7/15/2026  | 288 | 289 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 3885 | 3936 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 131 | 132 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 14985 | 15490 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 9542 | 9850 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 5352 | 5524 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 4887 | 5051 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 2442 | 2524 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 1170 | 1193 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 643 | 664 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 384 | 397 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 143 | 147 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 139 | 143 |
| Ginnie Mae I Pool 7.5% 7/15/2030  | 8005 | 8309 |
| Ginnie Mae I Pool 7.5% 7/15/2030  | 3777 | 3938 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 4887 | 4960 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 2870 | 2902 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 195 | 198 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 1247 | 1279 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 227 | 233 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 19249 | 19884 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 5459 | 5611 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 3196 | 3301 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 2644 | 2731 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 2567 | 2644 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 1772 | 1831 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 1549 | 1599 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 828 | 848 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 820 | 847 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 713 | 736 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 558 | 577 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 249 | 258 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 246 | 254 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 212 | 216 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 205 | 211 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 197 | 204 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 2880 | 2931 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 2462 | 2496 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 7 | 6 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 4446 | 4559 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 2756 | 2822 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 857 | 877 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 310 | 314 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 13397 | 13868 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 8547 | 8842 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 3614 | 3733 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 3298 | 3338 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 2209 | 2269 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 2041 | 2087 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 759 | 786 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 545 | 548 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 149 | 154 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 149 | 153 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 73 | 73 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 58 | 59 |
| Ginnie Mae I Pool 7.5% 9/15/2029  | 31 | 31 |
| Ginnie Mae I Pool 7.5% 9/15/2030  | 13916 | 14509 |
| Ginnie Mae I Pool 8% 1/15/2028  | 1946 | 1975 |
| Ginnie Mae I Pool 8% 1/15/2028  | 1407 | 1428 |
| Ginnie Mae I Pool 8% 1/15/2030  | 2877 | 2959 |
| Ginnie Mae I Pool 8% 1/15/2030  | 50 | 51 |
| Ginnie Mae I Pool 8% 10/15/2026  | 731 | 736 |
| Ginnie Mae I Pool 8% 10/15/2026  | 552 | 551 |
| Ginnie Mae I Pool 8% 10/15/2026  | 190 | 191 |
| Ginnie Mae I Pool 8% 10/15/2026  | 101 | 102 |
| Ginnie Mae I Pool 8% 10/15/2026  | 28 | 28 |
| Ginnie Mae I Pool 8% 10/15/2027  | 2014 | 2044 |
| Ginnie Mae I Pool 8% 10/15/2027  | 61 | 61 |
| Ginnie Mae I Pool 8% 10/15/2029  | 4706 | 4840 |
| Ginnie Mae I Pool 8% 10/15/2029  | 2668 | 2742 |
| Ginnie Mae I Pool 8% 10/15/2029  | 1849 | 1901 |
| Ginnie Mae I Pool 8% 10/15/2029  | 105 | 107 |
| Ginnie Mae I Pool 8% 11/15/2026  | 220 | 222 |
| Ginnie Mae I Pool 8% 11/15/2026  | 92 | 93 |
| Ginnie Mae I Pool 8% 11/15/2026  | 87 | 88 |
| Ginnie Mae I Pool 8% 11/15/2026  | 87 | 87 |
| Ginnie Mae I Pool 8% 11/15/2027  | 8069 | 8198 |
| Ginnie Mae I Pool 8% 11/15/2027  | 7920 | 8025 |
| Ginnie Mae I Pool 8% 11/15/2027  | 7485 | 7595 |
| Ginnie Mae I Pool 8% 11/15/2027  | 4288 | 4351 |
| Ginnie Mae I Pool 8% 11/15/2027  | 1478 | 1499 |
| Ginnie Mae I Pool 8% 11/15/2027  | 194 | 197 |
| Ginnie Mae I Pool 8% 11/15/2028  | 2815 | 2847 |
| Ginnie Mae I Pool 8% 11/15/2028  | 2097 | 2137 |
| Ginnie Mae I Pool 8% 11/15/2029  | 1998 | 2048 |
| Ginnie Mae I Pool 8% 12/15/2025  | 190 | 190 |
| Ginnie Mae I Pool 8% 12/15/2026  | 70 | 70 |
| Ginnie Mae I Pool 8% 12/15/2027  | 2521 | 2551 |
| Ginnie Mae I Pool 8% 12/15/2027  | 646 | 652 |
| Ginnie Mae I Pool 8% 12/15/2027  | 300 | 303 |
| Ginnie Mae I Pool 8% 12/15/2029  | 3993 | 4108 |
| Ginnie Mae I Pool 8% 12/15/2029  | 216 | 218 |
| Ginnie Mae I Pool 8% 2/15/2026  | 9 | 9 |
| Ginnie Mae I Pool 8% 2/15/2030  | 1468 | 1512 |
| Ginnie Mae I Pool 8% 2/15/2031  | 21340 | 22040 |
| Ginnie Mae I Pool 8% 3/15/2030  | 1750 | 1798 |
| Ginnie Mae I Pool 8% 3/15/2030  | 721 | 742 |
| Ginnie Mae I Pool 8% 4/15/2030  | 1113 | 1148 |
| Ginnie Mae I Pool 8% 5/15/2030  | 5394 | 5530 |
| Ginnie Mae I Pool 8% 5/15/2030  | 1188 | 1225 |
| Ginnie Mae I Pool 8% 6/15/2026  | 249 | 249 |
| Ginnie Mae I Pool 8% 6/15/2026  | 28 | 28 |
| Ginnie Mae I Pool 8% 6/15/2026  | 9 | 8 |
| Ginnie Mae I Pool 8% 6/15/2026  | 5 | 4 |
| Ginnie Mae I Pool 8% 6/15/2027  | 1009 | 1021 |
| Ginnie Mae I Pool 8% 6/15/2028  | 625 | 637 |
| Ginnie Mae I Pool 8% 6/15/2030  | 3699 | 3792 |
| Ginnie Mae I Pool 8% 7/15/2026  | 123 | 124 |
| Ginnie Mae I Pool 8% 7/15/2027  | 3043 | 3079 |
| Ginnie Mae I Pool 8% 7/15/2027  | 1171 | 1184 |
| Ginnie Mae I Pool 8% 7/15/2027  | 1003 | 1013 |
| Ginnie Mae I Pool 8% 7/15/2027  | 918 | 929 |
| Ginnie Mae I Pool 8% 7/15/2027  | 129 | 130 |
| Ginnie Mae I Pool 8% 7/15/2028  | 316 | 322 |
| Ginnie Mae I Pool 8% 7/15/2030  | 174 | 179 |
| Ginnie Mae I Pool 8% 7/15/2030  | 95 | 97 |
| Ginnie Mae I Pool 8% 8/15/2026  | 420 | 421 |
| Ginnie Mae I Pool 8% 8/15/2026  | 238 | 239 |
| Ginnie Mae I Pool 8% 8/15/2026  | 123 | 123 |
| Ginnie Mae I Pool 8% 8/15/2026  | 115 | 115 |
| Ginnie Mae I Pool 8% 8/15/2026  | 111 | 112 |
| Ginnie Mae I Pool 8% 8/15/2026  | 83 | 84 |
| Ginnie Mae I Pool 8% 8/15/2026  | 40 | 40 |
| Ginnie Mae I Pool 8% 8/15/2026  | 8 | 7 |
| Ginnie Mae I Pool 8% 8/15/2027  | 2699 | 2731 |
| Ginnie Mae I Pool 8% 8/15/2027  | 1190 | 1193 |
| Ginnie Mae I Pool 8% 8/15/2027  | 1019 | 1028 |
| Ginnie Mae I Pool 8% 8/15/2030  | 3048 | 3147 |
| Ginnie Mae I Pool 8% 8/15/2030  | 1085 | 1120 |
| Ginnie Mae I Pool 8% 9/15/2026  | 2263 | 2273 |
| Ginnie Mae I Pool 8% 9/15/2026  | 455 | 457 |
| Ginnie Mae I Pool 8% 9/15/2026  | 175 | 175 |
| Ginnie Mae I Pool 8% 9/15/2026  | 92 | 93 |
| Ginnie Mae I Pool 8% 9/15/2026  | 53 | 53 |
| Ginnie Mae I Pool 8% 9/15/2027  | 1430 | 1444 |
| Ginnie Mae I Pool 8% 9/15/2027  | 1307 | 1324 |
| Ginnie Mae I Pool 8% 9/15/2028  | 12906 | 13183 |
| Ginnie Mae I Pool 8% 9/15/2029  | 9381 | 9626 |
| Ginnie Mae I Pool 8% 9/15/2029  | 2355 | 2398 |
| Ginnie Mae I Pool 8% 9/15/2029  | 1202 | 1231 |
| Ginnie Mae I Pool 8% 9/15/2030  | 2371 | 2443 |
| Ginnie Mae I Pool 8.5% 1/15/2031  | 29320 | 30544 |
| Ginnie Mae I Pool 8.5% 2/15/2031  | 23579 | 24526 |
| Ginnie Mae I Pool 8.5% 9/15/2030  | 22160 | 22888 |
| Ginnie Mae II Pool 2% 1/20/2051  | 134672816 | 112041776 |
| Ginnie Mae II Pool 2% 10/20/2050  | 43265136 | 36008184 |
| Ginnie Mae II Pool 2% 11/1/2055 (f) | 5875000 | 4883047 |
| Ginnie Mae II Pool 2% 11/20/2050  | 22771344 | 18973207 |
| Ginnie Mae II Pool 2% 12/20/2050  | 14399050 | 11975992 |
| Ginnie Mae II Pool 2% 2/20/2051  | 67591468 | 56214607 |
| Ginnie Mae II Pool 2% 3/20/2052  | 124999 | 103974 |
| Ginnie Mae II Pool 2% 4/20/2051  | 6978305 | 5805639 |
| Ginnie Mae II Pool 2% 4/20/2052  | 6999997 | 5822591 |
| Ginnie Mae II Pool 2% 9/20/2050  | 58517256 | 48775181 |
| Ginnie Mae II Pool 2.5% 1/20/2043  | 3559827 | 3198826 |
| Ginnie Mae II Pool 2.5% 10/20/2042  | 1041140 | 936550 |
| Ginnie Mae II Pool 2.5% 11/20/2042  | 1676732 | 1508636 |
| Ginnie Mae II Pool 2.5% 11/20/2051  | 92519728 | 80181084 |
| Ginnie Mae II Pool 2.5% 12/20/2042  | 412460 | 371327 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 2532992 | 2195186 |
| Ginnie Mae II Pool 2.5% 2/20/2041  | 305572 | 277410 |
| Ginnie Mae II Pool 2.5% 2/20/2043  | 339134 | 304599 |
| Ginnie Mae II Pool 2.5% 3/20/2043  | 518007 | 465233 |
| Ginnie Mae II Pool 2.5% 3/20/2047  | 6251538 | 5498860 |
| Ginnie Mae II Pool 2.5% 3/20/2050  | 17327740 | 15043948 |
| Ginnie Mae II Pool 2.5% 4/20/2050  | 82226581 | 71389134 |
| Ginnie Mae II Pool 2.5% 4/20/2052  | 7814757 | 6771952 |
| Ginnie Mae II Pool 2.5% 6/20/2051  | 7985913 | 6918398 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 46524860 | 40305659 |
| Ginnie Mae II Pool 2.5% 9/20/2042  | 408874 | 366978 |
| Ginnie Mae II Pool 2.5% 9/20/2051  | 16004317 | 13864943 |
| Ginnie Mae II Pool 3% 1/20/2032  | 1661932 | 1622453 |
| Ginnie Mae II Pool 3% 1/20/2043  | 7097725 | 6584810 |
| Ginnie Mae II Pool 3% 10/20/2031  | 541509 | 528926 |
| Ginnie Mae II Pool 3% 10/20/2042  | 571624 | 530569 |
| Ginnie Mae II Pool 3% 10/20/2043  | 8686662 | 8035331 |
| Ginnie Mae II Pool 3% 11/20/2031  | 586984 | 573037 |
| Ginnie Mae II Pool 3% 11/20/2042  | 28653 | 26596 |
| Ginnie Mae II Pool 3% 12/20/2031  | 884318 | 863540 |
| Ginnie Mae II Pool 3% 12/20/2042  | 5210109 | 4833458 |
| Ginnie Mae II Pool 3% 12/20/2046  | 924716 | 843530 |
| Ginnie Mae II Pool 3% 12/20/2050  | 461032 | 415945 |
| Ginnie Mae II Pool 3% 2/20/2031  | 71012 | 69515 |
| Ginnie Mae II Pool 3% 2/20/2043  | 8944541 | 8295677 |
| Ginnie Mae II Pool 3% 3/20/2031  | 141978 | 138946 |
| Ginnie Mae II Pool 3% 3/20/2042  | 6853 | 6374 |
| Ginnie Mae II Pool 3% 3/20/2050  | 3594122 | 3243757 |
| Ginnie Mae II Pool 3% 4/20/2031  | 531107 | 519764 |
| Ginnie Mae II Pool 3% 4/20/2043  | 280881 | 260332 |
| Ginnie Mae II Pool 3% 4/20/2052  | 35700646 | 32111675 |
| Ginnie Mae II Pool 3% 5/20/2031  | 1133974 | 1109443 |
| Ginnie Mae II Pool 3% 5/20/2042  | 78486 | 72961 |
| Ginnie Mae II Pool 3% 5/20/2052  | 36056002 | 32431306 |
| Ginnie Mae II Pool 3% 6/20/2042  | 84132 | 78111 |
| Ginnie Mae II Pool 3% 6/20/2043  | 717174 | 664122 |
| Ginnie Mae II Pool 3% 7/20/2031  | 15024 | 14687 |
| Ginnie Mae II Pool 3% 7/20/2043  | 648963 | 600584 |
| Ginnie Mae II Pool 3% 7/20/2046  | 6745207 | 6157226 |
| Ginnie Mae II Pool 3% 8/20/2031  | 174485 | 170522 |
| Ginnie Mae II Pool 3% 8/20/2042  | 10677 | 9915 |
| Ginnie Mae II Pool 3% 8/20/2043  | 660484 | 611231 |
| Ginnie Mae II Pool 3% 8/20/2046  | 11102207 | 10134425 |
| Ginnie Mae II Pool 3% 9/20/2031  | 70186 | 68574 |
| Ginnie Mae II Pool 3% 9/20/2042  | 939174 | 871981 |
| Ginnie Mae II Pool 3% 9/20/2043  | 1809929 | 1674270 |
| Ginnie Mae II Pool 3.5% 1/20/2041  | 2438 | 2323 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 131012 | 123776 |
| Ginnie Mae II Pool 3.5% 10/20/2041  | 20758 | 19725 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 8912 | 8427 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 159854 | 151921 |
| Ginnie Mae II Pool 3.5% 11/20/2043  | 18754 | 17729 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 4562 | 4347 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 1762532 | 1675080 |
| Ginnie Mae II Pool 3.5% 2/20/2027  | 3689 | 3668 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 367398 | 348070 |
| Ginnie Mae II Pool 3.5% 2/20/2044  | 4100 | 3873 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 842662 | 798163 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 4093 | 3865 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 5304300 | 5023141 |
| Ginnie Mae II Pool 3.5% 4/20/2044  | 9731 | 9186 |
| Ginnie Mae II Pool 3.5% 4/20/2046  | 1847081 | 1717671 |
| Ginnie Mae II Pool 3.5% 5/20/2027  | 196303 | 195067 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 3445490 | 3248004 |
| Ginnie Mae II Pool 3.5% 6/20/2044  | 7821792 | 7378507 |
| Ginnie Mae II Pool 3.5% 7/20/2043  | 11385 | 10779 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 345182 | 326583 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 22067 | 21008 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 296093 | 279996 |
| Ginnie Mae II Pool 3.75% 4/20/2046  | 477671 | 451867 |
| Ginnie Mae II Pool 4% 1/20/2040  | 80189 | 78275 |
| Ginnie Mae II Pool 4% 1/20/2041  | 4025787 | 3926598 |
| Ginnie Mae II Pool 4% 1/20/2042  | 8545408 | 8322002 |
| Ginnie Mae II Pool 4% 10/20/2039  | 19813 | 19358 |
| Ginnie Mae II Pool 4% 10/20/2040  | 1328079 | 1295608 |
| Ginnie Mae II Pool 4% 10/20/2041  | 3331498 | 3245683 |
| Ginnie Mae II Pool 4% 11/20/2033  | 39320 | 38746 |
| Ginnie Mae II Pool 4% 11/20/2039  | 166191 | 162295 |
| Ginnie Mae II Pool 4% 11/20/2045  | 1407423 | 1348056 |
| Ginnie Mae II Pool 4% 11/20/2045  | 150883 | 144518 |
| Ginnie Mae II Pool 4% 12/20/2039  | 206927 | 202135 |
| Ginnie Mae II Pool 4% 2/20/2033  | 454 | 448 |
| Ginnie Mae II Pool 4% 2/20/2040  | 494804 | 483118 |
| Ginnie Mae II Pool 4% 2/20/2041  | 377892 | 361190 |
| Ginnie Mae II Pool 4% 2/20/2042  | 73829 | 71889 |
| Ginnie Mae II Pool 4% 3/20/2039  | 49184 | 48109 |
| Ginnie Mae II Pool 4% 3/20/2040  | 394869 | 385434 |
| Ginnie Mae II Pool 4% 3/20/2042  | 267155 | 260059 |
| Ginnie Mae II Pool 4% 3/20/2047  | 2223759 | 2149416 |
| Ginnie Mae II Pool 4% 4/20/2039  | 2614 | 2556 |
| Ginnie Mae II Pool 4% 4/20/2040  | 22538 | 22011 |
| Ginnie Mae II Pool 4% 4/20/2040  | 15525 | 14836 |
| Ginnie Mae II Pool 4% 4/20/2042  | 957406 | 931970 |
| Ginnie Mae II Pool 4% 5/20/2039  | 1021 | 998 |
| Ginnie Mae II Pool 4% 5/20/2040  | 233492 | 228027 |
| Ginnie Mae II Pool 4% 5/20/2046  | 3639695 | 3528253 |
| Ginnie Mae II Pool 4% 6/20/2039  | 161071 | 157460 |
| Ginnie Mae II Pool 4% 6/20/2040  | 179922 | 175620 |
| Ginnie Mae II Pool 4% 6/20/2041  | 202270 | 197153 |
| Ginnie Mae II Pool 4% 6/20/2042  | 31783 | 30930 |
| Ginnie Mae II Pool 4% 7/20/2040  | 941254 | 918304 |
| Ginnie Mae II Pool 4% 8/20/2039  | 57546 | 56234 |
| Ginnie Mae II Pool 4% 8/20/2041  | 2447 | 2384 |
| Ginnie Mae II Pool 4% 9/20/2039  | 23680 | 23129 |
| Ginnie Mae II Pool 4% 9/20/2040  | 3218611 | 3139806 |
| Ginnie Mae II Pool 4.5% 10/20/2041  | 84986 | 84907 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 1397261 | 1396331 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 32850302 | 32111604 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 69606 | 68440 |
| Ginnie Mae II Pool 4.5% 7/20/2041  | 52934 | 51992 |
| Ginnie Mae II Pool 4.5% 8/20/2040  | 11966 | 11755 |
| Ginnie Mae II Pool 4.5% 8/20/2041  | 99857 | 99767 |
| Ginnie Mae II Pool 4.5% 9/20/2041  | 18679 | 18663 |
| Ginnie Mae II Pool 5% 1/20/2032  | 231 | 234 |
| Ginnie Mae II Pool 5% 1/20/2033  | 7379 | 7469 |
| Ginnie Mae II Pool 5% 1/20/2034  | 12730 | 12899 |
| Ginnie Mae II Pool 5% 1/20/2035  | 1057980 | 1073542 |
| Ginnie Mae II Pool 5% 1/20/2037  | 332 | 337 |
| Ginnie Mae II Pool 5% 1/20/2055  | 90741974 | 90494693 |
| Ginnie Mae II Pool 5% 10/20/2032  | 90801 | 91910 |
| Ginnie Mae II Pool 5% 10/20/2033  | 22491 | 22785 |
| Ginnie Mae II Pool 5% 10/20/2034  | 2554 | 2591 |
| Ginnie Mae II Pool 5% 11/1/2055 (f) | 3750000 | 3738024 |
| Ginnie Mae II Pool 5% 11/20/2032  | 27651 | 27989 |
| Ginnie Mae II Pool 5% 11/20/2033  | 10758 | 10902 |
| Ginnie Mae II Pool 5% 11/20/2035  | 36784 | 37353 |
| Ginnie Mae II Pool 5% 12/20/2032  | 9359 | 9478 |
| Ginnie Mae II Pool 5% 12/20/2034  | 59739 | 60628 |
| Ginnie Mae II Pool 5% 12/20/2035  | 562815 | 571552 |
| Ginnie Mae II Pool 5% 12/20/2036  | 71930 | 73116 |
| Ginnie Mae II Pool 5% 12/20/2054  | 7940367 | 7941061 |
| Ginnie Mae II Pool 5% 12/20/2054  | 7353940 | 7333900 |
| Ginnie Mae II Pool 5% 2/20/2032  | 1451 | 1452 |
| Ginnie Mae II Pool 5% 2/20/2032  | 638 | 644 |
| Ginnie Mae II Pool 5% 2/20/2033  | 28743 | 29082 |
| Ginnie Mae II Pool 5% 2/20/2034  | 1098 | 1113 |
| Ginnie Mae II Pool 5% 2/20/2035  | 652 | 661 |
| Ginnie Mae II Pool 5% 2/20/2036  | 46164 | 46896 |
| Ginnie Mae II Pool 5% 2/20/2039  | 15692 | 15968 |
| Ginnie Mae II Pool 5% 3/20/2033  | 236684 | 239671 |
| Ginnie Mae II Pool 5% 3/20/2034  | 1946 | 1973 |
| Ginnie Mae II Pool 5% 3/20/2035  | 80927 | 82136 |
| Ginnie Mae II Pool 5% 3/20/2036  | 30872 | 31357 |
| Ginnie Mae II Pool 5% 4/20/2033  | 13768 | 13943 |
| Ginnie Mae II Pool 5% 4/20/2034  | 10880 | 11031 |
| Ginnie Mae II Pool 5% 4/20/2035  | 771 | 783 |
| Ginnie Mae II Pool 5% 4/20/2036  | 9040 | 9183 |
| Ginnie Mae II Pool 5% 4/20/2037  | 1367 | 1389 |
| Ginnie Mae II Pool 5% 5/20/2033  | 27012 | 27353 |
| Ginnie Mae II Pool 5% 5/20/2034  | 31475 | 31915 |
| Ginnie Mae II Pool 5% 5/20/2035  | 79433 | 80626 |
| Ginnie Mae II Pool 5% 6/20/2032  | 164823 | 166674 |
| Ginnie Mae II Pool 5% 6/20/2033  | 273859 | 277351 |
| Ginnie Mae II Pool 5% 6/20/2034  | 35218 | 35715 |
| Ginnie Mae II Pool 5% 6/20/2035  | 11383 | 11556 |
| Ginnie Mae II Pool 5% 6/20/2036  | 11904 | 12092 |
| Ginnie Mae II Pool 5% 6/20/2038  | 112532 | 114458 |
| Ginnie Mae II Pool 5% 6/20/2039  | 287683 | 292757 |
| Ginnie Mae II Pool 5% 7/20/2033  | 51907 | 52581 |
| Ginnie Mae II Pool 5% 7/20/2034  | 64973 | 65897 |
| Ginnie Mae II Pool 5% 7/20/2035  | 8894 | 9030 |
| Ginnie Mae II Pool 5% 7/20/2037  | 3747 | 3811 |
| Ginnie Mae II Pool 5% 7/20/2048  | 1571358 | 1596539 |
| Ginnie Mae II Pool 5% 8/20/2033  | 1046183 | 1059607 |
| Ginnie Mae II Pool 5% 8/20/2034  | 554 | 562 |
| Ginnie Mae II Pool 5% 8/20/2035  | 116369 | 118158 |
| Ginnie Mae II Pool 5% 9/20/2033  | 2666974 | 2701887 |
| Ginnie Mae II Pool 5% 9/20/2034  | 1322 | 1341 |
| Ginnie Mae II Pool 5% 9/20/2035  | 115303 | 117077 |
| Ginnie Mae II Pool 5% 9/20/2036  | 5074 | 5157 |
| Ginnie Mae II Pool 5% 9/20/2037  | 3496 | 3555 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 6045499 | 6170280 |
| Ginnie Mae II Pool 5.5% 10/20/2039  | 87963 | 91093 |
| Ginnie Mae II Pool 5.5% 11/1/2055 (f) | 116900000 | 117868072 |
| Ginnie Mae II Pool 5.5% 11/20/2039  | 56575 | 58594 |
| Ginnie Mae II Pool 5.5% 12/20/2039  | 39473 | 40877 |
| Ginnie Mae II Pool 5.5% 12/20/2041  | 42212 | 43657 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 7256067 | 7430777 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 4969947 | 5016616 |
| Ginnie Mae II Pool 5.5% 2/20/2042  | 61158 | 63296 |
| Ginnie Mae II Pool 5.5% 3/20/2040  | 390560 | 404565 |
| Ginnie Mae II Pool 5.5% 8/20/2039  | 7792 | 8070 |
| Ginnie Mae II Pool 5.5% 9/20/2039  | 44459 | 46049 |
| Ginnie Mae II Pool 5.5% 9/20/2041  | 9685 | 10036 |
| Ginnie Mae II Pool 6% 1/20/2032  | 3312 | 3417 |
| Ginnie Mae II Pool 6% 10/20/2028  | 125 | 128 |
| Ginnie Mae II Pool 6% 11/1/2055 (f) | 237225000 | 241420017 |
| Ginnie Mae II Pool 6% 11/20/2028  | 810 | 825 |
| Ginnie Mae II Pool 6% 11/20/2031  | 35251 | 36334 |
| Ginnie Mae II Pool 6% 12/1/2055 (f) | 145100000 | 147637567 |
| Ginnie Mae II Pool 6% 12/20/2027  | 612 | 623 |
| Ginnie Mae II Pool 6% 12/20/2029  | 13855 | 14165 |
| Ginnie Mae II Pool 6% 12/20/2054  | 10025451 | 10203232 |
| Ginnie Mae II Pool 6% 2/20/2028  | 93 | 95 |
| Ginnie Mae II Pool 6% 2/20/2032  | 1429 | 1474 |
| Ginnie Mae II Pool 6% 3/20/2028  | 524 | 533 |
| Ginnie Mae II Pool 6% 3/20/2029  | 335 | 341 |
| Ginnie Mae II Pool 6% 4/20/2028  | 1556 | 1584 |
| Ginnie Mae II Pool 6% 4/20/2029  | 2267 | 2308 |
| Ginnie Mae II Pool 6% 4/20/2031  | 269512 | 276992 |
| Ginnie Mae II Pool 6% 5/20/2028  | 1475 | 1502 |
| Ginnie Mae II Pool 6% 5/20/2029  | 51154 | 52086 |
| Ginnie Mae II Pool 6% 5/20/2032  | 97810 | 101086 |
| Ginnie Mae II Pool 6% 6/20/2028  | 94 | 96 |
| Ginnie Mae II Pool 6% 6/20/2029  | 1080 | 1100 |
| Ginnie Mae II Pool 6% 6/20/2032  | 145 | 149 |
| Ginnie Mae II Pool 6% 7/20/2029  | 3773 | 3846 |
| Ginnie Mae II Pool 6% 8/20/2028  | 33 | 34 |
| Ginnie Mae II Pool 6% 8/20/2029  | 380 | 387 |
| Ginnie Mae II Pool 6% 9/20/2028  | 3035 | 3090 |
| Ginnie Mae II Pool 6% 9/20/2032  | 1095060 | 1132579 |
| Ginnie Mae II Pool 6.5% 1/20/2029  | 192 | 198 |
| Ginnie Mae II Pool 6.5% 1/20/2031  | 2353 | 2433 |
| Ginnie Mae II Pool 6.5% 1/20/2032  | 22705 | 23599 |
| Ginnie Mae II Pool 6.5% 1/20/2034  | 616 | 647 |
| Ginnie Mae II Pool 6.5% 10/20/2028  | 1175 | 1212 |
| Ginnie Mae II Pool 6.5% 10/20/2029  | 255 | 263 |
| Ginnie Mae II Pool 6.5% 11/1/2055 (f) | 22825000 | 23534154 |
| Ginnie Mae II Pool 6.5% 11/20/2028  | 29830 | 30756 |
| Ginnie Mae II Pool 6.5% 11/20/2029  | 1802 | 1858 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 63283 | 65772 |
| Ginnie Mae II Pool 6.5% 12/1/2055 (f) | 22825000 | 23498490 |
| Ginnie Mae II Pool 6.5% 2/20/2029  | 1215 | 1253 |
| Ginnie Mae II Pool 6.5% 2/20/2031  | 6482 | 6717 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 28779 | 29806 |
| Ginnie Mae II Pool 6.5% 4/20/2032  | 1986 | 2070 |
| Ginnie Mae II Pool 6.5% 5/20/2028  | 15 | 15 |
| Ginnie Mae II Pool 6.5% 5/20/2031  | 2532 | 2625 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 22902293 | 23632961 |
| Ginnie Mae II Pool 6.5% 6/20/2034  | 2215 | 2328 |
| Ginnie Mae II Pool 6.5% 8/20/2028  | 35225 | 36318 |
| Ginnie Mae II Pool 6.5% 8/20/2034  | 2861 | 3013 |
| Ginnie Mae II Pool 6.5% 9/20/2031  | 4347 | 4516 |
| Ginnie Mae II Pool 7% 1/20/2027  | 83 | 85 |
| Ginnie Mae II Pool 7% 1/20/2028  | 29 | 30 |
| Ginnie Mae II Pool 7% 1/20/2030  | 13426 | 13833 |
| Ginnie Mae II Pool 7% 1/20/2031  | 8077 | 8376 |
| Ginnie Mae II Pool 7% 10/20/2028  | 7459 | 7664 |
| Ginnie Mae II Pool 7% 10/20/2031  | 20610 | 21429 |
| Ginnie Mae II Pool 7% 10/20/2032  | 3440 | 3595 |
| Ginnie Mae II Pool 7% 11/20/2028  | 11779 | 12104 |
| Ginnie Mae II Pool 7% 11/20/2030  | 56117 | 58093 |
| Ginnie Mae II Pool 7% 11/20/2031  | 25900 | 26943 |
| Ginnie Mae II Pool 7% 12/20/2027  | 933 | 958 |
| Ginnie Mae II Pool 7% 12/20/2028  | 4711 | 4840 |
| Ginnie Mae II Pool 7% 12/20/2029  | 2677 | 2754 |
| Ginnie Mae II Pool 7% 12/20/2030  | 127604 | 132019 |
| Ginnie Mae II Pool 7% 12/20/2032  | 38963 | 40647 |
| Ginnie Mae II Pool 7% 2/20/2028  | 26605 | 27338 |
| Ginnie Mae II Pool 7% 2/20/2029  | 2895 | 2975 |
| Ginnie Mae II Pool 7% 2/20/2030  | 26464 | 27265 |
| Ginnie Mae II Pool 7% 2/20/2031  | 4964 | 5148 |
| Ginnie Mae II Pool 7% 2/20/2032  | 71598 | 74553 |
| Ginnie Mae II Pool 7% 3/20/2026  | 50 | 50 |
| Ginnie Mae II Pool 7% 3/20/2027  | 985 | 1012 |
| Ginnie Mae II Pool 7% 3/20/2028  | 435 | 447 |
| Ginnie Mae II Pool 7% 3/20/2029  | 403 | 415 |
| Ginnie Mae II Pool 7% 3/20/2030  | 36772 | 37861 |
| Ginnie Mae II Pool 7% 3/20/2031  | 15100 | 15667 |
| Ginnie Mae II Pool 7% 3/20/2032  | 14706 | 15327 |
| Ginnie Mae II Pool 7% 4/20/2026  | 14 | 14 |
| Ginnie Mae II Pool 7% 4/20/2028  | 6869 | 7058 |
| Ginnie Mae II Pool 7% 4/20/2031  | 4874 | 5063 |
| Ginnie Mae II Pool 7% 5/20/2027  | 2777 | 2853 |
| Ginnie Mae II Pool 7% 5/20/2028  | 16778 | 17240 |
| Ginnie Mae II Pool 7% 5/20/2029  | 4262 | 4380 |
| Ginnie Mae II Pool 7% 5/20/2031  | 121378 | 125936 |
| Ginnie Mae II Pool 7% 6/20/2026  | 84 | 84 |
| Ginnie Mae II Pool 7% 6/20/2028  | 555 | 570 |
| Ginnie Mae II Pool 7% 6/20/2031  | 97810 | 101540 |
| Ginnie Mae II Pool 7% 6/20/2032  | 233372 | 243575 |
| Ginnie Mae II Pool 7% 7/20/2028  | 898 | 923 |
| Ginnie Mae II Pool 7% 7/20/2029  | 16 | 16 |
| Ginnie Mae II Pool 7% 7/20/2031  | 433111 | 450104 |
| Ginnie Mae II Pool 7% 7/20/2032  | 123923 | 129279 |
| Ginnie Mae II Pool 7% 7/20/2034  | 190041 | 199582 |
| Ginnie Mae II Pool 7% 8/20/2028  | 7435 | 7640 |
| Ginnie Mae II Pool 7% 8/20/2029  | 22111 | 22720 |
| Ginnie Mae II Pool 7% 8/20/2031  | 152981 | 158984 |
| Ginnie Mae II Pool 7% 8/20/2032  | 91020 | 94996 |
| Ginnie Mae II Pool 7% 8/20/2034  | 24010 | 25264 |
| Ginnie Mae II Pool 7% 9/20/2027  | 2348 | 2412 |
| Ginnie Mae II Pool 7% 9/20/2028  | 11774 | 12098 |
| Ginnie Mae II Pool 7% 9/20/2031  | 12421 | 12934 |
| Ginnie Mae II Pool 7% 9/20/2034  | 25526 | 26926 |
| Ginnie Mae II Pool 7.5% 1/20/2028  | 12971 | 13185 |
| Ginnie Mae II Pool 7.5% 6/20/2031  | 13644 | 14248 |
| Ginnie Mae II Pool 7.5% 7/20/2031  | 2031 | 2117 |
| Ginnie Mae II Pool 7.5% 7/20/2032  | 16226 | 17024 |
| Ginnie Mae II Pool 7.5% 8/20/2031  | 55896 | 58410 |
| Uniform Mortgage Backed Securities 2.5% 11/1/2055 (f) | 15425000 | 13090161 |
| Uniform Mortgage Backed Securities 3% 11/1/2055 (f) | 17100000 | 15148196 |
| Uniform Mortgage Backed Securities 6% 11/1/2055 (f) | 108200000 | 110655631 |
| Uniform Mortgage Backed Securities 6% 12/1/2055 (f) | 13200000 | 13497516 |
| TOTAL UNITED STATES |  | 2194469581 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $2,260,818,208) |  | <br> **2194469581** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 2.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.7%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 2.7%** |
|  | Yield (%) (j) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.74 to 5.12 | 16070000 | 16050541 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.01 to 4.49 | 6430000 | 6377254 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.67 | 4360000 | 4417225 |
| US Treasury Bonds 5% 5/15/2045  | 4.87 | 1430000 | 1496584 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.59 to 2.63 | 3018527 | 2985618 |
| US Treasury Notes 4.75% 2/15/2045  | 4.95 | 15150000 | 15360680 |
| US Treasury Notes 4.875% 10/31/2030  | 4.31 | 1400000 | 1473226 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $47,368,420) |  |  | **48161128** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.6%** | &nbsp;&nbsp;**Money Market Funds - 2.6%** | &nbsp;&nbsp;**Money Market Funds - 2.6%** | &nbsp;&nbsp;**Money Market Funds - 2.6%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (k)<br>(Cost $45,860,881)<br>| 4.18 | 45851711 | **45860881** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 5370000 | 165594 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 5370000 | 192967 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $430,674) |  |  | <br> **358561** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 140.2%**<br> (Cost $2,581,125,821)<br>| <br>**2498634330** |
| **NET OTHER ASSETS (LIABILITIES) - (40.2)%**  | **(716022337)** |
| **NET ASSETS - 100.0%** | **1782611993** |

---

---

| | | |
|:---|:---|:---|
| **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% 11/1/2055 | (7125000) | (5921993) |
| Ginnie Mae II Pool 5% 11/1/2055 | (3750000) | (3738024) |
| Ginnie Mae II Pool 6% 11/1/2055 | (145100000) | (147665905) |
| Ginnie Mae II Pool 6.5% 11/1/2055 | (22825000) | (23534154) |
| Uniform Mortgage Backed Securities 2% 11/1/2055 | (30600000) | (24817077) |
| Uniform Mortgage Backed Securities 2.5% 11/1/2055 | (15425000) | (13090161) |
| Uniform Mortgage Backed Securities 2.5% 12/1/2055 | (15425000) | (13091367) |
| Uniform Mortgage Backed Securities 3% 11/1/2055 | (17100000) | (15148196) |
| Uniform Mortgage Backed Securities 3% 12/1/2055 | (17100000) | (15146192) |
| Uniform Mortgage Backed Securities 5% 11/1/2055 | (17000000) | (16916328) |
| Uniform Mortgage Backed Securities 6% 11/1/2055 | (108200000) | (110655631) |
| Uniform Mortgage Backed Securities 6% 12/1/2055 | (5600000) | (5726219) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (395451247) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $395,671,201) |  | <br> **(395451247)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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 2Y US Treasury Notes Contracts (United States) | 563 | 12/31/2025 | 117266742 | (23562) | (23562) |
| CBOT US Treasury Long Bond Contracts (United States) | 180 | 12/19/2025 | 21133125 | 584720 | 584720 |
| TOTAL PURCHASED |  |  |  |  | 561158 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 805 | 12/19/2025 | 90751172 | (347576) | (347576) |
| CBOT 5Y US Treasury Notes Contracts (United States) | 153 | 12/31/2025 | 16717641 | 30540 | 30540 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 15 | 12/19/2025 | 1821094 | 14132 | 14132 |
| TOTAL SOLD |  |  |  |  | (302904) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **258254** |
| The notional amount of futures purchased as a percentage of Net Assets is 7.8% | The notional amount of futures purchased as a percentage of Net Assets is 7.8% | The notional amount of futures purchased as a percentage of Net Assets is 7.8% | The notional amount of futures purchased as a percentage of Net Assets is 7.8% | The notional amount of futures purchased as a percentage of Net Assets is 7.8% | The notional amount of futures purchased as a percentage of Net Assets is 7.8% |
| The notional amount of futures sold as a percentage of Net Assets is 6.1% | The notional amount of futures sold as a percentage of Net Assets is 6.1% | The notional amount of futures sold as a percentage of Net Assets is 6.1% | The notional amount of futures sold as a percentage of Net Assets is 6.1% | The notional amount of futures sold as a percentage of Net Assets is 6.1% | The notional amount of futures sold as a percentage of Net Assets is 6.1% |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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 | Annual | 3.5% | Annual | LCH | 12/17/2027 | 70438000 | 262243 | 0 | 262243 |
| U.S. SOFR Index | Annual | 3.5% | Annual | LCH | 12/17/2028 | 126822000 | 809600 | 0 | 809600 |
| 3.75% | Annual | U.S. SOFR Index | Annual | LCH | 12/17/2029 | 5000 | (9) | 0 | (9) |
| 3.75% | Annual | U.S. SOFR Index | Annual | LCH | 12/17/2032 | 6018000 | (4531) | 0 | (4531) |
| U.S. SOFR Index | Annual | 3.75% | Annual | LCH | 12/17/2045 | 3879000 | 84524 | 0 | 84524 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **1151827** | **0** | **1151827** |

---

(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.

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

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

(e) 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.

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

(g) 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 $4,052,172.

(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 $26,362.

(i) 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 $1,537,900.

(j) 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.

(k) 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 | 23279270 | 93174695 | 70593304 | 332084 | 220 | - | 45860881 | 45851711 | 0.1% |
| Fidelity Securities Lending Cash Central Fund | - | 1 | 1 | - | - | - | - | - | 0.0% |
| Total | 23279270 | 93174696 | 70593305 | 332084 | 220 | - | 45860881 |  |  |

---

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 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 GNMA Fund

- **b. EDGAR series identifier (if any):** S000007068

- **c. LEI of Series:** 775WA6SKHRP1TXGPSK08

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

- **a. Date of fiscal year-end:** 2026-07-31

- **b. Date as of which information is reported:** 2025-10-31

**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:** $2911466363.90

**Total Liabilities:** $1132794922.75

**Net Assets:** $1778671441.15

**Delayed Delivery Securities:** $715105479.52

**Cash Not Reported:** $174744.33

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 9992.96272899 | **1-Year:** 124926.58460015 | **5-Year:** 284537.62860289 | **10-Year:** 390998.56065572 | **30-Year:** 91647.99018151

**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 C000019282 | 1.50%                | 1.09%                | 0.70%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-663855.05              | $25611228.94                               |
| Month 2  | $2776094.49              | $10120250.95                               |
| Month 3  | $1756373.80              | $6048280.95                                |

**Designated Index Information**

- **Index Name:** Bloomberg GNMA Index

- **Index Identifier:** 19808150

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 30YR 3% 06/01/2051#                                                     | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61502 | PA      | $54994.73      | 0.00%             | 2051-06-01      | 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        |    2519958 | PA      | $2265643.56    | 0.13%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 06/15/2038#758921                                               | CUSIP: 36230T4E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     955328 | PA      | $895958.40     | 0.05%             | 2038-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                        | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2013253 | PA      | $2019905.00    | 0.11%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #705917                                                      | CUSIP: 36297AG23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70343 | PA      | $68291.58      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/40#753312                                                    | CUSIP: 36230MVD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     186498 | PA      | $181114.16     | 0.01%             | 2040-12-15      | 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        |     359749 | PA      | $359380.61     | 0.02%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/41 #748314                                                     | CUSIP: 3620C4K33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74823 | PA      | $72551.61      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 04/15/2043#AD9012                                             | CUSIP: 36180NAM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211679 | PA      | $205599.55     | 0.01%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/29 #499688                                                      | CUSIP: 36210RCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        781 | PA      | $787.09        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/29 #499435                                                      | CUSIP: 36210QY89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1441 | PA      | $1470.56       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #510988                                                      | CUSIP: 36211EUM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        655 | PA      | $658.94        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | 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        |     304435 | PA      | $294257.27     | 0.02%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 10/20/2045#AK8794                                              | CUSIP: 36183SXX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2273455 | PA      | $2150642.54    | 0.12%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #447622                                                      | CUSIP: 36208DG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        822 | PA      | $835.49        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/29 #503984                                                      | CUSIP: 36210V2R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1202 | PA      | $1230.65       | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/29 #502361                                                      | CUSIP: 36210UB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $50.78         | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #718029                                                     | CUSIP: 3620A3VW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4401 | PA      | $4395.09       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/27 #002394                                                   | CUSIP: 36202CUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        985 | PA      | $1012.01       | 0.00%             | 2027-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #429471                                                      | CUSIP: 36207ECG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        212 | PA      | $212.54        | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/31 #567123                                                      | CUSIP: 36213XAY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        510 | PA      | $526.90        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/40 #723715                                                      | CUSIP: 3620AAAQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148482 | PA      | $144338.55     | 0.01%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 08/20/2043#MA1223                                               | CUSIP: 36179NLC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     660484 | PA      | $611230.89     | 0.03%             | 2043-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/34 #562355                                                      | CUSIP: 36213RWQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19664 | PA      | $20482.41      | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #433627                                                      | CUSIP: 36207JVU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $47.49         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/38 #691940                                                      | CUSIP: 36296HV97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117416 | PA      | $124288.78     | 0.01%             | 2038-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 10/15/2043#711811                                               | CUSIP: 36297GYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91349 | PA      | $84001.71      | 0.00%             | 2043-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/28 #464704                                                      | CUSIP: 36208YGM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        316 | PA      | $321.96        | 0.00%             | 2028-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.25% 9/27 #453325                                                      | CUSIP: 36208KSN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1840 | PA      | $1859.27       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #438420                                                      | CUSIP: 36207QAV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3653 | PA      | $3701.52       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 9/31 #003133                                                    | CUSIP: 36202DPS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4347 | PA      | $4515.75       | 0.00%             | 2031-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/40 #723731                                                      | CUSIP: 3620AAA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     420272 | PA      | $408917.79     | 0.02%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 04/20/2043#AD9075                                               | CUSIP: 36180NCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1175052 | PA      | $1110741.64    | 0.06%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NATL MTG AS GTD RE PTT 3.5% 11/25/2046                               | CUSIP: 3136AUEL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3397201 | PA      | $551261.83     | 0.03%             | 2046-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #773113                                                      | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7510 | PA      | $7319.80       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.50% 11/29 #002837                                                  | CUSIP: 36202DEJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1802 | PA      | $1857.98       | 0.00%             | 2029-11-20      | Fixed         | 0.07%                 | 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        |     185314 | PA      | $180073.35     | 0.01%             | 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        |    2223759 | PA      | $2149416.22    | 0.12%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #475200                                                      | CUSIP: 36209L3H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        828 | PA      | $840.48        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 12/32 #003323                                                  | CUSIP: 36202DVQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38963 | PA      | $40647.19      | 0.00%             | 2032-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #443658                                                      | CUSIP: 36207VZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1041 | PA      | $1053.23       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 2/20/43 #MA0782                                                 | CUSIP: 36179M2P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8944541 | PA      | $8295677.17    | 0.47%             | 2043-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/27 #353908                                                     | CUSIP: 36203NDM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1420 | PA      | $1443.36       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | 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        |        375 | PA      | $380.66        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/36 #663332                                                     | CUSIP: 36294X4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81106 | PA      | $85558.82      | 0.00%             | 2036-12-15      | 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        |    3331498 | PA      | $3245683.47    | 0.18%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2.5% 11/01/2055 #TBA                                               | CUSIP: 01F0226B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -15425000 | PA      | $-13090160.94  | -0.74%            | 2055-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/34 #616414                                                      | CUSIP: 36290SYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        561 | PA      | $568.78        | 0.00%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/28 #454951                                                      | CUSIP: 36208ML86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4287 | PA      | $4328.63       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 2/34 #628858                                                      | CUSIP: 36291HTP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3625 | PA      | $3715.95       | 0.00%             | 2034-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/31 #529900                                                      | CUSIP: 36212CUZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1348 | PA      | $1393.89       | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/31 #566254                                                     | CUSIP: 36213WBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        599 | PA      | $619.45        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/30 #540606                                                     | CUSIP: 36212QR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53493 | PA      | $55483.43      | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 11/33 #003485                                                  | CUSIP: 36202D2S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39320 | PA      | $38745.51      | 0.00%             | 2033-11-20      | 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        |    2637527 | PA      | $2559022.08    | 0.14%             | 2041-10-15      | 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        |       6792 | PA      | $6970.09       | 0.00%             | 2035-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 11/20/2039#726716                                              | CUSIP: 3620ADK50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118751 | PA      | $122949.64     | 0.01%             | 2039-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/42#767581                                                    | CUSIP: 36176JRA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     173004 | PA      | $168061.95     | 0.01%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2004-32 SG TSFR1M+638.552 3/33                                           | CUSIP: 38374GYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1117782 | PA      | $44427.81      | 0.00%             | 2033-03-20      | Variable      | 0.02%                 | 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        |    1420339 | PA      | $1467054.05    | 0.08%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 3/30 #472153                                                      | CUSIP: 36209HQE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        721 | PA      | $742.41        | 0.00%             | 2030-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.0% 10/20/2034#003623                                               | CUSIP: 36202EAY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2554 | PA      | $2591.20       | 0.00%             | 2034-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 07/20/2048#MA5332                                                 | CUSIP: 36179T4R3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1571358 | PA      | $1596539.26    | 0.09%             | 2048-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/27 #453705                                                     | CUSIP: 36208LAE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1054 | PA      | $1062.81       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/34 #605443                                                      | CUSIP: 36200NS85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8110 | PA      | $8234.24       | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 7.395% 2/27 #444343                                                  | CUSIP: 36207WS88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3399 | PA      | $3423.79       | 0.00%             | 2027-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/41 #765881                                                      | CUSIP: 36176GUE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90971 | PA      | $90785.91      | 0.01%             | 2041-05-15      | Fixed         | 0.04%                 | 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        |    7571444 | PA      | $7152553.65    | 0.40%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 02/20/2042#005317                                               | CUSIP: 36202F4A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61158 | PA      | $63296.18      | 0.00%             | 2042-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/27 #458343                                                     | CUSIP: 36208REQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        390 | PA      | $392.31        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 06/15/2033#614485                                             | CUSIP: 36290QUJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2870 | PA      | $2900.24       | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #426700                                                      | CUSIP: 36207A7M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1428 | PA      | $1451.25       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/27 #455436                                                      | CUSIP: 36208M4V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        450 | PA      | $463.85        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2015-24 PI 3.5% 2/45                                                     | CUSIP: 38379JUM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    6641579 | PA      | $1042441.66    | 0.06%             | 2045-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 6/34 #003568                                                      | CUSIP: 36202D6D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35218 | PA      | $35715.03      | 0.00%             | 2034-06-20      | Fixed         | 0.05%                 | 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        |      71500 | PA      | $9853.31       | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #757631                                                      | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21492 | PA      | $20842.39      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #773499                                                     | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61960 | PA      | $60207.20      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | 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        |       2915 | PA      | $2966.80       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 04/45#777596                                                    | CUSIP: 36176VUV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     949211 | PA      | $862961.25     | 0.05%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #764818                                                      | CUSIP: 36176FPB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     229135 | PA      | $228811.46     | 0.01%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/28 #457818                                                      | CUSIP: 36208QSF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        292 | PA      | $300.94        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/26 #002184                                                   | CUSIP: 36202CM91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $49.93         | 0.00%             | 2026-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #780717                                                      | CUSIP: 36225AYN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        887 | PA      | $898.65        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 05/46#AS8102                                                   | CUSIP: 36193UAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     791589 | PA      | $748826.91     | 0.04%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #404537                                                      | CUSIP: 36205YLS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6000 | PA      | $6097.20       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | 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        |     404838 | PA      | $405920.10     | 0.02%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 9/28 #002645                                                   | CUSIP: 36202C5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11774 | PA      | $12097.90      | 0.00%             | 2028-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 3/39 #701745                                                      | CUSIP: 36296UTA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65348 | PA      | $68528.99      | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 1/30 #526737                                                   | CUSIP: 36211YEJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84757 | PA      | $85603.58      | 0.00%             | 2030-01-20      | Fixed         | 0.05%                 | 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        |      71598 | PA      | $74553.18      | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #477488                                                     | CUSIP: 36209PND5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1450 | PA      | $1471.34       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.0% 02/20/2032#003212                                               | CUSIP: 36202DR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1451 | PA      | $1452.04       | 0.00%             | 2032-02-20      | Fixed         | 0.05%                 | 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        |      29788 | PA      | $28836.86      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 07/15/2042#799350                                             | CUSIP: 36177UL85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191331 | PA      | $185412.05     | 0.01%             | 2042-07-15      | 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        |     660023 | PA      | $659852.89     | 0.04%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #751249                                                     | CUSIP: 36230KL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6512 | PA      | $6337.41       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #581931                                                      | CUSIP: 36201FPQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1295 | PA      | $1354.00       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 10/39 #726380                                                     | CUSIP: 3620AC6R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190202 | PA      | $190056.67     | 0.01%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                 | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1006161 | PA      | $940617.13     | 0.05%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/29 #519495                                                     | CUSIP: 36211QC82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4706 | PA      | $4839.57       | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | 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        |     118589 | PA      | $6804.54       | 0.00%             | 2034-05-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #464933                                                      | CUSIP: 36208YPS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2952 | PA      | $2980.72       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | 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        |     710222 | PA      | $708945.97     | 0.04%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 4/39 #004422                                                   | CUSIP: 36202E4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2614 | PA      | $2556.09       | 0.00%             | 2039-04-20      | 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        |    6457572 | PA      | $5823108.11    | 0.33%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/39 #717148                                                      | CUSIP: 3620A2WH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202423 | PA      | $202312.09     | 0.01%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2016-146 AL VAR 5/20/40                                                  | CUSIP: 38380AT31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1580167 | PA      | $1617303.11    | 0.09%             | 2040-05-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #720106                                                      | CUSIP: 3620A6AF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20674 | PA      | $20677.89      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/34 #627354                                                      | CUSIP: 36291F5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        374 | PA      | $379.81        | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AD0757                                             | CUSIP: 36180BZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35780 | PA      | $32831.73      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.25% 9/27 #455538                                                      | CUSIP: 36208NBF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5385 | PA      | $5418.23       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/15/2041#755959                                               | CUSIP: 36230QTQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132987 | PA      | $129309.61     | 0.01%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 05/15/2044#AE8414                                             | CUSIP: 36181CK31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281355 | PA      | $272094.79     | 0.02%             | 2044-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/29 #495849                                                      | CUSIP: 36210LZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1722 | PA      | $1739.52       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #517828                                                      | CUSIP: 36211NHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        558 | PA      | $577.38        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 08/20/2046#MA3873                                                 | CUSIP: 36179SJS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11102207 | PA      | $10134425.04   | 0.57%             | 2046-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 12/01/2055 #TBA                                                 | CUSIP: 21H0626C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22825000 | PA      | $23498490.43   | 1.32%             | 2055-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2051#FM9902                                               | CUSIP: 3140XEAC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300210 | PA      | $267906.85     | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 9/28 #002643                                                      | CUSIP: 36202C5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3035 | PA      | $3089.55       | 0.00%             | 2028-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 04/20/2049                      | CUSIP: 38381TH99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4234086 | PA      | $4191377.68    | 0.24%             | 2049-04-20      | Variable      | 0.05%                 | 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        |      97106 | PA      | $97050.23      | 0.01%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #723745                                                      | CUSIP: 3620AABN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     275116 | PA      | $274667.95     | 0.02%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 03/20/2043#AA6143                                               | CUSIP: 36178DZG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     693041 | PA      | $654679.45     | 0.04%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/30 #515340                                                      | CUSIP: 36211KPZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6610 | PA      | $6865.58       | 0.00%             | 2030-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/15/2043#AC9441                                               | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67557 | PA      | $65437.82      | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 08/15/43#AF5070                                               | CUSIP: 36181LT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7250 | PA      | $7025.15       | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5% 10/20/2044                                 | CUSIP: 38379GXL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3556377 | PA      | $754204.50     | 0.04%             | 2044-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 9/36 #003897                                                   | CUSIP: 36202EKJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5074 | PA      | $5157.45       | 0.00%             | 2036-09-20      | Fixed         | 0.05%                 | 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        |      91942 | PA      | $93424.80      | 0.01%             | 2033-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.00% 10/42 #AB8351                                                     | CUSIP: 36178VH46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1228021 | PA      | $1130064.49    | 0.06%             | 2042-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 06/01/2055#CC0577                                               | CUSIP: 3140Y6UB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1514864 | PA      | $1578060.96    | 0.09%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #467828                                                      | CUSIP: 36209CVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2510 | PA      | $2553.39       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 3/40 #706790                                                      | CUSIP: 36297BF71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     228643 | PA      | $222554.73     | 0.01%             | 2040-03-15      | 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        |      43406 | PA      | $44895.38      | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 09/20/2049#BN2661                                               | CUSIP: 3617K55W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1292401 | PA      | $1181194.12    | 0.07%             | 2049-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/26 #423861                                                      | CUSIP: 36206WZ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.16          | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/33 #616014                                                     | CUSIP: 36290SK34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3805 | PA      | $3857.02       | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/32 #583559                                                      | CUSIP: 36201HJC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3233 | PA      | $3394.63       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 12/30 #545651                                                  | CUSIP: 36212WEY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31861 | PA      | $32318.06      | 0.00%             | 2030-12-20      | Fixed         | 0.05%                 | 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        |      23237 | PA      | $23933.87      | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.0% 03/20/2043#AA6149                                               | CUSIP: 36178DZN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1511820 | PA      | $1395407.51    | 0.08%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 9/29 #518835                                                   | CUSIP: 36211PLQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61723 | PA      | $62285.00      | 0.00%             | 2029-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 07/20/2040#742057                                              | CUSIP: 3620AWME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125897 | PA      | $130736.48     | 0.01%             | 2040-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #487317                                                     | CUSIP: 36210BK61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6482 | PA      | $6604.53       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/31 #435050                                                      | CUSIP: 36207LH35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        327 | PA      | $334.54        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 04/20/2050#MA6598                                               | CUSIP: 36179VKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   82226581 | PA      | $71389133.97   | 4.01%             | 2050-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/32 #582957                                                      | CUSIP: 36201GTN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59086 | PA      | $61688.98      | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #472039                                                      | CUSIP: 36209HLU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1005 | PA      | $1021.56       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/30 #532610                                                      | CUSIP: 36212FVB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3048 | PA      | $3147.43       | 0.00%             | 2030-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/32 #582098                                                      | CUSIP: 36201FUX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $43.05         | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2004-46 BZ 6% 6/34                                                       | CUSIP: 38374G7H9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     659534 | PA      | $674641.28     | 0.04%             | 2034-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 03/15/2041#738104                                               | CUSIP: 3620ASAD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1084312 | PA      | $1053780.92    | 0.06%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #481803                                                      | CUSIP: 36209UGL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2150 | PA      | $2165.70       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 6/34 #602419                                                      | CUSIP: 36200JG46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16116 | PA      | $16518.10      | 0.00%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 09/15/2042#AB2871                                             | CUSIP: 36178NFL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81828 | PA      | $75383.41      | 0.00%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #732919                                                      | CUSIP: 3620ALG40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104791 | PA      | $101641.08     | 0.01%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #782902                                                      | CUSIP: 36241LGK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37270 | PA      | $37240.25      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #509366                                                      | CUSIP: 36211CZ70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4887 | PA      | $5051.20       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/27 #463299                                                     | CUSIP: 36208WUY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9955 | PA      | $10264.09      | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/35 #618234                                                      | CUSIP: 36290UY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3124 | PA      | $3207.44       | 0.00%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #737433                                                      | CUSIP: 3620ARHJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31323 | PA      | $30472.66      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/29 #500146                                                     | CUSIP: 36210RTB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1160 | PA      | $1201.47       | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | 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        |    7985913 | PA      | $6918397.73    | 0.39%             | 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        |      35083 | PA      | $33993.08      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 10/28 #002659                                                  | CUSIP: 36202C5U3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7459 | PA      | $7664.41       | 0.00%             | 2028-10-20      | Fixed         | 0.07%                 | 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        |   10025451 | PA      | $10203231.78   | 0.57%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 1/35 #636095                                                      | CUSIP: 36291RUU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        103 | PA      | $104.33        | 0.00%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #513706                                                      | CUSIP: 36211HU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        643 | PA      | $663.81        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/29 #186965                                                      | CUSIP: 362169TW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9381 | PA      | $9625.73       | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #781176                                                     | CUSIP: 36225BJV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2341 | PA      | $2374.17       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 2/31 #529813                                                      | CUSIP: 36212CSA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21340 | PA      | $22039.80      | 0.00%             | 2031-02-15      | Fixed         | 0.08%                 | 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        |      97810 | PA      | $101086.30     | 0.01%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 11/20/2045#AK8795                                              | CUSIP: 36183SXY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     814430 | PA      | $770434.51     | 0.04%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/39 #723354                                                      | CUSIP: 3620A9TK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8782 | PA      | $8937.14       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 7/34 #003582                                                      | CUSIP: 36202D6T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64973 | PA      | $65897.19      | 0.00%             | 2034-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/31 #567088                                                      | CUSIP: 36213W6Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1485 | PA      | $1535.83       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/26 #433299                                                     | CUSIP: 36207JKL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $92.52         | 0.00%             | 2026-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 9/27 #002483                                                   | CUSIP: 36202CXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2348 | PA      | $2412.41       | 0.00%             | 2027-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 8/33 #003428                                                      | CUSIP: 36202DYZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1046183 | PA      | $1059606.73    | 0.06%             | 2033-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP PAY 4.065 05/02/30                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    5370000 | NC      | $165594.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/29 #517957                                                     | CUSIP: 36211NME5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        105 | PA      | $107.38        | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/32 #581761                                                      | CUSIP: 36201FJE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        225 | PA      | $231.08        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 01/20/2050#BR8999                                                 | CUSIP: 3617M77L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50018 | PA      | $44985.40      | 0.00%             | 2050-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/39 #707956                                                     | CUSIP: 36297CQH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1337 | PA      | $1359.86       | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 11/15/2042#776954                                             | CUSIP: 36176U5P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209276 | PA      | $187156.93     | 0.01%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/27 #353763                                                      | CUSIP: 36203M5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2699 | PA      | $2730.97       | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 1/40 #004616                                                   | CUSIP: 36202FDV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80189 | PA      | $78274.88      | 0.00%             | 2040-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 4/41 #783307                                                      | CUSIP: 36241LU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2078546 | PA      | $2020540.37    | 0.11%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 1/28 #460689                                                      | CUSIP: 36208TXS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2187 | PA      | $2254.69       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #737442                                                      | CUSIP: 3620ARHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11828 | PA      | $11509.79      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 01/20/2032#MA4170                                               | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1661932 | PA      | $1622452.70    | 0.09%             | 2032-01-20      | Fixed         | 0.03%                 | 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        |      19002 | PA      | $18433.34      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 01/20/2049#BJ9832                                                 | CUSIP: 3617HX4R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     797935 | PA      | $761284.65     | 0.04%             | 2049-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #433883                                                      | CUSIP: 36207J6U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3369 | PA      | $3413.65       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/33 #600018                                                      | CUSIP: 36200FSF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        118 | PA      | $122.16        | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | 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        |     490206 | PA      | $508445.24     | 0.03%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 10/29 #002823                                                   | CUSIP: 36202DD40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        255 | PA      | $263.24        | 0.00%             | 2029-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2015-79 IC 5% 05/20/2045                      | CUSIP: 38379L3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2592076 | PA      | $524239.91     | 0.03%             | 2045-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 03/15/2042#773367                                             | CUSIP: 36176Q6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166613 | PA      | $161678.99     | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 07/20/2043#MA1156                                               | CUSIP: 36179NH92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     648963 | PA      | $600583.65     | 0.03%             | 2043-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/40 #739233                                                      | CUSIP: 3620ATHJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42845 | PA      | $43608.06      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 2/28 #430591                                                      | CUSIP: 36207FKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        985 | PA      | $1015.61       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/29 #513541                                                     | CUSIP: 36211HP21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $33.37         | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/31 #554277                                                      | CUSIP: 36213GXE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3230 | PA      | $3328.53       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 12/20/2050#MA7053                                                 | CUSIP: 36179VZS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     461032 | PA      | $415944.84     | 0.02%             | 2050-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2045#AL3861                                             | CUSIP: 36184AJE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188776 | PA      | $182615.13     | 0.01%             | 2045-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.2% 07/15/2036#662818                                             | CUSIP: 36294XK70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38672 | PA      | $39385.88      | 0.00%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/28 #469699                                                     | CUSIP: 36209EX49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $66.31         | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 12/20/2044#AK2638                                               | CUSIP: 36183K4X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     658132 | PA      | $617860.79     | 0.03%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/40 #733733                                                      | CUSIP: 3620AMEE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2663 | PA      | $2710.69       | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #553437                                                      | CUSIP: 36213FZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        287 | PA      | $296.53        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 06/20/2050#BV5270                                                 | CUSIP: 3617NJ2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3684646 | PA      | $3310487.53    | 0.19%             | 2050-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 11/15/2040#741444                                             | CUSIP: 3620AVWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23745 | PA      | $23088.19      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #483831                                                     | CUSIP: 36209WPQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1747 | PA      | $1759.96       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 4/35 #003701                                                      | CUSIP: 36202EDE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        771 | PA      | $783.00        | 0.00%             | 2035-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 8/33 #581557                                                      | CUSIP: 36201FB22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        166 | PA      | $169.25        | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #480455                                                      | CUSIP: 36209SWQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        206 | PA      | $207.04        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/33 #562287                                                     | CUSIP: 36213RUL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        543 | PA      | $563.35        | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/26 #423906                                                      | CUSIP: 36206W3P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        321 | PA      | $321.84        | 0.00%             | 2026-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.0% 05/15/43 #AD9099                                                   | CUSIP: 36180NDC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132897 | PA      | $129120.36     | 0.01%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2014-154 IO 5% 10/20/2044                     | CUSIP: 38379GH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     805851 | PA      | $166803.41     | 0.01%             | 2044-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 05/01/2042#RB0806                                             | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83149 | PA      | $74795.69      | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 06/15/2042#757523                                             | CUSIP: 36230SLC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     853138 | PA      | $804592.69     | 0.05%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #779843                                                     | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83234 | PA      | $80806.46      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 11/41 #772088                                                     | CUSIP: 36176PRH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134866 | PA      | $127497.75     | 0.01%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 03/20/2043#MA0850                                               | CUSIP: 36179M5K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     518007 | PA      | $465233.31     | 0.03%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/29 #457155                                                      | CUSIP: 36208PZU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4198 | PA      | $4293.42       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 12/15/2042#614308                                             | CUSIP: 36290QNZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206706 | PA      | $195896.76     | 0.01%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 11/34 #619249                                                     | CUSIP: 36290V5J9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1835 | PA      | $1835.31       | 0.00%             | 2034-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2045#AN1605                                             | CUSIP: 36185GYA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     689954 | PA      | $668910.80     | 0.04%             | 2045-06-15      | Fixed         | 0.04%                 | 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        |    1436604 | PA      | $1437541.88    | 0.08%             | 2060-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 08/15/2033#615865                                             | CUSIP: 36290SFE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124354 | PA      | $125952.83     | 0.01%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 08/15/2042#705952                                             | CUSIP: 36297AH55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14049 | PA      | $12919.18      | 0.00%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #773473                                                      | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61952 | PA      | $60230.89      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 09/41#738705                                                    | CUSIP: 3620ASU64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     271512 | PA      | $264107.63     | 0.01%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2042#778130                                             | CUSIP: 36176WHF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     135513 | PA      | $132121.05     | 0.01%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/39 #723433                                                     | CUSIP: 3620A9V24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11570 | PA      | $11775.34      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 30YR 3.00% 11/42 #MA0533                                                | CUSIP: 36179MSW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28653 | PA      | $26596.13      | 0.00%             | 2042-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/31 #003054                                                   | CUSIP: 36202DMB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15100 | PA      | $15667.20      | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | 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        |     318135 | PA      | $291294.03     | 0.02%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 05/15/2036#653234                                            | CUSIP: 36292MV33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53942 | PA      | $54783.06      | 0.00%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 10/39 #004557                                                  | CUSIP: 36202FB21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19813 | PA      | $19358.47      | 0.00%             | 2039-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNCL 535081 8.5% 12/27                                                       | CUSIP: 31384VM66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1487 | PA      | $1496.01       | 0.00%             | 2027-12-01      | Fixed         | 0.09%                 | 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        |    2127823 | PA      | $2013540.98    | 0.11%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #796175                                                      | CUSIP: 36177Q2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243049 | PA      | $229273.08     | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/33 #621780                                                     | CUSIP: 36290YXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27287 | PA      | $27585.29      | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #583647                                                      | CUSIP: 36201HL43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26319 | PA      | $27238.55      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 6/32 #003251                                                   | CUSIP: 36202DTG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233372 | PA      | $243574.53     | 0.01%             | 2032-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 1/30 #522577                                                      | CUSIP: 36211TQ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2877 | PA      | $2959.05       | 0.00%             | 2030-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/33 #604639                                                      | CUSIP: 36200MV83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4993 | PA      | $5062.90       | 0.00%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 2.5% 04/15/2028#AA6257                                             | CUSIP: 36178D5S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     900506 | PA      | $886492.12     | 0.05%             | 2028-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/28 #780910                                                     | CUSIP: 36225BAK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2097 | PA      | $2137.27       | 0.00%             | 2028-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 11/45#AQ6547                                                    | CUSIP: 36189XHY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     150883 | PA      | $144518.32     | 0.01%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #491644                                                      | CUSIP: 36210GER1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19249 | PA      | $19883.79      | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #495301                                                      | CUSIP: 36210LGJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2567 | PA      | $2643.65       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/29 #781024                                                      | CUSIP: 36225BD54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3184 | PA      | $3230.85       | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #514496                                                      | CUSIP: 36211JRR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2442 | PA      | $2523.98       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/29 #516086                                                     | CUSIP: 36211LJ78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2668 | PA      | $2742.31       | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #464920                                                      | CUSIP: 36208YPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1346 | PA      | $1363.59       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.39% 05/15/2036#656597                                            | CUSIP: 36294QNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39085 | PA      | $40106.26      | 0.00%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 1/35 #627846                                                      | CUSIP: 36291GP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8013 | PA      | $8224.34       | 0.00%             | 2035-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/27 #461177                                                     | CUSIP: 36208UJW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        496 | PA      | $501.54        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 10/15/2040#751247                                             | CUSIP: 36230KL41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191984 | PA      | $186650.39     | 0.01%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 07/15/2042#769734                                               | CUSIP: 36176L4T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111082 | PA      | $102036.75     | 0.01%             | 2042-07-15      | 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        |       7430 | PA      | $7213.66       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/26 #398662                                                      | CUSIP: 36205RZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        127 | PA      | $126.64        | 0.00%             | 2026-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 01/15/2036#651222                                             | CUSIP: 36292KPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3073 | PA      | $3122.93       | 0.00%             | 2036-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 9/34 #003609                                                      | CUSIP: 36202EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1322 | PA      | $1340.73       | 0.00%             | 2034-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/31 #553594                                                     | CUSIP: 36213F7F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        130 | PA      | $134.24        | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #473534                                                      | CUSIP: 36209KBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4545 | PA      | $4613.33       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/32 #566345                                                      | CUSIP: 36213WES1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14813 | PA      | $15335.56      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 4/33 #003374                                                      | CUSIP: 36202DXB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13768 | PA      | $13943.11      | 0.00%             | 2033-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-57 PB 5.5% 7/35                                                     | CUSIP: 38374LZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1848763 | PA      | $1911105.55    | 0.11%             | 2035-07-20      | Fixed         | 0.06%                 | 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        |       3593 | PA      | $3671.08       | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 06/15/2033#781623                                             | CUSIP: 36225BYU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7394 | PA      | $7493.45       | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/28 #457694                                                      | CUSIP: 36208QNK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        277 | PA      | $278.43        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/15/2042#AC3746                                               | CUSIP: 36179DET3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     278517 | PA      | $270920.75     | 0.02%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 4/26 #002202                                                   | CUSIP: 36202CNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $14.44         | 0.00%             | 2026-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/27 #457566                                                     | CUSIP: 36208QJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2521 | PA      | $2550.91       | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/28 #002564                                                   | CUSIP: 36202CZ55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        435 | PA      | $446.74        | 0.00%             | 2028-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 1/40 #711066                                                      | CUSIP: 36297F6B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4254549 | PA      | $4331560.85    | 0.24%             | 2040-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/40 #711483                                                      | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59635 | PA      | $58023.53      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #513703                                                      | CUSIP: 36211HU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $34.09         | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/26 #412571                                                      | CUSIP: 36206JJQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         10 | PA      | $10.22         | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 04/15/2035#643572                                             | CUSIP: 36292A6H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2271 | PA      | $2306.57       | 0.00%             | 2035-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #510300                                                      | CUSIP: 36211D3H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        246 | PA      | $253.82        | 0.00%             | 2029-08-15      | 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 3.347% 11/25/2026                             | CUSIP: 3137BTUM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18180604 | PA      | $18005035.50   | 1.01%             | 2026-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 10/37 #617743                                                     | CUSIP: 36290UHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     355572 | PA      | $375235.45     | 0.02%             | 2037-10-15      | Fixed         | 0.07%                 | 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        |    1514328 | PA      | $1391024.05    | 0.08%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.50% 1/28 #002536                                                   | CUSIP: 36202CY98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12971 | PA      | $13184.63      | 0.00%             | 2028-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 01/20/2055#MB0146                                                 | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   90741974 | PA      | $90494693.10   | 5.09%             | 2055-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 3/39 #697946                                                      | CUSIP: 36296QL31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2334 | PA      | $2374.35       | 0.00%             | 2039-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #518035                                                     | CUSIP: 36211NPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        412 | PA      | $427.21        | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #723526                                                     | CUSIP: 3620A9YX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1291562 | PA      | $1290531.37    | 0.07%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #726019                                                      | CUSIP: 3620ACSG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82563 | PA      | $82478.40      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/41 #738017                                                      | CUSIP: 3620AR4A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76201 | PA      | $74064.54      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #723740                                                      | CUSIP: 3620AABH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     359745 | PA      | $359062.94     | 0.02%             | 2040-04-15      | 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        |      64208 | PA      | $62230.64      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/29 #491192                                                      | CUSIP: 36210FUR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        238 | PA      | $241.44        | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 8/34 #003595                                                      | CUSIP: 36202D7G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        554 | PA      | $562.31        | 0.00%             | 2034-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 08/20/2040#742163                                              | CUSIP: 3620AWQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     342825 | PA      | $356168.63     | 0.02%             | 2040-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#711754                                             | CUSIP: 36297GWP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76974 | PA      | $70530.56      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | 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        |     572499 | PA      | $572507.05     | 0.03%             | 2061-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/32 #471314                                                      | CUSIP: 36209GSB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        960 | PA      | $992.66        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #449039                                                      | CUSIP: 36208EZC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        143 | PA      | $144.85        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 08/15/2043#AD5682                                               | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20624 | PA      | $19919.57      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 6/29 #002766                                                   | CUSIP: 36202DCB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1080 | PA      | $1099.50       | 0.00%             | 2029-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #489861                                                      | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14386 | PA      | $13940.59      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 2/32 #554070                                                      | CUSIP: 36213GQX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13204 | PA      | $13717.07      | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/29 #510959                                                      | CUSIP: 36211ETQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        186 | PA      | $188.90        | 0.00%             | 2029-06-15      | 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        |     738499 | PA      | $699181.66     | 0.04%             | 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        |    5081213 | PA      | $4746847.48    | 0.27%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 05/15/2042#779221                                             | CUSIP: 36176XPE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4508885 | PA      | $4268834.56    | 0.24%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/26 #422293                                                      | CUSIP: 36206VC62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.71          | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 5/34 #003555                                                      | CUSIP: 36202D5Q0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31475 | PA      | $31915.28      | 0.00%             | 2034-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/39 #723436                                                     | CUSIP: 3620A9V57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12092 | PA      | $12308.20      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #465292                                                      | CUSIP: 36208Y2Z1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        159 | PA      | $160.60        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 09/15/2042#AA5648                                             | CUSIP: 36178DHZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13350 | PA      | $12298.29      | 0.00%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2042#748353                                             | CUSIP: 3620C4MA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48907 | PA      | $47480.32      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #733812                                                      | CUSIP: 3620AMGV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1426937 | PA      | $1347342.88    | 0.08%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #732281                                                      | CUSIP: 3620AKRA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29351 | PA      | $29322.56      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 10/28 #481578                                                     | CUSIP: 36209T6P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4272 | PA      | $4404.56       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 09/15/2035#636591                                             | CUSIP: 36291SF88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10369 | PA      | $10542.12      | 0.00%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 11/01/2055 #TBA                                                 | CUSIP: 21H0626B8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22825000 | PA      | $23534154.49   | 1.32%             | 2055-11-01      | Fixed         | 0.07%                 | 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        |    1591228 | PA      | $1632499.56    | 0.09%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/29 #491154                                                      | CUSIP: 36210FTK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        992 | PA      | $1012.59       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/33 #554116                                                      | CUSIP: 36213GSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22018 | PA      | $22534.23      | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 07/15/2043#AC0663                                             | CUSIP: 36178YWY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9511 | PA      | $8936.88       | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 9/37 #004026                                                   | CUSIP: 36202EPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3496 | PA      | $3554.79       | 0.00%             | 2037-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 03/15/2042#794583                                             | CUSIP: 36177PCV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     954403 | PA      | $903143.46     | 0.05%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #730156                                                     | CUSIP: 3620AHE58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92403 | PA      | $92344.19      | 0.01%             | 2039-12-15      | 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        |    3435723 | PA      | $3497120.35    | 0.20%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 04/20/2040#728882                                              | CUSIP: 3620AFXK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126848 | PA      | $131897.94     | 0.01%             | 2040-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 01/15/2045#AK6719                                             | CUSIP: 36183QPC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196252 | PA      | $184954.34     | 0.01%             | 2045-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/30 #493505                                                      | CUSIP: 36210JGN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3777 | PA      | $3937.81       | 0.00%             | 2030-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 12/20/2054#787773                                                 | CUSIP: 3622ADQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7940367 | PA      | $7941061.16    | 0.45%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/32 #593193                                                      | CUSIP: 36201T7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        599 | PA      | $604.50        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 5/39 #004445                                                   | CUSIP: 36202E5E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1021 | PA      | $997.95        | 0.00%             | 2039-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 05/20/2055#MB0368                                               | CUSIP: 3618N5MS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   22902293 | PA      | $23632960.93   | 1.33%             | 2055-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/40 #737085                                                      | CUSIP: 3620AQ2S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     199838 | PA      | $194543.10     | 0.01%             | 2040-08-15      | Fixed         | 0.04%                 | 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        |     776443 | PA      | $717219.69     | 0.04%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/40 #733315                                                      | CUSIP: 3620ALVG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     277290 | PA      | $276934.38     | 0.02%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2012-48 FA TSFR1M+46.448 4/42                                            | CUSIP: 38375CRD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     211891 | PA      | $209862.94     | 0.01%             | 2042-04-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #768137                                                      | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73613 | PA      | $71510.06      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 12/15/2042#614307                                             | CUSIP: 36290QNY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     422075 | PA      | $387985.98     | 0.02%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 3/28 #002562                                                      | CUSIP: 36202CZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        524 | PA      | $532.95        | 0.00%             | 2028-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2015-14 IO 5% 10/20/2044                      | CUSIP: 38379H6V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    5433478 | PA      | $1102516.24    | 0.06%             | 2044-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.50% 9/41 #005175                                                   | CUSIP: 36202FXC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18679 | PA      | $18662.53      | 0.00%             | 2041-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/26 #426165                                                      | CUSIP: 36207AMN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        208 | PA      | $207.97        | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #412362                                                     | CUSIP: 36206JB78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4288 | PA      | $4351.08       | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FHR 2204 N 7.5% 12/29                                                        | CUSIP: 3133TMXS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     214394 | PA      | $221003.06     | 0.01%             | 2029-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 3/30 #781145                                                      | CUSIP: 36225BHW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1750 | PA      | $1798.49       | 0.00%             | 2030-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/31 #554247                                                      | CUSIP: 36213GWG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4759 | PA      | $4921.93       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/35 #544115                                                      | CUSIP: 36212UN80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3323 | PA      | $3372.73       | 0.00%             | 2035-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/32 #576461                                                      | CUSIP: 36200YMJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4729 | PA      | $4878.13       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 08/20/2031#MA3850                                               | CUSIP: 36179SH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174485 | PA      | $170522.31     | 0.01%             | 2031-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 04/20/2047#784303                                                 | CUSIP: 3622A2X80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2988630 | PA      | $2860698.33    | 0.16%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #484269                                                      | CUSIP: 36209W6E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        951 | PA      | $961.22        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 08/15/2043#AF3826                                             | CUSIP: 36181KHB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131836 | PA      | $121364.22     | 0.01%             | 2043-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/29 #487413                                                      | CUSIP: 36210BN68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        911 | PA      | $930.11        | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2006-50 JC 5% 6/36                                                       | CUSIP: 38374NSL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      36651 | PA      | $36589.58      | 0.00%             | 2036-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #513653                                                      | CUSIP: 36211HTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.72         | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 11/28 #477544                                                     | CUSIP: 36209PP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20227 | PA      | $20855.64      | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #445941                                                      | CUSIP: 36207YLW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7276 | PA      | $7393.62       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 03/15/2045#AL3862                                             | CUSIP: 36184AJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66838 | PA      | $60725.15      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #433904                                                      | CUSIP: 36207KAD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $36.04         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/26 #416576                                                      | CUSIP: 36206NXD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.17          | 0.00%             | 2026-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 07/20/2040#742144                                              | CUSIP: 3620AWP53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176649 | PA      | $183725.79     | 0.01%             | 2040-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 5/29 #002753                                                   | CUSIP: 36202DBW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51154 | PA      | $52085.50      | 0.00%             | 2029-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #779846                                                     | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52389 | PA      | $50940.37      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #503975                                                      | CUSIP: 36210V2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1549 | PA      | $1599.06       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 09/20/2051#MA7589                                               | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16004317 | PA      | $13864942.78   | 0.78%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 12/41 #770117                                                     | CUSIP: 36176MK69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179939 | PA      | $169780.81     | 0.01%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 10/20/2042#MA0460                                               | CUSIP: 36179MQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1041140 | PA      | $936549.87     | 0.05%             | 2042-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/30 #515360                                                      | CUSIP: 36211KQM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14656 | PA      | $15062.83      | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/27 #780499                                                      | CUSIP: 36225ARU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4531 | PA      | $4547.04       | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.5% 11/20/2054#MB0024                                               | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32850302 | PA      | $32111603.80   | 1.81%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #486467                                                      | CUSIP: 36210AMQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1194 | PA      | $1213.98       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/27 #460983                                                     | CUSIP: 36208UCU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        181 | PA      | $184.67        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #705923                                                      | CUSIP: 36297AG80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     261605 | PA      | $253588.13     | 0.01%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/30 #532719                                                      | CUSIP: 36212FYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        174 | PA      | $179.31        | 0.00%             | 2030-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2045#AK8150                                             | CUSIP: 36183SBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     287979 | PA      | $277510.59     | 0.02%             | 2045-01-15      | 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        |        458 | PA      | $464.82        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 10/28 #002658                                                   | CUSIP: 36202C5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1175 | PA      | $1211.87       | 0.00%             | 2028-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AE1857                                             | CUSIP: 36180UB24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     630648 | PA      | $579090.15     | 0.03%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 11/20/2046#AS8118                                              | CUSIP: 36193UAT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2728958 | PA      | $2577275.66    | 0.14%             | 2046-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 12/27 #002522                                                  | CUSIP: 36202CYT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        933 | PA      | $958.31        | 0.00%             | 2027-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.25% 07/46#AS8108                                                   | CUSIP: 36193UAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     119620 | PA      | $109963.11     | 0.01%             | 2046-07-20      | Fixed         | 0.03%                 | 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        |     694811 | PA      | $695790.73     | 0.04%             | 2061-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/31 #550984                                                     | CUSIP: 36213DCV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2015 | PA      | $2108.90       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 10/15/2040#747834                                             | CUSIP: 3620C3Y71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51922 | PA      | $50430.99      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/26 #340854                                                      | CUSIP: 36224WTK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1064 | PA      | $1063.61       | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/32 #587023                                                      | CUSIP: 36201MD41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3832 | PA      | $4025.49       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3% 12/01/2055 #TBA                                                 | CUSIP: 01F0306C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -17100000 | PA      | $-15146191.62  | -0.85%            | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                     | UST NOTES 4.875% 10/31/2030                                                  | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1400000 | PA      | $1473226.57    | 0.08%             | 2030-10-31      | Fixed         | 0.05%                 | 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        |       9128 | PA      | $8901.61       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 03/20/2043#AD8884                                               | CUSIP: 36180M2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1102589 | PA      | $1043470.63    | 0.06%             | 2043-03-20      | Fixed         | 0.04%                 | 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        |      82350 | PA      | $83772.25      | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2012-103 IL 3% 8/20/27                                                   | CUSIP: 38375GVA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1569284 | PA      | $24982.84      | 0.00%             | 2027-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNMA 2016-17A 3% 2/46                                                        | CUSIP: 38379T5X3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   10494965 | PA      | $9673256.51    | 0.54%             | 2046-02-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 12/34 #003651                                                     | CUSIP: 36202EBU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      59739 | PA      | $60627.53      | 0.00%             | 2034-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 4.08% 6/33 #1B0891                                                  | CUSIP: 31336SRL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62583 | PA      | $64350.60      | 0.00%             | 2033-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #469624                                                     | CUSIP: 36209EVR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8869 | PA      | $9027.53       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #768127                                                      | CUSIP: 36176KD87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23242 | PA      | $22620.15      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 04/40#728862                                                   | CUSIP: 3620AFWX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63426 | PA      | $65451.15      | 0.00%             | 2040-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #467670                                                      | CUSIP: 36209CQX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2040 | PA      | $2067.50       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 06/15/2033#572049                                             | CUSIP: 36200TQA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3142 | PA      | $3188.34       | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #769606                                                     | CUSIP: 36176LYB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11506 | PA      | $11149.74      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.75% MAC 12/17/32                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    6018000 | NC      | $-4531.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 07/41#738540                                                    | CUSIP: 3620ASPZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103291 | PA      | $100408.82     | 0.01%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/27 #458709                                                     | CUSIP: 36208RR63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        414 | PA      | $418.63        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-47 ZY 6% 6/35                                                       | CUSIP: 38374LQV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3682363 | PA      | $3824672.05    | 0.22%             | 2035-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 4/28 #002576                                                      | CUSIP: 36202C2H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1556 | PA      | $1583.73       | 0.00%             | 2028-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.5% 03/20/2054#787292                                               | CUSIP: 3622AC7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7234633 | PA      | $7393001.65    | 0.42%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/39 #702873                                                      | CUSIP: 36296V2E7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53980 | PA      | $52507.53      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 8/29 #513254                                                   | CUSIP: 36211HE31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29546 | PA      | $29770.17      | 0.00%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/29 #503025                                                      | CUSIP: 36210UYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        858 | PA      | $863.98        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 1/40 #711074                                                      | CUSIP: 36297F6K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2633731 | PA      | $2631376.54    | 0.15%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/33 #613945                                                     | CUSIP: 36290QBN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1505 | PA      | $1565.78       | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 1/42 #792907                                                      | CUSIP: 36177MGR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1262561 | PA      | $1194750.47    | 0.07%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #604580                                                      | CUSIP: 36200MUD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        627 | PA      | $635.17        | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #458836                                                      | CUSIP: 36208RV50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        258 | PA      | $261.09        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | 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        |     331133 | PA      | $330941.65     | 0.02%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #449506                                                      | CUSIP: 36208FKT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        667 | PA      | $675.95        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #471992                                                      | CUSIP: 36209HKD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        965 | PA      | $981.24        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/28 #471627                                                     | CUSIP: 36209G4L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        132 | PA      | $135.78        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 03/15/2045#AL6733                                             | CUSIP: 36184DPS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145194 | PA      | $141106.06     | 0.01%             | 2045-03-15      | Fixed         | 0.04%                 | 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        |    1089615 | PA      | $1108757.18    | 0.06%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 5/28 #002591                                                   | CUSIP: 36202C2Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16778 | PA      | $17240.42      | 0.00%             | 2028-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/41 #759125                                                      | CUSIP: 36230UD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     205189 | PA      | $199462.40     | 0.01%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 5/42 #766751                                                      | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     823358 | PA      | $779136.32     | 0.04%             | 2042-05-15      | Fixed         | 0.04%                 | 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        |      28779 | PA      | $29805.96      | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5.5% 08/20/2033                               | CUSIP: 38374BRW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1676049 | PA      | $1706516.84    | 0.10%             | 2033-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/26 #398477                                                      | CUSIP: 36205RUA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $34.37         | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 09/20/2040#748801                                              | CUSIP: 3620C43J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     212968 | PA      | $221316.10     | 0.01%             | 2040-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #454044                                                      | CUSIP: 36208LLZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        478 | PA      | $485.13        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/26 #438999                                                      | CUSIP: 36207QUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $52.67         | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 7/30 #469233                                                   | CUSIP: 36209EHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90639 | PA      | $91652.20      | 0.01%             | 2030-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #456968                                                      | CUSIP: 36208PTZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        888 | PA      | $900.71        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #502123                                                      | CUSIP: 36210TYU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1772 | PA      | $1830.56       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #436262                                                      | CUSIP: 36207MTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        254 | PA      | $257.20        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/28 #780936                                                     | CUSIP: 36225BBD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        275 | PA      | $279.17        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/29 #487112                                                      | CUSIP: 36210BDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        457 | PA      | $461.86        | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 2/28 #002546                                                      | CUSIP: 36202CZK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         93 | PA      | $94.50         | 0.00%             | 2028-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 01/46#AK8798                                                   | CUSIP: 36183SX30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1740540 | PA      | $1646515.87    | 0.09%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/39 #711469                                                     | CUSIP: 36297GMS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1789643 | PA      | $1741295.34    | 0.10%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 7/28 #002616                                                   | CUSIP: 36202C3Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        898 | PA      | $922.70        | 0.00%             | 2028-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 3/26 #407972                                                      | CUSIP: 36206DFM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        208 | PA      | $208.61        | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 03/20/2047#MA4319                                               | CUSIP: 36179SYQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6251538 | PA      | $5498860.42    | 0.31%             | 2047-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 5.49% 9/34 #849925                                                  | CUSIP: 31408FHA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18855 | PA      | $19324.65      | 0.00%             | 2034-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/39 #702999                                                      | CUSIP: 36296V7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     597750 | PA      | $596749.94     | 0.03%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.75% 04/46#AS8099                                                   | CUSIP: 36193T7L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     477671 | PA      | $451866.97     | 0.03%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #738889                                                     | CUSIP: 3620AS2W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     862096 | PA      | $836949.01     | 0.05%             | 2041-10-15      | Fixed         | 0.04%                 | 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        |     159854 | PA      | $151920.89     | 0.01%             | 2041-11-20      | 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        |     736888 | PA      | $652334.91     | 0.04%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.45% 6/32 #586009                                                      | CUSIP: 36201LAJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32554 | PA      | $34131.29      | 0.00%             | 2032-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/25 #410853                                                     | CUSIP: 36206GMA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.86          | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 1/40 #725848                                                      | CUSIP: 3620ACL51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     284522 | PA      | $284294.61     | 0.02%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 11/30 #002998                                                  | CUSIP: 36202DKK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56117 | PA      | $58092.66      | 0.00%             | 2030-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 10/49#BQ0779                                                    | CUSIP: 3617LJ2L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9654148 | PA      | $8756684.25    | 0.49%             | 2049-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AB8391                                             | CUSIP: 36178VKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1859618 | PA      | $1667880.36    | 0.09%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 03/15/2038#758865                                               | CUSIP: 36230TZ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     921920 | PA      | $863362.17     | 0.05%             | 2038-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 4.625% 05/15/2054                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6430000 | PA      | $6377253.94    | 0.36%             | 2054-05-15      | Fixed         | 0.05%                 | 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        |    2492717 | PA      | $2499367.37    | 0.14%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 05/15/2042#779222                                             | CUSIP: 36176XPF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1525391 | PA      | $1442400.33    | 0.08%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2013-182 IQ MTGE 4.5% 12/16/2043                                         | CUSIP: 38378PGF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2179034 | PA      | $387068.52     | 0.02%             | 2043-12-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/29 #487383                                                      | CUSIP: 36210BM85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6576 | PA      | $6714.17       | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2044#AJ9708                                               | CUSIP: 36183FYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1055557 | PA      | $991514.94     | 0.06%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 5/42 #779244                                                      | CUSIP: 36176XP52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123045 | PA      | $119899.30     | 0.01%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #481350                                                      | CUSIP: 36209TWK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        744 | PA      | $754.08        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | 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        |       4121 | PA      | $4197.75       | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 10/40#737523                                                    | CUSIP: 3620ARLC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     388421 | PA      | $378078.39     | 0.02%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 10/20/2044#AK0798                                               | CUSIP: 36183H3F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1760581 | PA      | $1656395.45    | 0.09%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 7/39 #678635                                                      | CUSIP: 36295R4U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80827 | PA      | $80692.04      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.5% 02/15/2038#683957                                             | CUSIP: 36295XZW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2300 | PA      | $2369.55       | 0.00%             | 2038-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/39 #717153                                                      | CUSIP: 3620A2WN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     790757 | PA      | $790250.97     | 0.04%             | 2039-05-15      | 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        |       1341 | PA      | $1340.27       | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.75% MAC 12/17/29                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       5000 | NC      | $-9.10         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/31 #554732                                                      | CUSIP: 36213HHH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $55.80         | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 7/31 #003108                                                   | CUSIP: 36202DNZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     433111 | PA      | $450104.02     | 0.03%             | 2031-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/15/2042#754537                                               | CUSIP: 36230PBE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     311551 | PA      | $302556.46     | 0.02%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 2/39 #707545                                                      | CUSIP: 36297CBN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93869 | PA      | $96800.40      | 0.01%             | 2039-02-15      | Fixed         | 0.06%                 | 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        |       2985 | PA      | $3092.86       | 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        |   16070000 | PA      | $16050540.19   | 0.90%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2% 11/01/2055 #TBA                                                 | CUSIP: 01F0206B0<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -30600000 | PA      | $-24817077.36  | -1.40%            | 2055-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 12/20/2054#787741                                               | CUSIP: 3622ADP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7256067 | PA      | $7430777.08    | 0.42%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/30 #540045                                                     | CUSIP: 36212P5E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4819 | PA      | $4991.20       | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 10/34 #572134                                                     | CUSIP: 36200TSX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63664 | PA      | $65331.79      | 0.00%             | 2034-10-15      | Fixed         | 0.06%                 | 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        |    4025787 | PA      | $3926598.02    | 0.22%             | 2041-01-20      | Fixed         | 0.04%                 | 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        |      46290 | PA      | $47354.90      | 0.00%             | 2034-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/28 #476246                                                     | CUSIP: 36209NBP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5811 | PA      | $5907.61       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/26 #373480                                                      | CUSIP: 36204L2M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        153 | PA      | $152.55        | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 07/20/2043#MA1157                                               | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11385 | PA      | $10778.50      | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5% 10/20/2044                                 | CUSIP: 38379GTZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4011555 | PA      | $837553.30     | 0.05%             | 2044-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 8/31 #003121                                                   | CUSIP: 36202DPE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152981 | PA      | $158983.63     | 0.01%             | 2031-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/31 #448352                                                      | CUSIP: 36208EBV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2009 | PA      | $2073.24       | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 01/20/2050#BR8989                                                 | CUSIP: 3617M77A0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     587941 | PA      | $560568.37     | 0.03%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.15% 02/15/2036#652932                                            | CUSIP: 36292MLM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82059 | PA      | $83563.45      | 0.00%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #722096                                                     | CUSIP: 3620A8GD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     779618 | PA      | $778895.97     | 0.04%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 5/41 #705915                                                      | CUSIP: 36297AGY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     229798 | PA      | $222856.90     | 0.01%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 02/20/2043#MA0781                                               | CUSIP: 36179M2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339134 | PA      | $304599.23     | 0.02%             | 2043-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #467775                                                      | CUSIP: 36209CT89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        685 | PA      | $692.60        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | 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        |     225392 | PA      | $218817.11     | 0.01%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 12/20/2039#729151                                              | CUSIP: 3620AGBU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79859 | PA      | $82936.84      | 0.00%             | 2039-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/26 #279100                                                     | CUSIP: 36220H7M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        190 | PA      | $190.87        | 0.00%             | 2026-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/32 #586520                                                     | CUSIP: 36201LSH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39830 | PA      | $41352.16      | 0.00%             | 2032-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #772031                                                      | CUSIP: 36176PPQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4665 | PA      | $4529.46       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 02/20/2046#AK8801                                                 | CUSIP: 36183SX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     690954 | PA      | $661808.52     | 0.04%             | 2046-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #437536                                                      | CUSIP: 36207PBD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        111 | PA      | $111.53        | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 04/15/2045#AM0745                                             | CUSIP: 36184KZJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     303952 | PA      | $294117.46     | 0.02%             | 2045-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 10/32 #583368                                                     | CUSIP: 36201HCD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86209 | PA      | $87956.17      | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #436261                                                      | CUSIP: 36207MTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1226 | PA      | $1236.03       | 0.00%             | 2028-03-15      | 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        |    1162624 | PA      | $1161094.08    | 0.07%             | 2060-05-20      | Variable      | 0.05%                 | 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        |     905788 | PA      | $866732.23     | 0.05%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/32 #556310                                                      | CUSIP: 36213KAK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1566 | PA      | $1626.68       | 0.00%             | 2032-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #462218                                                      | CUSIP: 36208VPB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4178 | PA      | $4240.87       | 0.00%             | 2028-08-15      | 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        |      43329 | PA      | $44509.68      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.5% 8/31 #003122                                                    | CUSIP: 36202DPF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55896 | PA      | $58410.36      | 0.00%             | 2031-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 6/36#656734                                                  | CUSIP: 36294QSX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     241502 | PA      | $245250.61     | 0.01%             | 2036-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #764871                                                      | CUSIP: 36176FQY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33972 | PA      | $33071.98      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/33 #615944                                                      | CUSIP: 36290SHV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126502 | PA      | $128316.84     | 0.01%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #721063                                                     | CUSIP: 3620A7B87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100431 | PA      | $100418.58     | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | 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        |     224087 | PA      | $236311.30     | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | 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        |     801832 | PA      | $778084.46     | 0.04%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 03/01/2055#CC0116                                               | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1823318 | PA      | $1895822.40    | 0.11%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 01/15/2043#AA6006                                               | CUSIP: 36178DU74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125812 | PA      | $115734.68     | 0.01%             | 2043-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 8/32 #583311                                                      | CUSIP: 36201HAL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45718 | PA      | $47584.56      | 0.00%             | 2032-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/26 #436582                                                     | CUSIP: 36207M6T8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         70 | PA      | $70.11         | 0.00%             | 2026-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #431235                                                      | CUSIP: 36207GBC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        420 | PA      | $421.34        | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/39 #724688                                                     | CUSIP: 3620ABCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     285675 | PA      | $277738.47     | 0.02%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #465314                                                      | CUSIP: 36208Y3X5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        790 | PA      | $800.49        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 11/30 #545451                                                  | CUSIP: 36212V5L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38744 | PA      | $39245.47      | 0.00%             | 2030-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 02/20/2044#MA1677                                               | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4100 | PA      | $3872.57       | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/33 #601476                                                      | CUSIP: 36200HFR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23489 | PA      | $24386.11      | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 11/46#MA4126                                                      | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     924716 | PA      | $843530.22     | 0.05%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/36 #638718                                                     | CUSIP: 36291USF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50604 | PA      | $52669.99      | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | 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        |    1966515 | PA      | $1978299.16    | 0.11%             | 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        |     387451 | PA      | $385388.30     | 0.02%             | 2047-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES     | FNS 331 12 IO 6.5 2/33                                                       | CUSIP: 3136FAXR6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      51055 | PA      | $7012.01       | 0.00%             | 2033-02-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/32 #781419                                                      | CUSIP: 36225BSG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23492 | PA      | $24522.70      | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #457741                                                      | CUSIP: 36208QP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1099 | PA      | $1112.80       | 0.00%             | 2028-04-15      | 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        |       2447 | PA      | $2384.11       | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #427749                                                     | CUSIP: 36207CEW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        194 | PA      | $197.28        | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 05/15/2034#781746                                             | CUSIP: 36225B5F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     497066 | PA      | $504261.42     | 0.03%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 07/01/2054#CB8867                                             | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     604108 | PA      | $637299.25     | 0.04%             | 2054-07-01      | Fixed         | 0.07%                 | 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        |    1024357 | PA      | $980188.20     | 0.06%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 08/15/2040#733271                                             | CUSIP: 3620ALT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32409 | PA      | $31554.95      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #583622                                                      | CUSIP: 36201HLB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        989 | PA      | $1027.16       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #462559                                                      | CUSIP: 36208VZY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5669 | PA      | $5723.88       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.0% 02/20/2043#AD1744                                               | CUSIP: 36180C5D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2187483 | PA      | $2019854.32    | 0.11%             | 2043-02-20      | Fixed         | 0.03%                 | 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        |     278554 | PA      | $270638.78     | 0.02%             | 2041-10-15      | Fixed         | 0.04%                 | 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        |        606 | PA      | $619.63        | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/34 #574567                                                      | CUSIP: 36200WJL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33519 | PA      | $34334.69      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2043#AE0545                                             | CUSIP: 36180STA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1609413 | PA      | $1481572.32    | 0.08%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 09/15/2041#770662                                               | CUSIP: 36176M5X7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2435393 | PA      | $2365085.55    | 0.13%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4% 7/41#769090                                                          | CUSIP: 36176LF75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45361 | PA      | $44038.23      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 5/28 #474632                                                      | CUSIP: 36209LHH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1951 | PA      | $2011.15       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/39 #704697                                                      | CUSIP: 36296X3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     247463 | PA      | $247257.44     | 0.01%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 12/29 #526603                                                  | CUSIP: 36211YAC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     318010 | PA      | $321093.20     | 0.02%             | 2029-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/39 #724217                                                      | CUSIP: 3620AASE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12114 | PA      | $12107.78      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 05/15/2036#652573                                             | CUSIP: 36292L6J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3113 | PA      | $3140.93       | 0.00%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #780773                                                      | CUSIP: 36225A2E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        217 | PA      | $218.84        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 10/33 #615667                                                     | CUSIP: 36290R6C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     560855 | PA      | $583318.12     | 0.03%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 1/40 #725850                                                      | CUSIP: 3620ACL77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68038 | PA      | $67951.24      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.25% 01/20/2046#AK8799                                              | CUSIP: 36183SX48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     276880 | PA      | $268824.58     | 0.02%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/41 #733451                                                      | CUSIP: 3620ALZQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17103 | PA      | $17098.36      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/26 #421710                                                      | CUSIP: 36206UN39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         96 | PA      | $96.30         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.50% 2/31 #529917                                                      | CUSIP: 36212CVJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23579 | PA      | $24525.67      | 0.00%             | 2031-02-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 06-13 DS -1.5XTSFR1M+1092.828 3/36                                       | CUSIP: 38374MB40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1355208 | PA      | $1390782.74    | 0.08%             | 2036-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/29 #502958                                                      | CUSIP: 36210UWT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2265 | PA      | $2332.90       | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2042#AA7854                                             | CUSIP: 36178FWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65257 | PA      | $63163.39      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.625% 05/20/2050#BQ7080                                             | CUSIP: 3617LR2M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2765347 | PA      | $2400352.85    | 0.13%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AC6043                                             | CUSIP: 36179FWC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     254904 | PA      | $235259.92     | 0.01%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #432756                                                      | CUSIP: 36207HWR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $83.63         | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #735356                                                      | CUSIP: 3620AN5R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109391 | PA      | $109292.78     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/31 #529896                                                      | CUSIP: 36212CUV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52721 | PA      | $54897.69      | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 2/42 #740801                                                      | CUSIP: 3620AVAA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1187996 | PA      | $1120927.66    | 0.06%             | 2042-02-15      | Fixed         | 0.04%                 | 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        |     868425 | PA      | $867787.43     | 0.05%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/35 #781905                                                      | CUSIP: 36241KDJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63508 | PA      | $64478.61      | 0.00%             | 2035-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 3/35 #618224                                                      | CUSIP: 36290UYV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33241 | PA      | $34132.87      | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 05/15/2043#AD5638                                             | CUSIP: 36180HHP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154417 | PA      | $149228.65     | 0.01%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/30 #781199                                                      | CUSIP: 36225BKL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8005 | PA      | $8308.72       | 0.00%             | 2030-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 09/15/2040#733312                                               | CUSIP: 3620ALVD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127452 | PA      | $124008.87     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/26 #780399                                                      | CUSIP: 36225ANQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        288 | PA      | $288.94        | 0.00%             | 2026-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 5/35 #003710                                                      | CUSIP: 36202EDP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79433 | PA      | $80625.81      | 0.00%             | 2035-05-20      | Fixed         | 0.05%                 | 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        |     472553 | PA      | $472310.15     | 0.03%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #436199                                                      | CUSIP: 36207MRU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        362 | PA      | $365.69        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #426720                                                     | CUSIP: 36207BAV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        787 | PA      | $803.08        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 12/27 #002520                                                     | CUSIP: 36202CYR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        612 | PA      | $623.05        | 0.00%             | 2027-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 2/29 #002714                                                    | CUSIP: 36202DAP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1215 | PA      | $1253.00       | 0.00%             | 2029-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/28 #780990                                                     | CUSIP: 36225BC30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        241 | PA      | $246.29        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 11/20/2039#729048                                              | CUSIP: 3620AF5H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     228179 | PA      | $237102.96     | 0.01%             | 2039-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 3/40 #004656                                                   | CUSIP: 36202FE51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     394869 | PA      | $385434.34     | 0.02%             | 2040-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/33 #562286                                                     | CUSIP: 36213RUK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1559 | PA      | $1620.31       | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | 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        |      24936 | PA      | $25705.48      | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | 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        |        227 | PA      | $232.58        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 08/20/2045#AK8792                                              | CUSIP: 36183SXV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1403399 | PA      | $1327775.77    | 0.07%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 05/20/2042#MA0087                                               | CUSIP: 36179MCY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78486 | PA      | $72961.23      | 0.00%             | 2042-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 3/30 #526987                                                   | CUSIP: 36211YNC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25070 | PA      | $25320.30      | 0.00%             | 2030-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #465899                                                      | CUSIP: 36209ARU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        543 | PA      | $549.80        | 0.00%             | 2028-01-15      | 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        |     671322 | PA      | $696929.82     | 0.04%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/26 #417389                                                      | CUSIP: 36206PUN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.49         | 0.00%             | 2026-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 6.50% 8/32 #781609                                                   | CUSIP: 36225BYE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2890 | PA      | $3003.78       | 0.00%             | 2032-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 04/20/2053#MA8799                                               | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2166780 | PA      | $2127536.11    | 0.12%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 5/30 #479341                                                      | CUSIP: 36209RP23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1188 | PA      | $1225.19       | 0.00%             | 2030-05-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480424                                                      | CUSIP: 36209SVR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        416 | PA      | $423.48        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 2/36 #003817                                                   | CUSIP: 36202EG29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46164 | PA      | $46896.07      | 0.00%             | 2036-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 7/31 #548512                                                      | CUSIP: 36213AKZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68612 | PA      | $70961.77      | 0.00%             | 2031-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/26 #423863                                                      | CUSIP: 36206WZ40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1029 | PA      | $1031.41       | 0.00%             | 2026-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 4/29 #501737                                                   | CUSIP: 36210TLS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71476 | PA      | $72104.74      | 0.00%             | 2029-04-20      | Fixed         | 0.05%                 | 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        |     592774 | PA      | $592993.27     | 0.03%             | 2061-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #569424                                                      | CUSIP: 36200QSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21519 | PA      | $22364.51      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 3/34 #003529                                                      | CUSIP: 36202D4N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1946 | PA      | $1972.62       | 0.00%             | 2034-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/26 #417390                                                      | CUSIP: 36206PUP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $6.80          | 0.00%             | 2026-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #445159                                                      | CUSIP: 36207XQL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        276 | PA      | $275.57        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 1/40 #725849                                                      | CUSIP: 3620ACL69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     183868 | PA      | $183650.29     | 0.01%             | 2040-01-15      | Fixed         | 0.04%                 | 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        |      63283 | PA      | $65772.39      | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 5/29 #493929                                                      | CUSIP: 36210JVW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3117 | PA      | $3213.83       | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #433571                                                      | CUSIP: 36207JT45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        432 | PA      | $436.17        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #377243                                                      | CUSIP: 36204RBL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        115 | PA      | $115.16        | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #615891                                                      | CUSIP: 36290SF89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1021 | PA      | $1034.59       | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 12/15/2041#793259                                             | CUSIP: 36177MTR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73822 | PA      | $71624.91      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/28 #457089                                                      | CUSIP: 36208PXS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1542 | PA      | $1590.38       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 12/29 #002850                                                     | CUSIP: 36202DEX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13855 | PA      | $14165.11      | 0.00%             | 2029-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/34 #574764                                                      | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        213 | PA      | $224.89        | 0.00%             | 2034-09-15      | 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        |    4969947 | PA      | $5016616.16    | 0.28%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #443694                                                      | CUSIP: 36207V3B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        327 | PA      | $331.92        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2045#670007                                             | CUSIP: 36295GKU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     437022 | PA      | $398917.54     | 0.02%             | 2045-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #471977                                                      | CUSIP: 36209HJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4130 | PA      | $4199.15       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/27 #436800                                                      | CUSIP: 36207NGH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        129 | PA      | $129.70        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 03/20/2050#MA6540                                               | CUSIP: 36179VHR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17327740 | PA      | $15043947.68   | 0.85%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 06/15/2043#740830                                             | CUSIP: 3620AVA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107195 | PA      | $100907.78     | 0.01%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #520075                                                     | CUSIP: 36211QXC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        477 | PA      | $492.75        | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | 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        |     419447 | PA      | $419152.63     | 0.02%             | 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        |      21537 | PA      | $21443.57      | 0.00%             | 2063-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 07/15/2036#656870                                            | CUSIP: 36294QW72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99291 | PA      | $100899.81     | 0.01%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #454571                                                      | CUSIP: 36208L6G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1168 | PA      | $1186.35       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/39 #706778                                                     | CUSIP: 36297BFT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     475479 | PA      | $462880.52     | 0.03%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 05/15/2043#AD9105                                             | CUSIP: 36180NDJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282304 | PA      | $273985.28     | 0.02%             | 2043-05-15      | 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        |       4887 | PA      | $4959.77       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #762162                                                      | CUSIP: 36176CQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1297 | PA      | $1294.50       | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 8/29 #002796                                                   | CUSIP: 36202DC90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22111 | PA      | $22720.41      | 0.00%             | 2029-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/41 #748278                                                     | CUSIP: 3620C4JX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67703 | PA      | $65708.32      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 7/39 #698386                                                      | CUSIP: 36296Q2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69600 | PA      | $69555.18      | 0.00%             | 2039-07-15      | 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 5175 CB 2.5% 04/25/2050                       | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    4672519 | PA      | $4135306.04    | 0.23%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 11/28 #416628                                                     | CUSIP: 36206NYZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9082 | PA      | $9364.21       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/33 #611489                                                      | CUSIP: 36202WKA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10682 | PA      | $10823.94      | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 1/39 #698037                                                      | CUSIP: 36296QPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11820 | PA      | $12543.04      | 0.00%             | 2039-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #436067                                                      | CUSIP: 36207MMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1289 | PA      | $1299.50       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 7/40 #004745                                                   | CUSIP: 36202FHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     941254 | PA      | $918303.54     | 0.05%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #482668                                                      | CUSIP: 36209VFH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1263 | PA      | $1277.60       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 11/33 #613931                                                     | CUSIP: 36290QA88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4058 | PA      | $4226.16       | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 03/15/2035#631185                                             | CUSIP: 36291LF26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48604 | PA      | $49387.50      | 0.00%             | 2035-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #722095                                                     | CUSIP: 3620A8GC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     588566 | PA      | $588020.52     | 0.03%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #604514                                                      | CUSIP: 36200MSB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2315 | PA      | $2343.17       | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/39 #714174                                                      | CUSIP: 36297KMX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54459 | PA      | $53155.61      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #748670                                                     | CUSIP: 3620C4W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9610 | PA      | $9355.29       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.50% 1/31 #529816                                                      | CUSIP: 36212CSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29320 | PA      | $30544.20      | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.87% 9/39 #721174                                                      | CUSIP: 3620A7FP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     623829 | PA      | $629608.68     | 0.04%             | 2039-09-15      | Fixed         | 0.05%                 | 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        |      56414 | PA      | $57927.49      | 0.00%             | 2035-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/27 #439588                                                      | CUSIP: 36207RJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2162 | PA      | $2192.28       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 07/20/2046#MA3802                                                 | CUSIP: 36179SGK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6745207 | PA      | $6157225.90    | 0.35%             | 2046-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 11/30 #545534                                                  | CUSIP: 36212WBB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26992 | PA      | $27398.24      | 0.00%             | 2030-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 08/15/2033#603089                                             | CUSIP: 36200J7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75891 | PA      | $76929.54      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 11/15/2042#614309                                             | CUSIP: 36290QN27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     616585 | PA      | $597511.36     | 0.03%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/36 #651859                                                      | CUSIP: 36292LE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42153 | PA      | $42851.81      | 0.00%             | 2036-06-15      | 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        |    5185429 | PA      | $4453377.50    | 0.25%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #456341                                                      | CUSIP: 36208N5A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8366 | PA      | $8482.46       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 11/01/2055 #TBA                                                   | CUSIP: 21H0606B2<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -145100000 | PA      | $-147665904.87 | -8.30%            | 2055-11-01      | Fixed         | 0.06%                 | 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        |     563519 | PA      | $563510.70     | 0.03%             | 2060-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.25% 04/15/2036#653227                                            | CUSIP: 36292MVU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38015 | PA      | $38809.70      | 0.00%             | 2036-04-15      | Fixed         | 0.05%                 | 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        |      35251 | PA      | $36333.59      | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/39 #710434                                                      | CUSIP: 36297FHK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     477345 | PA      | $466191.95     | 0.03%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #509403                                                      | CUSIP: 36211C3L4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5459 | PA      | $5611.18       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 11/29 #522377                                                  | CUSIP: 36211TJW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208343 | PA      | $210300.27     | 0.01%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/32 #582197                                                      | CUSIP: 36201FX28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9608 | PA      | $9951.04       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/40 #724707                                                      | CUSIP: 3620ABDL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19100 | PA      | $18609.49      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 4/30 #518228                                                      | CUSIP: 36211NVV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1113 | PA      | $1148.05       | 0.00%             | 2030-04-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 07/15/2042#AA5452                                             | CUSIP: 36178DBV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     924582 | PA      | $872178.01     | 0.05%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #486531                                                      | CUSIP: 36210APQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2373 | PA      | $2410.31       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 5/28 #002590                                                    | CUSIP: 36202C2X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $15.30         | 0.00%             | 2028-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #449544                                                      | CUSIP: 36208FLZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        196 | PA      | $198.79        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US ULTRA BOND CBT FUT DEC25 WNZ5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -15 | NC      | $14131.95      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 10/28 #002657                                                     | CUSIP: 36202C5S8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        125 | PA      | $127.52        | 0.00%             | 2028-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 12/29 #002852                                                  | CUSIP: 36202DEZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2677 | PA      | $2754.35       | 0.00%             | 2029-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #474811                                                     | CUSIP: 36209LN44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        617 | PA      | $622.78        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.45% 02/15/2037#662965                                            | CUSIP: 36294XQS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109206 | PA      | $112252.26     | 0.01%             | 2037-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 01/20/2048#784850                                               | CUSIP: 3622AAH31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1156812 | PA      | $1086613.57    | 0.06%             | 2048-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/40 #691685                                                      | CUSIP: 36296HNA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     996510 | PA      | $994530.71     | 0.06%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/31 #530480                                                      | CUSIP: 36212DJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3923 | PA      | $4041.57       | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/27 #449180                                                     | CUSIP: 36208E6R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        477 | PA      | $482.66        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #416192                                                      | CUSIP: 36206NKD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $100.68        | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | 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        |     207523 | PA      | $211383.66     | 0.01%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 11/15/2042#AB9437                                             | CUSIP: 36178WPW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38557 | PA      | $36270.09      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #472620                                                      | CUSIP: 36209JAV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1143 | PA      | $1161.01       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/30 #529718                                                     | CUSIP: 36212CPB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6341 | PA      | $6540.35       | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 07/15/2035#643292                                             | CUSIP: 36292AUR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     214310 | PA      | $217684.97     | 0.01%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 11/15/2042#AB9201                                               | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22996 | PA      | $22280.85      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | 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        |     323393 | PA      | $320949.66     | 0.02%             | 2046-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 2/31 #003039                                                    | CUSIP: 36202DLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6482 | PA      | $6716.50       | 0.00%             | 2031-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/40 #743133                                                      | CUSIP: 3620AXSW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11496 | PA      | $11705.46      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 5/28 #002589                                                   | CUSIP: 36202C2W2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1475 | PA      | $1501.74       | 0.00%             | 2028-05-20      | Fixed         | 0.06%                 | 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        |     156959 | PA      | $152618.69     | 0.01%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #769597                                                      | CUSIP: 36176LX26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20321 | PA      | $19698.30      | 0.00%             | 2041-09-15      | 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        |     637343 | PA      | $635990.51     | 0.04%             | 2040-02-15      | Fixed         | 0.04%                 | 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        |     982192 | PA      | $828222.01     | 0.05%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/29 #515956                                                     | CUSIP: 36211LE57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1849 | PA      | $1900.86       | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 2/33 #003357                                                   | CUSIP: 36202DWS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        454 | PA      | $447.56        | 0.00%             | 2033-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 4/28 #002578                                                   | CUSIP: 36202C2K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6869 | PA      | $7058.36       | 0.00%             | 2028-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 09/15/2036#660831                                            | CUSIP: 36294VEC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141303 | PA      | $143585.68     | 0.01%             | 2036-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 8/28 #002629                                                      | CUSIP: 36202C4N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $33.51         | 0.00%             | 2028-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 12/15/2042#AA5898                                               | CUSIP: 36178DRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     232004 | PA      | $213887.48     | 0.01%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 6/38 #004168                                                   | CUSIP: 36202ETZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112532 | PA      | $114458.12     | 0.01%             | 2038-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2042#794258                                             | CUSIP: 36177NWU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61763 | PA      | $60070.72      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/32 #577424                                                      | CUSIP: 36201APH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        712 | PA      | $737.42        | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/39 #724682                                                     | CUSIP: 3620ABCT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131043 | PA      | $127469.50     | 0.01%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480055                                                      | CUSIP: 36209SH87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        341 | PA      | $340.92        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | 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        |     512709 | PA      | $513286.62     | 0.03%             | 2062-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/35 #538719                                                      | CUSIP: 36212NPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        753 | PA      | $764.55        | 0.00%             | 2035-05-15      | Fixed         | 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        |    2041659 | PA      | $2087136.44    | 0.12%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/31 #555999                                                     | CUSIP: 36213JUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5073 | PA      | $5246.39       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 10/39 #004560                                                  | CUSIP: 36202FB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87963 | PA      | $91093.09      | 0.01%             | 2039-10-20      | Fixed         | 0.06%                 | 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        |     834024 | PA      | $832591.02     | 0.05%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                | FEDERAL NAT MTG ASN GTD REM PA 4% 02/25/2046                                 | CUSIP: 3136ARFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   12401140 | PA      | $2392043.43    | 0.13%             | 2046-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.50% 10/41 #005202                                                  | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20758 | PA      | $19725.19      | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 2/31 #529877                                                      | CUSIP: 36212CUA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17830 | PA      | $18393.17      | 0.00%             | 2031-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 3/40 #691690                                                      | CUSIP: 36296HNF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     296102 | PA      | $288491.10     | 0.02%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #768084                                                      | CUSIP: 36176KCV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     330601 | PA      | $321007.63     | 0.02%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 6% 12/01/2055 #TBA                                                 | CUSIP: 01F0606C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -5600000 | PA      | $-5726218.96   | -0.32%            | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 2/40 #004635                                                   | CUSIP: 36202FEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     494804 | PA      | $483118.15     | 0.03%             | 2040-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480386                                                      | CUSIP: 36209SUK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1991 | PA      | $2022.42       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 04/20/2044#MA1838                                               | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9731 | PA      | $9185.60       | 0.00%             | 2044-04-20      | Fixed         | 0.04%                 | 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        |      76015 | PA      | $10219.89      | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #434110                                                     | CUSIP: 36207KGT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        552 | PA      | $562.03        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | 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        |   43265136 | PA      | $36008184.24   | 2.02%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 2/30 #525624                                                      | CUSIP: 36211W4H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1468 | PA      | $1511.87       | 0.00%             | 2030-02-15      | Fixed         | 0.08%                 | 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        |    1749766 | PA      | $1700286.31    | 0.10%             | 2044-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/39 #703011                                                      | CUSIP: 36296WAL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95129 | PA      | $94999.44      | 0.01%             | 2039-05-15      | 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        |     980804 | PA      | $986964.56     | 0.06%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/32 #586541                                                      | CUSIP: 36201LS62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4874 | PA      | $5122.69       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #477485                                                     | CUSIP: 36209PNA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        855 | PA      | $865.57        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 11/41 #739348                                                     | CUSIP: 3620ATL54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1085946 | PA      | $1028643.86    | 0.06%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 06/15/2045#AN1600                                               | CUSIP: 36185GX59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4281 | PA      | $3882.08       | 0.00%             | 2045-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 01/20/2050#BR8995                                               | CUSIP: 3617M77G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47058 | PA      | $43414.86      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 08/20/2040#742211                                              | CUSIP: 3620AWR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     561275 | PA      | $583428.03     | 0.03%             | 2040-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/28 #780728                                                      | CUSIP: 36225AYZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        124 | PA      | $125.36        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 1/31 #003026                                                   | CUSIP: 36202DLF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8077 | PA      | $8376.17       | 0.00%             | 2031-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 6/29 #399061                                                      | CUSIP: 36205SJE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1984 | PA      | $2045.48       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #465908                                                      | CUSIP: 36209AR51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        411 | PA      | $416.11        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #446761                                                     | CUSIP: 36208CJE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3563 | PA      | $3628.19       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 04/15/2043#AD7475                                               | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12401 | PA      | $12037.33      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 03/15/2041#738107                                               | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22453 | PA      | $21837.40      | 0.00%             | 2041-03-15      | 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        |      97764 | PA      | $90741.73      | 0.01%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 07/20/2041#783591                                               | CUSIP: 36241L7C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54015 | PA      | $53967.86      | 0.00%             | 2041-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #780933                                                     | CUSIP: 36225BBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        678 | PA      | $688.64        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/27 #459474                                                     | CUSIP: 36208SMX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1342 | PA      | $1354.93       | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 04/46#AS9198                                                    | CUSIP: 36193VGF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1847081 | PA      | $1717670.82    | 0.10%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/27 #780632                                                      | CUSIP: 36225AVQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6224 | PA      | $6268.94       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/31 #568809                                                      | CUSIP: 36213Y3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14506 | PA      | $14700.44      | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/30 #535548                                                     | CUSIP: 36212J5H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16188 | PA      | $16888.07      | 0.00%             | 2030-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/31 #554040                                                     | CUSIP: 36213GPZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8072 | PA      | $8372.52       | 0.00%             | 2031-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/31 #553859                                                      | CUSIP: 36213GJC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4251 | PA      | $4394.28       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2009-42 AY 5% 6/37                                                       | CUSIP: 38374UXE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     796685 | PA      | $803855.24     | 0.05%             | 2037-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 07/15/2042#736746                                             | CUSIP: 3620AQP72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166183 | PA      | $153432.45     | 0.01%             | 2042-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/29 #002730                                                   | CUSIP: 36202DA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        403 | PA      | $414.59        | 0.00%             | 2029-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/34 #586344                                                     | CUSIP: 36201LLZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        297 | PA      | $315.03        | 0.00%             | 2034-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #463389                                                      | CUSIP: 36208WXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        167 | PA      | $169.31        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AA5947                                             | CUSIP: 36178DTC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     154597 | PA      | $138523.17     | 0.01%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 07/15/2036#660706                                            | CUSIP: 36294VAF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179559 | PA      | $182476.36     | 0.01%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 06/20/2040#742314                                              | CUSIP: 3620AWVF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99788 | PA      | $103680.88     | 0.01%             | 2040-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 06/36#656609                                                 | CUSIP: 36294QN23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188659 | PA      | $191626.97     | 0.01%             | 2036-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 01/20/2050#BR8994                                               | CUSIP: 3617M77F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13514 | PA      | $12432.70      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | 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        |     153765 | PA      | $149165.68     | 0.01%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/34 #615466                                                      | CUSIP: 36290RW33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1933 | PA      | $1962.75       | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 2/34 #003513                                                      | CUSIP: 36202D3W9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1098 | PA      | $1112.60       | 0.00%             | 2034-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 2.5% 03/15/2028#AA6170                                             | CUSIP: 36178D2B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     545505 | PA      | $537015.48     | 0.03%             | 2028-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/41 #769505                                                      | CUSIP: 36176LU60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125287 | PA      | $125154.70     | 0.01%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #773365                                                      | CUSIP: 36176Q6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31338 | PA      | $29611.83      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 03/20/2042#005330                                               | CUSIP: 36202F4P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6853 | PA      | $6374.41       | 0.00%             | 2042-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-13 SA TSFR1M+668.552 2/35                                           | CUSIP: 38374KUB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1265486 | PA      | $95317.70      | 0.01%             | 2035-02-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/26 #415139                                                      | CUSIP: 36206MEL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        395 | PA      | $394.76        | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/27 #412318                                                      | CUSIP: 36206JAT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1307 | PA      | $1324.17       | 0.00%             | 2027-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #454480                                                     | CUSIP: 36208L2M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        335 | PA      | $337.14        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/27 #780551                                                      | CUSIP: 36225ATG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1985 | PA      | $2005.43       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 2/42 #794569                                                      | CUSIP: 36177PCF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     566228 | PA      | $536350.21     | 0.03%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/35 #647763                                                      | CUSIP: 36292FTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3511 | PA      | $3627.88       | 0.00%             | 2035-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 2/33 #597877                                                      | CUSIP: 36200DFS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32598 | PA      | $33865.12      | 0.00%             | 2033-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 08/15/2042#AB1299                                             | CUSIP: 36178LNQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32823 | PA      | $30096.54      | 0.00%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 5.38% 8/34 #1B1936                                                  | CUSIP: 3128JMBE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16500 | PA      | $17005.18      | 0.00%             | 2034-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/40 #750312                                                     | CUSIP: 3620C6R98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12623 | PA      | $12848.25      | 0.00%             | 2040-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 2/40 #737037                                                      | CUSIP: 3620AQZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2871 | PA      | $2922.43       | 0.00%             | 2040-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/29 #503072                                                      | CUSIP: 36210U2D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1999 | PA      | $2034.79       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 2/30 #002882                                                   | CUSIP: 36202DFX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26464 | PA      | $27264.61      | 0.00%             | 2030-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #782810                                                     | CUSIP: 36241LDP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53492 | PA      | $53461.22      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 6/28 #002604                                                   | CUSIP: 36202C3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        555 | PA      | $570.43        | 0.00%             | 2028-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #721064                                                     | CUSIP: 3620A7B95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     155892 | PA      | $155921.90     | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047                                 | CUSIP: 38380UVE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1999344 | PA      | $1875718.02    | 0.11%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/33 #604422                                                      | CUSIP: 36200MPF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6900 | PA      | $6993.73       | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 7/29 #002783                                                   | CUSIP: 36202DCU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         16 | PA      | $16.07         | 0.00%             | 2029-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #507529                                                      | CUSIP: 36211AY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        139 | PA      | $143.31        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/39 #719673                                                      | CUSIP: 3620A5Q28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85588 | PA      | $85506.33      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 09/20/2040#748814                                              | CUSIP: 3620C43X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143805 | PA      | $149505.65     | 0.01%             | 2040-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #577618                                                      | CUSIP: 36201AVK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37936 | PA      | $39383.23      | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | 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        |     556572 | PA      | $540088.14     | 0.03%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 6/32 #583276                                                      | CUSIP: 36201G6M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1033 | PA      | $1074.47       | 0.00%             | 2032-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 7.395% 9/26 #409193                                                  | CUSIP: 36206ERN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4537 | PA      | $4558.84       | 0.00%             | 2026-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2044#AK0810                                               | CUSIP: 36183H3T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1341460 | PA      | $1259631.54    | 0.07%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #486599                                                     | CUSIP: 36210ARU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        199 | PA      | $200.87        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.7% 10/15/2042#783717                                             | CUSIP: 3622A2DW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3299042 | PA      | $3127052.71    | 0.18%             | 2042-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/33 #566499                                                     | CUSIP: 36213WKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5733 | PA      | $5814.35       | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/27 #460640                                                     | CUSIP: 36208TV98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6025 | PA      | $6212.35       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | 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        |     164963 | PA      | $151694.17     | 0.01%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/29 #509418                                                      | CUSIP: 36211C4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        441 | PA      | $451.51        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | 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        |   13001485 | PA      | $11983558.55   | 0.67%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 12/15/2033#558769                                             | CUSIP: 36213MW61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5106 | PA      | $5173.33       | 0.00%             | 2033-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/28 #490576                                                      | CUSIP: 36210E6M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        390 | PA      | $401.62        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #726091                                                     | CUSIP: 3620ACUQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     299304 | PA      | $299065.20     | 0.02%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 12/20/2039#729078                                              | CUSIP: 3620AF6P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207654 | PA      | $215615.62     | 0.01%             | 2039-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 02/15/2038#752132                                               | CUSIP: 36230LLM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2114271 | PA      | $1981423.23    | 0.11%             | 2038-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 10/38 #702848                                                     | CUSIP: 36296VZM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     382069 | PA      | $393823.04     | 0.02%             | 2038-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2043#AD5663                                             | CUSIP: 36180HJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255721 | PA      | $247518.27     | 0.01%             | 2043-06-15      | 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        |     224588 | PA      | $218236.64     | 0.01%             | 2041-12-15      | 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        |     541695 | PA      | $541667.36     | 0.03%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #520077                                                     | CUSIP: 36211QXE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4839 | PA      | $4939.36       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/39 #691679                                                     | CUSIP: 36296HM48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209622 | PA      | $204318.75     | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.50% 7/31 #003109                                                   | CUSIP: 36202DN23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2031 | PA      | $2117.19       | 0.00%             | 2031-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/27 #455319                                                     | CUSIP: 36208MYQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        592 | PA      | $598.31        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/41 #741521                                                      | CUSIP: 3620AVYS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31083 | PA      | $30190.28      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 11/28 #002673                                                   | CUSIP: 36202C6J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29830 | PA      | $30756.35      | 0.00%             | 2028-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 05/15/2043#753202                                             | CUSIP: 36230MRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     168992 | PA      | $163314.66     | 0.01%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #486417                                                      | CUSIP: 36210AK63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $58.62         | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 02/15/2043#AD2177                                             | CUSIP: 36180DM20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88669 | PA      | $83643.77      | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 04/15/2034#605185                                             | CUSIP: 36200NJ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1181 | PA      | $1198.13       | 0.00%             | 2034-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 3/40 #737377                                                      | CUSIP: 3620ARFS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12188 | PA      | $12405.67      | 0.00%             | 2040-03-15      | Fixed         | 0.05%                 | 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        |        131 | PA      | $132.15        | 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        |     736278 | PA      | $737968.36     | 0.04%             | 2061-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 8/39 #004518                                                   | CUSIP: 36202FAT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57546 | PA      | $56234.48      | 0.00%             | 2039-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/40 #737812                                                     | CUSIP: 3620ARVD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     646493 | PA      | $629111.67     | 0.04%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/28 #468960                                                      | CUSIP: 36209D5V2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2658 | PA      | $2740.35       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 03/43#666341                                                    | CUSIP: 36295CHS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70787 | PA      | $65069.57      | 0.00%             | 2043-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.50% 12/40 #004881                                                  | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4562 | PA      | $4346.50       | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #486784                                                     | CUSIP: 36210AXM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        697 | PA      | $709.39        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AE9880                                             | CUSIP: 36181D6R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     660458 | PA      | $606463.78     | 0.03%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 6% 12/01/2055 #TBA                                                 | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   13200000 | PA      | $13497516.12   | 0.76%             | 2055-12-01      | Fixed         | 0.06%                 | 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        |   67591468 | PA      | $56214607.47   | 3.16%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 11/29 #515270                                                     | CUSIP: 36211KMT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8767 | PA      | $9039.36       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #487646                                                      | CUSIP: 36210BWF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        149 | PA      | $153.30        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 04/20/2031#MA3572                                               | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     531107 | PA      | $519763.54     | 0.03%             | 2031-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 7/39 #704624                                                      | CUSIP: 36296XYV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17843 | PA      | $17829.24      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 02/15/2040#782899                                             | CUSIP: 36241LGG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6089 | PA      | $6177.94       | 0.00%             | 2040-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/27 #446822                                                      | CUSIP: 36208CLB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2870 | PA      | $2902.19       | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 10/32 #003298                                                  | CUSIP: 36202DUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3440 | PA      | $3595.05       | 0.00%             | 2032-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/31 #529829                                                      | CUSIP: 36212CSS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45383 | PA      | $47434.21      | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 4/42 #779086                                                      | CUSIP: 36176XJ75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4270843 | PA      | $4043465.24    | 0.23%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 04/15/2042#794596                                               | CUSIP: 36177PDA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36419 | PA      | $33661.93      | 0.00%             | 2042-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AD0721                                             | CUSIP: 36180BYS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33873 | PA      | $31193.44      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/27 #455456                                                      | CUSIP: 36208M5R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        233 | PA      | $234.50        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 8/39 #004521                                                   | CUSIP: 36202FAW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7792 | PA      | $8070.35       | 0.00%             | 2039-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 03/15/2045#AL5704                                             | CUSIP: 36184CKR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     426564 | PA      | $388580.75     | 0.02%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 7/29 #487568                                                      | CUSIP: 36210BTZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        299 | PA      | $305.06        | 0.00%             | 2029-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 1/31 #003025                                                    | CUSIP: 36202DLE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2353 | PA      | $2433.09       | 0.00%             | 2031-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #569880                                                      | CUSIP: 36200RCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15231 | PA      | $15661.42      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | 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        |     213935 | PA      | $20634.04      | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 09/15/2040#737423                                             | CUSIP: 3620ARG88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5938 | PA      | $5778.67       | 0.00%             | 2040-09-15      | 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        |     317284 | PA      | $311214.74     | 0.02%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/33 #603671                                                      | CUSIP: 36200KT49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        600 | PA      | $607.94        | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/27 #449190                                                     | CUSIP: 36208E7B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         61 | PA      | $61.14         | 0.00%             | 2027-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/39 #710763                                                      | CUSIP: 36297FTU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1710775 | PA      | $1709680.46    | 0.10%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.00% 10/42 #MA0461                                                  | CUSIP: 36179MQN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     571624 | PA      | $530569.47     | 0.03%             | 2042-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 06/01/2041#BR1090                                             | CUSIP: 3140KYF82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     438674 | PA      | $396146.55     | 0.02%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 4/42 #779088                                                      | CUSIP: 36176XJ91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9160578 | PA      | $8672873.66    | 0.49%             | 2042-04-15      | Fixed         | 0.04%                 | 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        |     569791 | PA      | $569709.51     | 0.03%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 5/33 #003389                                                      | CUSIP: 36202DXS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27012 | PA      | $27352.50      | 0.00%             | 2033-05-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 04/15/2034#627457                                             | CUSIP: 36291GB21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2752 | PA      | $2785.79       | 0.00%             | 2034-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #500243                                                      | CUSIP: 36210RWC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8547 | PA      | $8841.54       | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5.5% 01/20/2035                               | CUSIP: 38374KM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4949361 | PA      | $5060321.32    | 0.28%             | 2035-01-20      | 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        |      18759 | PA      | $18865.68      | 0.00%             | 2042-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 3.50% 3/27 #711637                                                 | CUSIP: 36297GS27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      85427 | PA      | $84968.86      | 0.00%             | 2027-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #458865                                                      | CUSIP: 36208RW26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        340 | PA      | $344.44        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA ARM 4.66% 8/35 #745071                                                  | CUSIP: 31403CW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69815 | PA      | $71772.34      | 0.00%             | 2035-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #483920                                                     | CUSIP: 36209WSH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        497 | PA      | $497.93        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/27 #440274                                                      | CUSIP: 36207SCK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        358 | PA      | $359.85        | 0.00%             | 2027-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #733902                                                      | CUSIP: 3620AMKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     513312 | PA      | $499445.13     | 0.03%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/28 #481486                                                      | CUSIP: 36209T2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1247 | PA      | $1278.71       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/40 #678653                                                      | CUSIP: 36295R5N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     436196 | PA      | $424356.08     | 0.02%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/33 #594722                                                      | CUSIP: 36201VVP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        822 | PA      | $833.32        | 0.00%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2015-H21 JZ VAR 06/65                                                    | CUSIP: 38376RGF7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      20588 | PA      | $20406.15      | 0.00%             | 2065-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 02/15/2039#707284                                             | CUSIP: 36297BXM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12862 | PA      | $13089.86      | 0.00%             | 2039-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/41 #760147                                                      | CUSIP: 36176AHY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2224 | PA      | $2219.46       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 8/34 #003599                                                    | CUSIP: 36202D7L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2861 | PA      | $3012.58       | 0.00%             | 2034-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 07/15/2043#AF2677                                             | CUSIP: 36181H6N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53987 | PA      | $49626.52      | 0.00%             | 2043-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/28 #781018                                                      | CUSIP: 36225BDX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        310 | PA      | $313.84        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #690673                                                      | CUSIP: 36296GJS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     160324 | PA      | $159991.98     | 0.01%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.0% 09/15/21 #738767                                                   | CUSIP: 3620ASW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50833 | PA      | $49357.93      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/27 #353746                                                      | CUSIP: 36203M5F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        918 | PA      | $929.16        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | 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        |       7077 | PA      | $7200.55       | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/31 #550387                                                      | CUSIP: 36213CNC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11753 | PA      | $12297.41      | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 7.395% 12/26 #409195                                                 | CUSIP: 36206ERQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9394 | PA      | $9453.84       | 0.00%             | 2026-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 12/34 #638222                                                     | CUSIP: 36291UAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6420 | PA      | $6522.44       | 0.00%             | 2034-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/40 #745125                                                      | CUSIP: 3620C0YW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16667 | PA      | $16221.28      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 11/01/2051#BU0529                                               | CUSIP: 3140M1ST2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36233 | PA      | $32390.70      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 03/15/2036#652750                                             | CUSIP: 36292MEX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66508 | PA      | $67245.69      | 0.00%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2049#BL1666                                               | CUSIP: 3617JDZ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196397 | PA      | $181314.79     | 0.01%             | 2049-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 05/20/2040#742212                                              | CUSIP: 3620AWR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71650 | PA      | $74496.57      | 0.00%             | 2040-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2017-75 PT VAR 05/47                                                     | CUSIP: 38376UK65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    5776632 | PA      | $5905762.61    | 0.33%             | 2047-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/26 #780355                                                      | CUSIP: 36225AMC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         89 | PA      | $89.01         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #506122                                                     | CUSIP: 36210YG74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12547 | PA      | $13004.96      | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 01/20/2050#BR8996                                               | CUSIP: 3617M77H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48298 | PA      | $44558.26      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #460784                                                      | CUSIP: 36208T2R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        343 | PA      | $346.80        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #769752                                                      | CUSIP: 36176L5M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     241420 | PA      | $234021.35     | 0.01%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 10/15/2041#773503                                             | CUSIP: 36176RDG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     266889 | PA      | $259184.57     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/31 #535388                                                      | CUSIP: 36212JXR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5256 | PA      | $5484.92       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 6/36 #003863                                                      | CUSIP: 36202EJG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11904 | PA      | $12092.28      | 0.00%             | 2036-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 09/20/2041#005177                                               | CUSIP: 36202FXE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9685 | PA      | $10036.28      | 0.00%             | 2041-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/36 #782939                                                      | CUSIP: 36241LHQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41907 | PA      | $42532.93      | 0.00%             | 2036-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 11/28 #002675                                                  | CUSIP: 36202C6L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11779 | PA      | $12103.71      | 0.00%             | 2028-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #513724                                                      | CUSIP: 36211HVR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9542 | PA      | $9849.76       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 07/01/2054#CB8850                                               | CUSIP: 3140QUZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4226379 | PA      | $4390477.93    | 0.25%             | 2054-07-01      | Fixed         | 0.06%                 | 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        |     180255 | PA      | $183942.69     | 0.01%             | 2035-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 12/20/2054#MB0091                                                 | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7353940 | PA      | $7333900.27    | 0.41%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/27 #439558                                                      | CUSIP: 36207RJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        707 | PA      | $715.69        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 1/27 #002359                                                   | CUSIP: 36202CTQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $85.27         | 0.00%             | 2027-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 11/15/2033#781778                                             | CUSIP: 36225B6P8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16753 | PA      | $16984.37      | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/33 #613013                                                      | CUSIP: 36290NAN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        304 | PA      | $308.09        | 0.00%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 11/15/2044#783946                                             | CUSIP: 3622A2L34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64589 | PA      | $59351.03      | 0.00%             | 2044-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 4/42 #766653                                                      | CUSIP: 36176HQE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3909704 | PA      | $3696991.95    | 0.21%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #467822                                                      | CUSIP: 36209CVP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $65.44         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 3.00% 5/27 #783596                                                 | CUSIP: 36241L7H3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104531 | PA      | $103658.35     | 0.01%             | 2027-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 04/15/2042#792254                                               | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42962 | PA      | $41651.72      | 0.00%             | 2042-04-15      | 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        |     196688 | PA      | $176261.39     | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 05/43 #MA1012                                                   | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3445490 | PA      | $3248003.73    | 0.18%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #434414                                                      | CUSIP: 36207KSB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1170 | PA      | $1193.29       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | 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        |      54452 | PA      | $53397.70      | 0.00%             | 2049-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/27 #353853                                                      | CUSIP: 36203NBW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $14.18         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #433970                                                      | CUSIP: 36207KCF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        266 | PA      | $270.04        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 6/41 #005081                                                   | CUSIP: 36202FUE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     202270 | PA      | $197152.79     | 0.01%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 2YR NOTE (CBT) FUT DEC25 TUZ5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        469 | NC      | $-24172.54     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 01/15/2045#AK8148                                             | CUSIP: 36183SBR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     388576 | PA      | $363474.91     | 0.02%             | 2045-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #476377                                                      | CUSIP: 36209NFS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        233 | PA      | $235.25        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | 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        |      10249 | PA      | $9954.82       | 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        |    1767066 | PA      | $1604839.49    | 0.09%             | 2047-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 11/15/2040#734043                                             | CUSIP: 3620AMP48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     212095 | PA      | $206122.80     | 0.01%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/34 #605426                                                      | CUSIP: 36200NSP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        670 | PA      | $680.27        | 0.00%             | 2034-05-15      | Fixed         | 0.05%                 | 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        |     957406 | PA      | $931970.19     | 0.05%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 7/33 #606155                                                      | CUSIP: 36201XMC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        382 | PA      | $395.09        | 0.00%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/29 #513403                                                      | CUSIP: 36211HKQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2355 | PA      | $2398.30       | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/27 #448879                                                     | CUSIP: 36208EUC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        646 | PA      | $651.99        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 11/01/2055 #TBA                                                 | CUSIP: 21H0526B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  116900000 | PA      | $117868072.28  | 6.63%             | 2055-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 1/30 #526843                                                   | CUSIP: 36211YHU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136493 | PA      | $137856.70     | 0.01%             | 2030-01-20      | Fixed         | 0.05%                 | 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        |       4093 | PA      | $3864.97       | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 30YR 4.5% 08/20/2040#004767                                             | CUSIP: 36202FJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11966 | PA      | $11754.72      | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/41#755958                                                    | CUSIP: 36230QTP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     235025 | PA      | $228346.63     | 0.01%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 7/36 #617147                                                      | CUSIP: 36290TTC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54313 | PA      | $56581.82      | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 2/31 #003040                                                   | CUSIP: 36202DLV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4964 | PA      | $5147.69       | 0.00%             | 2031-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 10/28 #486546                                                     | CUSIP: 36210AP76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33164 | PA      | $34194.36      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 08/15/2041#772041                                               | CUSIP: 36176PP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     762596 | PA      | $740810.92     | 0.04%             | 2041-08-15      | Fixed         | 0.04%                 | 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        |     124999 | PA      | $103974.36     | 0.01%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 2/39 #004369                                                   | CUSIP: 36202E2A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15692 | PA      | $15967.87      | 0.00%             | 2039-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 07/15/2043#722007                                             | CUSIP: 3620A8DL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     450463 | PA      | $435328.78     | 0.02%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 7/30 #466263                                                   | CUSIP: 36209A5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34404 | PA      | $34778.41      | 0.00%             | 2030-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2.5% 11/01/2055 #TBA                                               | CUSIP: 01F0226B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   15425000 | PA      | $13090160.94   | 0.74%             | 2055-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #513389                                                      | CUSIP: 36211HKA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3298 | PA      | $3338.17       | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/29 #497493                                                      | CUSIP: 36210NUS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6637 | PA      | $6770.19       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/15/2040#757031                                               | CUSIP: 36230RY42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1921294 | PA      | $1866699.97    | 0.10%             | 2040-12-15      | Fixed         | 0.04%                 | 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        |   22771344 | PA      | $18973206.81   | 1.07%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/28 #780896                                                     | CUSIP: 36225A7H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2262 | PA      | $2294.52       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 03/15/2045#AL2253                                             | CUSIP: 36183XQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     250486 | PA      | $242487.09     | 0.01%             | 2045-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #726113                                                     | CUSIP: 3620ACVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     304693 | PA      | $304361.46     | 0.02%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/30 #523220                                                      | CUSIP: 36211UG55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13916 | PA      | $14508.67      | 0.00%             | 2030-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/32 #553503                                                      | CUSIP: 36213F3L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2159 | PA      | $2230.24       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 5/29 #002755                                                   | CUSIP: 36202DBY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4262 | PA      | $4379.72       | 0.00%             | 2029-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 5/29 #502215                                                      | CUSIP: 36210T3Y0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $25.60         | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 4/31 #003069                                                   | CUSIP: 36202DMS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4874 | PA      | $5063.19       | 0.00%             | 2031-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD MULTIFAMILY REMIC PASS THRU SECS | GNR 2001-58 X CSTR 9/41                                                      | CUSIP: 38373MBD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     161943 | PA      | $1.62          | 0.00%             | 2041-09-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/26 #442079                                                     | CUSIP: 36207UCQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $101.50        | 0.00%             | 2026-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/34 #607504                                                      | CUSIP: 36201Y3M6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60790 | PA      | $63173.30      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/34 #781765                                                      | CUSIP: 36225B6A1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15329 | PA      | $15552.89      | 0.00%             | 2034-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #781135                                                     | CUSIP: 36225BHL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24252 | PA      | $24980.80      | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 1/42 #553452                                                      | CUSIP: 36213FZR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4133032 | PA      | $3912019.92    | 0.22%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 6% 11/01/2055 #TBA                                                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -108200000 | PA      | $-110655631.46 | -6.22%            | 2055-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 08/20/2040#742188                                              | CUSIP: 3620AWRH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     386071 | PA      | $401474.59     | 0.02%             | 2040-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 04/20/2040#742038                                              | CUSIP: 3620AWLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     108824 | PA      | $113175.22     | 0.01%             | 2040-04-20      | Fixed         | 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        |    3796501 | PA      | $3388622.59    | 0.19%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/41#759075                                                    | CUSIP: 36230UCL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     171205 | PA      | $166448.97     | 0.01%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 6/29 #508245                                                   | CUSIP: 36211BTA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     145188 | PA      | $146508.87     | 0.01%             | 2029-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #749289                                                      | CUSIP: 3620C5NE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1219264 | PA      | $1181900.01    | 0.07%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 10/41#773500                                                    | CUSIP: 36176RDD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     603353 | PA      | $586591.82     | 0.03%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/39 #710764                                                      | CUSIP: 36297FTV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1486075 | PA      | $1484889.28    | 0.08%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2041#757629                                             | CUSIP: 36230SPN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     367927 | PA      | $357987.70     | 0.02%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480352                                                      | CUSIP: 36209STH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1036 | PA      | $1053.13       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/26 #442194                                                     | CUSIP: 36207UGB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $27.66         | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | 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        |      98831 | PA      | $95904.21      | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/34 #607506                                                      | CUSIP: 36201Y3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20653 | PA      | $21476.12      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | 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        |       1130 | PA      | $1141.42       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.0% 11/45#AQ6540                                                    | CUSIP: 36189XHR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1407423 | PA      | $1348056.07    | 0.08%             | 2045-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 20YR 2.5% 11/01/2041#BT9396                                             | CUSIP: 3140LYNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     416924 | PA      | $375451.14     | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 11/01/2055 #TBA                                                   | CUSIP: 21H0606B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  237225000 | PA      | $241420015.73  | 13.57%            | 2055-11-01      | Fixed         | 0.06%                 | 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        |    2666974 | PA      | $2701887.06    | 0.15%             | 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        |    1300000 | PA      | $1290860.35    | 0.07%             | 2027-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.74% 07/42#AB1375                                                   | CUSIP: 36178LQ48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     208109 | PA      | $198402.31     | 0.01%             | 2042-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/41 #775072                                                      | CUSIP: 36176S2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61219 | PA      | $61142.54      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #476873                                                      | CUSIP: 36209NXA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        764 | PA      | $776.91        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #738630                                                      | CUSIP: 3620ASST7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40426 | PA      | $39234.72      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 4/32 #003228                                                    | CUSIP: 36202DSR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1986 | PA      | $2070.39       | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AD2675                                             | CUSIP: 36180D6L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     289857 | PA      | $265223.35     | 0.01%             | 2043-05-15      | Fixed         | 0.03%                 | 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        |     499252 | PA      | $484465.62     | 0.03%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 04/15/2036#653175                                            | CUSIP: 36292MT85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50627 | PA      | $51432.03      | 0.00%             | 2036-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 12/01/2055 #TBA                                                   | CUSIP: 21H0606C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  145100000 | PA      | $147637566.84  | 8.30%             | 2055-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AA5894                                             | CUSIP: 36178DRP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     407592 | PA      | $365922.02     | 0.02%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 6/39 #004467                                                   | CUSIP: 36202E6C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161071 | PA      | $157460.04     | 0.01%             | 2039-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 06/20/2040#745408                                              | CUSIP: 3620C1DM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185785 | PA      | $193084.19     | 0.01%             | 2040-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 04/15/2045#AM0472                                               | CUSIP: 36184KQZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     553284 | PA      | $503678.99     | 0.03%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.25% 05/20/2050#BQ7082                                              | CUSIP: 3617LR2P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1379420 | PA      | $1165070.57    | 0.07%             | 2050-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/31 #554149                                                     | CUSIP: 36213GTE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39217 | PA      | $41032.87      | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 04/20/2043#MA0933                                               | CUSIP: 36179NBA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     280881 | PA      | $260332.00     | 0.01%             | 2043-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/40 #755655                                                     | CUSIP: 36230QH84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83691 | PA      | $81334.87      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #726017                                                      | CUSIP: 3620ACSE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40576 | PA      | $40537.50      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #463965                                                      | CUSIP: 36208XMN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        428 | PA      | $433.86        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 8/34 #003600                                                      | CUSIP: 36202D7M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24010 | PA      | $25263.92      | 0.00%             | 2034-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 3/40 #004659                                                   | CUSIP: 36202FE85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     390560 | PA      | $404565.25     | 0.02%             | 2040-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/31 #531524                                                      | CUSIP: 36212EPH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8387 | PA      | $8744.39       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/26 #412637                                                      | CUSIP: 36206JLS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        219 | PA      | $218.68        | 0.00%             | 2026-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #459527                                                      | CUSIP: 36208SPL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2749 | PA      | $2782.60       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/26 #345613                                                      | CUSIP: 36203C3W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $14.50         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 10/29 #522301                                                  | CUSIP: 36211TGJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84246 | PA      | $85113.33      | 0.00%             | 2029-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/26 #417223                                                      | CUSIP: 36206PPG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         20 | PA      | $20.44         | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 1/42 #790493                                                      | CUSIP: 36177JRP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56576 | PA      | $53523.87      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | 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        |     142995 | PA      | $142985.25     | 0.01%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 11/32 #003305                                                  | CUSIP: 36202DU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27651 | PA      | $27988.82      | 0.00%             | 2032-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #372461                                                     | CUSIP: 36204KWW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7920 | PA      | $8025.42       | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 08/15/2035#595801                                             | CUSIP: 36200A3J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4171 | PA      | $4240.08       | 0.00%             | 2035-08-15      | Fixed         | 0.05%                 | 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        |     364729 | PA      | $364390.90     | 0.02%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/34 #628092                                                      | CUSIP: 36291GXV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3332 | PA      | $3383.03       | 0.00%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/26 #412669                                                      | CUSIP: 36206JMS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        455 | PA      | $457.35        | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 11/15/2035#782523                                             | CUSIP: 36241KYU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33394 | PA      | $33889.54      | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #781073                                                      | CUSIP: 36225BFN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        143 | PA      | $147.10        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/28 #483793                                                     | CUSIP: 36209WNJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11425 | PA      | $11733.79      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | 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        |     554686 | PA      | $554242.92     | 0.03%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 6/34 #003571                                                    | CUSIP: 36202D6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2215 | PA      | $2327.65       | 0.00%             | 2034-06-20      | Fixed         | 0.07%                 | 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        |    7097725 | PA      | $6584810.42    | 0.37%             | 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        |     845171 | PA      | $846797.61     | 0.05%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #757601                                                      | CUSIP: 36230SNS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60877 | PA      | $60803.13      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 9/35 #003759                                                      | CUSIP: 36202EE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115303 | PA      | $117076.58     | 0.01%             | 2035-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #754005                                                      | CUSIP: 36230NNW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22629 | PA      | $22075.41      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 11/28 #492951                                                     | CUSIP: 36210HTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8542 | PA      | $8807.36       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/34 #562448                                                      | CUSIP: 36213RZM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19935 | PA      | $20751.28      | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GINNIE MAE I POOL 30YR 4.0% 05/15/2044#AI3213                                | CUSIP: 36198PSA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     786289 | PA      | $759552.02     | 0.04%             | 2044-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 08/15/2033#619489                                             | CUSIP: 36290WF64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47415 | PA      | $48123.83      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #569798                                                      | CUSIP: 36200Q7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1038 | PA      | $1060.89       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 10/28 #487320                                                     | CUSIP: 36210BK95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10016 | PA      | $10327.26      | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 02/20/2040#729195                                              | CUSIP: 3620AGC86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185824 | PA      | $193057.17     | 0.01%             | 2040-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/27 #462442                                                     | CUSIP: 36208VWB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1636 | PA      | $1653.36       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #495773                                                     | CUSIP: 36210LXA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        385 | PA      | $392.02        | 0.00%             | 2028-12-15      | 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 2024-K523 AS TSFR1M+55 05/25/2029             | CUSIP: 3137HDJW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10589546 | PA      | $10606351.62   | 0.60%             | 2029-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 8/32 #003275                                                   | CUSIP: 36202DT84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91020 | PA      | $94996.03      | 0.01%             | 2032-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 09/20/2040#004799                                               | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22067 | PA      | $21008.29      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/40 #737790                                                     | CUSIP: 3620ARUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7039 | PA      | $6844.16       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | 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        |     712614 | PA      | $693547.00     | 0.04%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #473591                                                      | CUSIP: 36209KC48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1599 | PA      | $1604.38       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 5/33 #593685                                                      | CUSIP: 36201URE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     246503 | PA      | $252233.85     | 0.01%             | 2033-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/27 #412317                                                      | CUSIP: 36206JAS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2462 | PA      | $2496.05       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | 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        |     850555 | PA      | $846751.69     | 0.05%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #458917                                                      | CUSIP: 36208RYN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        170 | PA      | $172.67        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/33 #604730                                                     | CUSIP: 36200MY31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15840 | PA      | $16059.26      | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 04/40#741925                                                   | CUSIP: 3620AWHA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76738 | PA      | $79673.14      | 0.00%             | 2040-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 04/20/2052#                                                       | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6999997 | PA      | $5822591.09    | 0.33%             | 2052-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2007-35 SC TSFR1M+3951.312 6/37                                          | CUSIP: 38375KVH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     180335 | PA      | $208123.92     | 0.01%             | 2037-06-16      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 2/32 #583179                                                      | CUSIP: 36201G2L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4350 | PA      | $4515.67       | 0.00%             | 2032-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AE9881                                             | CUSIP: 36181D6S0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     390536 | PA      | $358608.50     | 0.02%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #442334                                                      | CUSIP: 36207ULP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        213 | PA      | $214.48        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #433882                                                      | CUSIP: 36207J6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1194 | PA      | $1211.53       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #424241                                                      | CUSIP: 36206XHS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        238 | PA      | $239.09        | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 1/28 #460678                                                      | CUSIP: 36208TXF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1946 | PA      | $1974.58       | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #717181                                                      | CUSIP: 3620A2XJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103715 | PA      | $103625.89     | 0.01%             | 2039-06-15      | 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+120 02/25/2055                        | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1045094 | PA      | $1044542.80    | 0.06%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #582239                                                      | CUSIP: 36201FZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6973 | PA      | $7232.09       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #521585                                                     | CUSIP: 36211SNA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3599 | PA      | $3706.96       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 12/20/2042#MA0623                                               | CUSIP: 36179MVQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     412460 | PA      | $371326.92     | 0.02%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #741209                                                      | CUSIP: 3620AVN24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5530 | PA      | $5530.57       | 0.00%             | 2040-06-15      | 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        |    6978305 | PA      | $5805638.78    | 0.33%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #569793                                                      | CUSIP: 36200Q7E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29784 | PA      | $31212.06      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | 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        |    1816585 | PA      | $1866524.65    | 0.10%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/39 #710991                                                     | CUSIP: 36297F2Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2423443 | PA      | $2466399.64    | 0.14%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #485211                                                      | CUSIP: 36209YAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        212 | PA      | $216.04        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 11/15/2042#409373                                             | CUSIP: 36206EXA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24991 | PA      | $22915.20      | 0.00%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/26 #429424                                                      | CUSIP: 36207EAZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        739 | PA      | $740.78        | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 12/41#005264                                                    | CUSIP: 36202FZ58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42212 | PA      | $43656.54      | 0.00%             | 2041-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/30 #528295                                                      | CUSIP: 36212A3C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1671 | PA      | $1716.05       | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 11/51#MA7705                                                    | CUSIP: 36179WR26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   92519728 | PA      | $80181084.21   | 4.51%             | 2051-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 02/15/41#757555                                                 | CUSIP: 36230SMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25770 | PA      | $25083.60      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AC2953                                             | CUSIP: 36179CH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     143255 | PA      | $128671.67     | 0.01%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.5% 6/31 #003097                                                    | CUSIP: 36202DNN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13644 | PA      | $14248.31      | 0.00%             | 2031-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 04/15/2045#AM2808                                             | CUSIP: 36184NDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96424 | PA      | $93068.04      | 0.01%             | 2045-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/31 #550143                                                      | CUSIP: 36213CEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1550 | PA      | $1602.31       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #433980                                                      | CUSIP: 36207KCR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        382 | PA      | $388.81        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #748220                                                      | CUSIP: 3620C4G53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75623 | PA      | $73474.09      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 3/36 #602552                                                      | CUSIP: 36200JL99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19998 | PA      | $20325.70      | 0.00%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #464052                                                      | CUSIP: 36208XQD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         72 | PA      | $72.74         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 30YR 4.5% 07/20/2041#005118                                             | CUSIP: 36202FVK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52934 | PA      | $51991.87      | 0.00%             | 2041-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 9/33 #606856                                                      | CUSIP: 36201YE51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39358 | PA      | $40980.59      | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 10/31 #003151                                                  | CUSIP: 36202DQC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20610 | PA      | $21429.09      | 0.00%             | 2031-10-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 2/33 #003345                                                   | CUSIP: 36202DWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28743 | PA      | $29081.71      | 0.00%             | 2033-02-20      | Fixed         | 0.05%                 | 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        |    3243406 | PA      | $3407164.30    | 0.19%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/15/2040#757039                                               | CUSIP: 36230RZC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     286146 | PA      | $278196.61     | 0.02%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/31 #424092                                                      | CUSIP: 36206XC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        307 | PA      | $316.70        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/39 #690064                                                      | CUSIP: 36296FTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7939 | PA      | $7930.12       | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/29 #506673                                                      | CUSIP: 36210Y2E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1124 | PA      | $1159.75       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 3/35 #003690                                                      | CUSIP: 36202EC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80927 | PA      | $82135.90      | 0.00%             | 2035-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/26 #416409                                                      | CUSIP: 36206NR64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2263 | PA      | $2272.80       | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/29 #536601                                                     | CUSIP: 36212LDE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        594 | PA      | $613.52        | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 2/34 #624262                                                      | CUSIP: 36291CQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        231 | PA      | $236.34        | 0.00%             | 2034-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/27 #418872                                                      | CUSIP: 36206RJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        237 | PA      | $237.82        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/27 #447109                                                      | CUSIP: 36208CVA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1902 | PA      | $1906.78       | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/40 #667594                                                     | CUSIP: 36295DUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8932 | PA      | $8696.55       | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.75% MAC 12/17/45                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -3879000 | NC      | $84524.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.50% 10/41 #005204                                                  | CUSIP: 36202FX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84986 | PA      | $84907.11      | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #728312                                                     | CUSIP: 3620AFDR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151341 | PA      | $151230.31     | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#666354                                             | CUSIP: 36295CH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104171 | PA      | $95931.02      | 0.01%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 12/34 #637317                                                     | CUSIP: 36291TAS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        565 | PA      | $579.68        | 0.00%             | 2034-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 09/20/2043#MA1284                                               | CUSIP: 36179NM96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1809929 | PA      | $1674269.68    | 0.09%             | 2043-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AC6072                                             | CUSIP: 36179FW92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     856090 | PA      | $787516.41     | 0.04%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/28 #487338                                                     | CUSIP: 36210BLT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        972 | PA      | $990.90        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 6/26 #002231                                                   | CUSIP: 36202CPQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         84 | PA      | $83.97         | 0.00%             | 2026-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/29 #513705                                                      | CUSIP: 36211HU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        381 | PA      | $390.13        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 6/29 #506924                                                      | CUSIP: 36211AD52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1581 | PA      | $1630.05       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #462680                                                      | CUSIP: 36208V6R1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        426 | PA      | $431.93        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/30 #514868                                                      | CUSIP: 36211J6D4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2371 | PA      | $2442.50       | 0.00%             | 2030-09-15      | Fixed         | 0.08%                 | 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        |     573797 | PA      | $523050.88     | 0.03%             | 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        |      20560 | PA      | $21151.30      | 0.00%             | 2036-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                       | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1089171 | PA      | $952415.31     | 0.05%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 10/30 #543542                                                  | CUSIP: 36212TZF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11650 | PA      | $11787.00      | 0.00%             | 2030-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/31 #556292                                                     | CUSIP: 36213J7D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33902 | PA      | $35107.13      | 0.00%             | 2031-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/27 #780498                                                      | CUSIP: 36225ART9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1533 | PA      | $1542.65       | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #727855                                                      | CUSIP: 3620AETL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62669 | PA      | $62529.68      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 11/35 #003785                                                     | CUSIP: 36202EF20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36784 | PA      | $37352.66      | 0.00%             | 2035-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 06/15/2042#AA0540                                               | CUSIP: 36177WS50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73714 | PA      | $68015.54      | 0.00%             | 2042-06-15      | Fixed         | 0.03%                 | 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        |       8229 | PA      | $8413.08       | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.00% 9/42 #AA7474                                                      | CUSIP: 36178FJT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     271381 | PA      | $250839.89     | 0.01%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AD5634                                             | CUSIP: 36180HHK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     222881 | PA      | $204296.96     | 0.01%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/40 #729530                                                      | CUSIP: 3620AGPP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81987 | PA      | $81889.61      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/35 #616959                                                     | CUSIP: 36290TMG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24013 | PA      | $24406.43      | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/41#690662                                                    | CUSIP: 36296GJF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56527 | PA      | $54992.24      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                     | UST NOTES 4.75% 02/15/2045                                                   | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15150000 | PA      | $15360679.69   | 0.86%             | 2045-02-15      | Fixed         | 0.05%                 | 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        |     842662 | PA      | $798163.36     | 0.04%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 12/34 #605802                                                     | CUSIP: 36201XAB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        515 | PA      | $523.27        | 0.00%             | 2034-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 4/27 #447529                                                      | CUSIP: 36208DEA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        915 | PA      | $925.69        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | 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        |     701706 | PA      | $700943.11     | 0.04%             | 2040-06-15      | Fixed         | 0.04%                 | 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        |      13989 | PA      | $14353.93      | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 09/15/2042#AB2999                                             | CUSIP: 36178NKL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125341 | PA      | $115553.73     | 0.01%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 11/15/2040#737576                                             | CUSIP: 3620ARMZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43330 | PA      | $42275.40      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/40 #691691                                                      | CUSIP: 36296HNG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88592 | PA      | $88403.48      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #443541                                                      | CUSIP: 36207VWA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1889 | PA      | $1912.91       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 03/20/2050#MA6541                                                 | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3594122 | PA      | $3243757.40    | 0.18%             | 2050-03-20      | Fixed         | 0.03%                 | 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        |       2900 | PA      | $2946.70       | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 07/20/2050#BV5269                                                 | CUSIP: 3617NJ2A8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2946984 | PA      | $2647732.21    | 0.15%             | 2050-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 2.5% 12/01/2055 #TBA                                               | CUSIP: 01F0226C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -15425000 | PA      | $-13091367.18  | -0.74%            | 2055-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/40 #733154                                                      | CUSIP: 3620ALQF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45007 | PA      | $44965.49      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AB8379                                             | CUSIP: 36178VJY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2062319 | PA      | $1851478.19    | 0.10%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5% 09/20/2044                                 | CUSIP: 38379GQZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2090515 | PA      | $419062.01     | 0.02%             | 2044-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 01/20/2042#AA0446                                                 | CUSIP: 36177WP79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80009 | PA      | $77475.40      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/31 #556294                                                     | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3705 | PA      | $3828.68       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 5/42 #766750                                                      | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     612115 | PA      | $579238.96     | 0.03%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 6/30 #532448                                                   | CUSIP: 36212FP99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48712 | PA      | $49271.28      | 0.00%             | 2030-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/27 #407802                                                      | CUSIP: 36206DAB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         69 | PA      | $68.76         | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 12/15/2040#749974                                             | CUSIP: 3620C6FP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3051 | PA      | $2960.91       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 06/20/2044#MA1995                                               | CUSIP: 36179QGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7821792 | PA      | $7378506.52    | 0.41%             | 2044-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #462199                                                      | CUSIP: 36208VNQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1296 | PA      | $1314.11       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 05/15/2045#AM8643                                               | CUSIP: 36185BS80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16186 | PA      | $14691.19      | 0.00%             | 2045-05-15      | Fixed         | 0.03%                 | 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        |       7375 | PA      | $7499.33       | 0.00%             | 2034-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 4/29 #002740                                                   | CUSIP: 36202DBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2267 | PA      | $2307.86       | 0.00%             | 2029-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/27 #461148                                                     | CUSIP: 36208UHZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        592 | PA      | $599.27        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/32 #583935                                                      | CUSIP: 36201HV42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3231 | PA      | $3345.09       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #711188                                                      | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109897 | PA      | $109802.01     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #507544                                                      | CUSIP: 36211AZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2644 | PA      | $2731.47       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 01/15/2035#626261                                             | CUSIP: 36291EWW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5429 | PA      | $5515.07       | 0.00%             | 2035-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 4/37 #003974                                                   | CUSIP: 36202EMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1367 | PA      | $1388.79       | 0.00%             | 2037-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 10/28 #469647                                                     | CUSIP: 36209EWG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1962 | PA      | $2022.63       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.87% 9/39 #721173                                                      | CUSIP: 3620A7FN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     605939 | PA      | $611606.34     | 0.03%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 6/37 #617570                                                      | CUSIP: 36290UCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79427 | PA      | $84328.10      | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | 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        |  134672816 | PA      | $112041776.23  | 6.30%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2042#617320                                             | CUSIP: 36290TYR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227640 | PA      | $220565.06     | 0.01%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 1/29 #002701                                                    | CUSIP: 36202DAA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        192 | PA      | $198.05        | 0.00%             | 2029-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5.5% 01/20/2036                               | CUSIP: 38374MVL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2232206 | PA      | $2283168.07    | 0.13%             | 2036-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #728792                                                     | CUSIP: 3620AFUR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163632 | PA      | $163485.31     | 0.01%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/40 #677135                                                      | CUSIP: 36295QHL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2156 | PA      | $2194.58       | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | 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        |     131638 | PA      | $128065.24     | 0.01%             | 2041-10-15      | 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        |      13438 | PA      | $13028.00      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/28 #469631                                                     | CUSIP: 36209EVY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $14.75         | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #454627                                                      | CUSIP: 36208MA47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        355 | PA      | $358.62        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/40 #545931                                                      | CUSIP: 36212WPQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144035 | PA      | $143938.22     | 0.01%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 03/20/2031#MA3496                                               | CUSIP: 36179R3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141978 | PA      | $138945.61     | 0.01%             | 2031-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 4/40 #004670                                                   | CUSIP: 36202FFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15525 | PA      | $14835.61      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/31 #545889                                                      | CUSIP: 36212WNE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12067 | PA      | $12470.62      | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 6/31 #003096                                                   | CUSIP: 36202DNM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      97810 | PA      | $101539.93     | 0.01%             | 2031-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/35 #550613                                                      | CUSIP: 36213CVE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1733 | PA      | $1760.58       | 0.00%             | 2035-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 02/20/2041#MA0434                                               | CUSIP: 36179MPT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     305572 | PA      | $277410.30     | 0.02%             | 2041-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 09/20/2039#                                                    | CUSIP: 3620ADK68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92930 | PA      | $96529.50      | 0.01%             | 2039-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2043#AF0125                                             | CUSIP: 36181FD65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29923 | PA      | $29091.35      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/27 #446872                                                      | CUSIP: 36208CMV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1171 | PA      | $1184.41       | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | 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        |     804890 | PA      | $718163.06     | 0.04%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 08/15/2042#AA7993                                             | CUSIP: 36178F3A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     191921 | PA      | $181129.46     | 0.01%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #433774                                                      | CUSIP: 36207J2F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1685 | PA      | $1704.68       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2004-59 SC TSFR1M+708.552 8/34                                           | CUSIP: 38374HXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     698476 | PA      | $54474.26      | 0.00%             | 2034-08-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3.5% 05/20/2027#MA0074                                             | CUSIP: 36179MCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196303 | PA      | $195066.85     | 0.01%             | 2027-05-20      | 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        |      21348 | PA      | $21730.88      | 0.00%             | 2036-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/34 #574678                                                      | CUSIP: 36200WM32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7953 | PA      | $8155.20       | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 1/28 #002535                                                   | CUSIP: 36202CY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         29 | PA      | $29.76         | 0.00%             | 2028-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 02/15/2034#627907                                             | CUSIP: 36291GR40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23887 | PA      | $24243.51      | 0.00%             | 2034-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 2.5% 03/15/2028#AA8397                                             | CUSIP: 36178GKJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1026694 | PA      | $1011207.98    | 0.06%             | 2028-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 7/29 #513173                                                   | CUSIP: 36211HCJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74990 | PA      | $75581.79      | 0.00%             | 2029-07-20      | Fixed         | 0.05%                 | 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        |      10677 | PA      | $9914.91       | 0.00%             | 2042-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/26 #425906                                                      | CUSIP: 36207ADK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.62          | 0.00%             | 2026-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 11/01/2055 #TBA                                                   | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3750000 | PA      | $3738024.00    | 0.21%             | 2055-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #433577                                                      | CUSIP: 36207JUA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1087 | PA      | $1099.04       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/27 #780628                                                      | CUSIP: 36225AVV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1430 | PA      | $1443.54       | 0.00%             | 2027-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 10/32 #583358                                                     | CUSIP: 36201HB36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35628 | PA      | $36964.93      | 0.00%             | 2032-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/36 #650166                                                      | CUSIP: 36292JJK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7392 | PA      | $7513.98       | 0.00%             | 2036-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 6/34 #607529                                                      | CUSIP: 36201Y4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39125 | PA      | $40819.18      | 0.00%             | 2034-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 8/28 #002631                                                   | CUSIP: 36202C4Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7435 | PA      | $7639.66       | 0.00%             | 2028-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 11/01/2055 #TBA                                                   | CUSIP: 21H0206B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5875000 | PA      | $4883046.79    | 0.27%             | 2055-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 11/20/2043#MA1448                                               | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18754 | PA      | $17729.19      | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/26 #425280                                                      | CUSIP: 36206YM57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $6.71          | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #733805                                                      | CUSIP: 3620AMGN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3755042 | PA      | $3553363.66    | 0.20%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.375% 05/20/2050#BQ7075                                             | CUSIP: 3617LR2G9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     282788 | PA      | $257687.16     | 0.01%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #430660                                                      | CUSIP: 36207FMH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        413 | PA      | $413.41        | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 12/15/2042#AB3093                                             | CUSIP: 36178NNJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25711 | PA      | $23230.58      | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #714431                                                      | CUSIP: 36297KVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48857 | PA      | $48806.85      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 08/15/2041#768109                                               | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26697 | PA      | $25968.78      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/36 #782114                                                      | CUSIP: 36241KK31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     196339 | PA      | $199555.29     | 0.01%             | 2036-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                   | UNITED STATES TREASURY BOND 5% 05/15/2045                                    | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1430000 | PA      | $1496584.38    | 0.08%             | 2045-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/26 #433389                                                     | CUSIP: 36207JNE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        867 | PA      | $872.09        | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AA6407                                             | CUSIP: 36178EDL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12711 | PA      | $11663.39      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/28 #449003                                                      | CUSIP: 36208EX81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         87 | PA      | $89.51         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 12/36 #003929                                                  | CUSIP: 36202ELJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71930 | PA      | $73115.95      | 0.00%             | 2036-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #514428                                                      | CUSIP: 36211JPM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        249 | PA      | $258.08        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 11/39 #004579                                                  | CUSIP: 36202FCQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56575 | PA      | $58593.72      | 0.00%             | 2039-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #502574                                                      | CUSIP: 36210UJT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3512 | PA      | $3591.79       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 3/30 #002895                                                   | CUSIP: 36202DGC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36772 | PA      | $37860.85      | 0.00%             | 2030-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/34 #628871                                                      | CUSIP: 36291HT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92406 | PA      | $94723.33      | 0.01%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 2/28 #002548                                                   | CUSIP: 36202CZM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26605 | PA      | $27338.12      | 0.00%             | 2028-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2043#AE0544                                             | CUSIP: 36180SS96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     445518 | PA      | $408949.80     | 0.02%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.0% 12/20/2034#783753                                               | CUSIP: 3622A2E24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     770247 | PA      | $780254.21     | 0.04%             | 2034-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #510107                                                      | CUSIP: 36211DU81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5352 | PA      | $5524.49       | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 1/28 #461211                                                      | CUSIP: 36208UKY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1407 | PA      | $1428.42       | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 11/15/2042#AA4350                                               | CUSIP: 36178BZP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138720 | PA      | $134570.55     | 0.01%             | 2042-11-15      | Fixed         | 0.04%                 | 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        |      18634 | PA      | $18187.95      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/30 #544885                                                     | CUSIP: 36212VJ67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4815 | PA      | $4938.34       | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/29 #506618                                                      | CUSIP: 36210YYP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        377 | PA      | $383.55        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/39 #706759                                                      | CUSIP: 36297BE80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     776264 | PA      | $775067.69     | 0.04%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 1/32 #003188                                                    | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22705 | PA      | $23598.76      | 0.00%             | 2032-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 03/20/2042#AA0595                                                 | CUSIP: 36177WUU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     585091 | PA      | $566571.61     | 0.03%             | 2042-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 10/20/2041#778361                                              | CUSIP: 36176WQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     857313 | PA      | $819339.47     | 0.05%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 2/29 #002716                                                   | CUSIP: 36202DAR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2895 | PA      | $2975.15       | 0.00%             | 2029-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 12/30 #003010                                                  | CUSIP: 36202DKX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127604 | PA      | $132018.59     | 0.01%             | 2030-12-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #464765                                                      | CUSIP: 36208YJJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        756 | PA      | $768.63        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 7/36#656919                                                  | CUSIP: 36294QYQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      76552 | PA      | $77796.33      | 0.00%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.50% 9/30 #515508                                                      | CUSIP: 36211KU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22160 | PA      | $22887.79      | 0.00%             | 2030-09-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/41#742244                                                    | CUSIP: 3620AWS92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     163419 | PA      | $158879.51     | 0.01%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 8/28 #002630                                                    | CUSIP: 36202C4P5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35225 | PA      | $36318.24      | 0.00%             | 2028-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #764819                                                      | CUSIP: 36176FPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92711 | PA      | $92648.77      | 0.01%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/28 #483175                                                      | CUSIP: 36209VXC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2756 | PA      | $2821.81       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/29 #495911                                                      | CUSIP: 36210L3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2733 | PA      | $2794.05       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #476857                                                      | CUSIP: 36209NWS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1227 | PA      | $1231.61       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 3/42 #005332                                                   | CUSIP: 36202F4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     267155 | PA      | $260058.65     | 0.01%             | 2042-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/27 #453857                                                     | CUSIP: 36208LE60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2014 | PA      | $2043.60       | 0.00%             | 2027-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2041#770432                                             | CUSIP: 36176MVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1174983 | PA      | $1141899.01    | 0.06%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/28 #465952                                                      | CUSIP: 36209ATH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        370 | PA      | $374.36        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #447986                                                      | CUSIP: 36208DUK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        979 | PA      | $992.12        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/27 #460982                                                     | CUSIP: 36208UCT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        905 | PA      | $916.25        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/26 #427188                                                     | CUSIP: 36207BRH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        552 | PA      | $551.42        | 0.00%             | 2026-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #590024                                                      | CUSIP: 36201QPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7632 | PA      | $7922.82       | 0.00%             | 2032-06-15      | 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        |    3468647 | PA      | $3462767.72    | 0.19%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #747250                                                      | CUSIP: 3620C3EX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     129811 | PA      | $126337.78     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/26 #417331                                                      | CUSIP: 36206PSU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        233 | PA      | $233.39        | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 10/32 #003294                                                  | CUSIP: 36202DUT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90801 | PA      | $91909.54      | 0.01%             | 2032-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #754197                                                      | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43752 | PA      | $42442.96      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/29 #500038                                                      | CUSIP: 36210RPX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $19.16         | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #565482                                                      | CUSIP: 36213VFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35952 | PA      | $37181.49      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | 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        |     172503 | PA      | $179448.63     | 0.01%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 6.50% 8/34 #616571                                                   | CUSIP: 36290S6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44060 | PA      | $46061.89      | 0.00%             | 2034-08-20      | Fixed         | 0.07%                 | 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        |   19935290 | PA      | $17120929.18   | 0.96%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 07/15/2040#745230                                             | CUSIP: 3620C04P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1209 | PA      | $1175.45       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 09/15/2041#469932                                               | CUSIP: 36209FA90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     286580 | PA      | $278437.19     | 0.02%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/40 #733871                                                      | CUSIP: 3620AMJQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     436918 | PA      | $436428.78     | 0.02%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480414                                                      | CUSIP: 36209SVF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4417 | PA      | $4488.62       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #470799                                                      | CUSIP: 36209F7L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        205 | PA      | $211.40        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #726156                                                      | CUSIP: 3620ACWR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     223056 | PA      | $222934.71     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 6% 11/01/2055 #TBA                                                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  108200000 | PA      | $110655631.46  | 6.22%             | 2055-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 09/20/2051#785616                                               | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9517219 | PA      | $8173627.80    | 0.46%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2009-13 E 4.5% 3/39                                                      | CUSIP: 38374TNS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1270869 | PA      | $1257022.57    | 0.07%             | 2039-03-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/39 #711461                                                     | CUSIP: 36297GMJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1147043 | PA      | $1116203.98    | 0.06%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/29 #510847                                                     | CUSIP: 36211EP85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        216 | PA      | $217.52        | 0.00%             | 2029-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/30 #528287                                                      | CUSIP: 36212A2U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        845 | PA      | $866.96        | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS         | GNR 2015-H21 HZ VAR 06/63                                                    | CUSIP: 38376RGJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     220579 | PA      | $215696.52     | 0.01%             | 2063-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #737539                                                     | CUSIP: 3620ARLU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31056 | PA      | $30209.43      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/29 #459211                                                      | CUSIP: 36208SDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        208 | PA      | $212.30        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | 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        |     519159 | PA      | $489497.64     | 0.03%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 7/34 #003587                                                      | CUSIP: 36202D6Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190041 | PA      | $199582.32     | 0.01%             | 2034-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/39 #710484                                                     | CUSIP: 36297FJ52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     556999 | PA      | $542313.98     | 0.03%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3% 11/01/2055 #TBA                                                 | CUSIP: 01F0306B9<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -17100000 | PA      | $-15148195.74  | -0.85%            | 2055-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/27 #780798                                                     | CUSIP: 36225A3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4861 | PA      | $4929.09       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 12/20/2042#AB7784                                               | CUSIP: 36178UUH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     331203 | PA      | $312952.53     | 0.02%             | 2042-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 02/20/2040#736452                                              | CUSIP: 3620AQEZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     227231 | PA      | $236097.07     | 0.01%             | 2040-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #783143                                                     | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1333557 | PA      | $1297359.23    | 0.07%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 2/42 #616878                                                      | CUSIP: 36290TJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     367738 | PA      | $347730.54     | 0.02%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                  | Fidelity Cash Central Fund                                                   | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   45851711 | NS      | $45860881.07   | 2.58%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 12/20/2031#MA4102                                               | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     884318 | PA      | $863540.13     | 0.05%             | 2031-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/29 #510991                                                      | CUSIP: 36211EUQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        763 | PA      | $779.73        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 6/33 #003402                                                   | CUSIP: 36202DX71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     273859 | PA      | $277351.09     | 0.02%             | 2033-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 4/33 #608147                                                      | CUSIP: 36202STC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8014 | PA      | $8119.35       | 0.00%             | 2033-04-15      | 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        |   46524860 | PA      | $40305658.51   | 2.27%             | 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        |     129317 | PA      | $129163.58     | 0.01%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 09/20/2040#783111                                               | CUSIP: 36241LN44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1774484 | PA      | $1773541.43    | 0.10%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 05/15/2043#AD9725                                             | CUSIP: 36180NYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     803548 | PA      | $735513.98     | 0.04%             | 2043-05-15      | Fixed         | 0.03%                 | 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        |    4103504 | PA      | $3990545.59    | 0.22%             | 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        |    1328079 | PA      | $1295607.67    | 0.07%             | 2040-10-20      | Fixed         | 0.04%                 | 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        |      14706 | PA      | $15327.38      | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 03/15/2036#782105                                             | CUSIP: 36241KKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     212236 | PA      | $215655.05     | 0.01%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/26 #416401                                                      | CUSIP: 36206NRW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        123 | PA      | $123.67        | 0.00%             | 2026-07-15      | Fixed         | 0.08%                 | 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        |      71220 | PA      | $2344.54       | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/29 #517072                                                     | CUSIP: 36211MMV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3993 | PA      | $4108.26       | 0.00%             | 2029-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/26 #422688                                                      | CUSIP: 36206VRH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $4.75          | 0.00%             | 2026-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2002-81 IO CSTR 9/42                                                     | CUSIP: 38373VN97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     533921 | PA      | $7082.89       | 0.00%             | 2042-09-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6% 07/01/2054#CB8857                                               | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559605 | PA      | $574119.54     | 0.03%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/26 #780463                                                     | CUSIP: 36225AQQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $3.24          | 0.00%             | 2026-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 10/15/2041#479683                                             | CUSIP: 36209R2Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     146822 | PA      | $142742.78     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 11/33 #003472                                                     | CUSIP: 36202D2D2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10758 | PA      | $10902.10      | 0.00%             | 2033-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 07/20/2043#635106                                               | CUSIP: 36291QR30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1197350 | PA      | $1128665.32    | 0.06%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/38 #701498                                                     | CUSIP: 36296UKK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     255039 | PA      | $271035.13     | 0.02%             | 2038-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #514397                                                      | CUSIP: 36211JNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        820 | PA      | $847.14        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 12/15/2042#AB8144                                               | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16964 | PA      | $16453.81      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 08/15/2042#758071                                             | CUSIP: 36230S6G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89778 | PA      | $86866.52      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2011-52 HI 7% 4/41                                                       | CUSIP: 38377VGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     132286 | PA      | $15018.08      | 0.00%             | 2041-04-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/29 #482373                                                      | CUSIP: 36209U2E5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2159 | PA      | $2211.25       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | 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        |     662478 | PA      | $639872.47     | 0.04%             | 2049-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 4% 04/20/2040                                 | CUSIP: 38377R4H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4346596 | PA      | $4248784.86    | 0.24%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #728446                                                     | CUSIP: 3620AFHX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     243302 | PA      | $243115.34     | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | 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        |    8545408 | PA      | $8322002.34    | 0.47%             | 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        |    5210109 | PA      | $4833457.95    | 0.27%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/30 #781196                                                      | CUSIP: 36225BKH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1162 | PA      | $1185.49       | 0.00%             | 2030-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/28 #475554                                                      | CUSIP: 36209MH72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        857 | PA      | $877.04        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/29 #470239                                                      | CUSIP: 36209FLU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1084 | PA      | $1118.18       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/39 #702871                                                      | CUSIP: 36296V2C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47221 | PA      | $45994.45      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #620547                                                      | CUSIP: 36290XL40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14601 | PA      | $14792.56      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/40 #747136                                                      | CUSIP: 3620C3BD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2873 | PA      | $2792.90       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 4/34 #608589                                                      | CUSIP: 36202TC20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20402 | PA      | $20910.46      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 5/34 #608602                                                      | CUSIP: 36202TDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     142863 | PA      | $146382.66     | 0.01%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/27 #439599                                                      | CUSIP: 36207RKL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3885 | PA      | $3935.92       | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #457723                                                      | CUSIP: 36208QPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        704 | PA      | $711.98        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 04/47#784304                                                      | CUSIP: 3622A2X98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3215743 | PA      | $3078089.95    | 0.17%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #434014                                                     | CUSIP: 36207KDT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        276 | PA      | $281.34        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 10/20/2043#MA1375                                               | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8912 | PA      | $8427.19       | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/32 #590196                                                      | CUSIP: 36201QUV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        135 | PA      | $139.51        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 07/20/2050#BV5275                                                 | CUSIP: 3617NJ2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2895882 | PA      | $2602724.26    | 0.15%             | 2050-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/38 #687928                                                      | CUSIP: 36296DHD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3884 | PA      | $4104.16       | 0.00%             | 2038-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 07/40#742183                                                    | CUSIP: 3620AWRC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122254 | PA      | $121712.55     | 0.01%             | 2040-07-20      | 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        |    5210070 | PA      | $4472911.14    | 0.25%             | 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        |    5304300 | PA      | $5023141.44    | 0.28%             | 2043-04-20      | 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        |    6991226 | PA      | $6821464.20    | 0.38%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #465904                                                      | CUSIP: 36209ARZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $47.39         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/40 #757044                                                     | CUSIP: 36230RZH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80920 | PA      | $78682.49      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/26 #420653                                                      | CUSIP: 36206TH62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.88          | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 4/39 #705324                                                      | CUSIP: 36296YSM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     413834 | PA      | $402814.87     | 0.02%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/28 #484938                                                     | CUSIP: 36209XV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1036 | PA      | $1041.97       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 09/20/2031#MA3913                                               | CUSIP: 36179SK22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70186 | PA      | $68573.76      | 0.00%             | 2031-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #457682                                                      | CUSIP: 36208QM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        707 | PA      | $716.09        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 07/50#BV5263                                                      | CUSIP: 3617NJZ46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2496100 | PA      | $2242632.88    | 0.13%             | 2050-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #769093                                                      | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51023 | PA      | $49542.58      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 11/15/2033#622161                                             | CUSIP: 36291AFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32186 | PA      | $32656.36      | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.0% 01/20/2035#781859                                               | CUSIP: 36241KB49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1679515 | PA      | $1704076.30    | 0.10%             | 2035-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 10YR NOTE FUT (CBT)DEC25 TYZ5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -805 | NC      | $-347576.47    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #449748                                                     | CUSIP: 36208FTD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7485 | PA      | $7594.68       | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #516121                                                     | CUSIP: 36211LLA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $55.47         | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 12/20/2044#AK8274                                               | CUSIP: 36183SFP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     469407 | PA      | $440772.20     | 0.02%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 1/39 #701572                                                      | CUSIP: 36296UMV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     182612 | PA      | $193240.21     | 0.01%             | 2039-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/40 #745409                                                      | CUSIP: 3620C1DN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169360 | PA      | $169115.31     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/27 #426350                                                     | CUSIP: 36207ATF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        300 | PA      | $303.21        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #772060                                                      | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71623 | PA      | $69576.54      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #760497                                                     | CUSIP: 36176AUW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61322 | PA      | $59649.25      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-24 TC 5.5% 3/35                                                     | CUSIP: 38374KZ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1207063 | PA      | $1242743.67    | 0.07%             | 2035-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #442456                                                      | CUSIP: 36207UQH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        553 | PA      | $561.08        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | 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        |    2940000 | PA      | $2985618.46    | 0.17%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 02/20/2046#AK8800                                              | CUSIP: 36183SX55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     641341 | PA      | $606695.87     | 0.03%             | 2046-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 11/15/2042#AA3605                                               | CUSIP: 36178BAE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67342 | PA      | $61881.02      | 0.00%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.50% 1/34 #003502                                                   | CUSIP: 36202D3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        616 | PA      | $647.19        | 0.00%             | 2034-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/30 #486031                                                     | CUSIP: 36209Y4Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        875 | PA      | $901.38        | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 2/26 #405579                                                      | CUSIP: 36206AQ89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.89          | 0.00%             | 2026-02-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 4/39 #694381                                                      | CUSIP: 36296LM64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114031 | PA      | $111192.18     | 0.01%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2043#AA6291                                             | CUSIP: 36178D7C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130564 | PA      | $120368.48     | 0.01%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/28 #490807                                                     | CUSIP: 36210FGQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        720 | PA      | $727.96        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 7/35 #003735                                                   | CUSIP: 36202EEG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8894 | PA      | $9030.41       | 0.00%             | 2035-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 1/33 #003331                                                      | CUSIP: 36202DVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7379 | PA      | $7468.67       | 0.00%             | 2033-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/28 #780873                                                     | CUSIP: 36225A6J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        180 | PA      | $182.60        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #425825                                                      | CUSIP: 36207AA28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        609 | PA      | $615.64        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/28 #465920                                                      | CUSIP: 36209ASH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2023 | PA      | $2044.56       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/40 #723727                                                      | CUSIP: 3620AAA40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     362421 | PA      | $352677.31     | 0.02%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #586738                                                      | CUSIP: 36201LZB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8205 | PA      | $8515.33       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #490591                                                      | CUSIP: 36210E7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        518 | PA      | $527.48        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/34 #607505                                                      | CUSIP: 36201Y3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49959 | PA      | $52098.11      | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 08/20/2051#785575                                               | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3734927 | PA      | $3207649.81    | 0.18%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 11/20/2049#BL1670                                                 | CUSIP: 3617JD2B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     408492 | PA      | $367777.58     | 0.02%             | 2049-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #470796                                                      | CUSIP: 36209F7H6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        713 | PA      | $735.87        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 12/25 #385003                                                     | CUSIP: 36205AU44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        190 | PA      | $189.90        | 0.00%             | 2025-12-15      | Fixed         | 0.08%                 | 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        |    3015858 | PA      | $2957214.97    | 0.17%             | 2051-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #433726                                                      | CUSIP: 36207JYX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1009 | PA      | $1022.45       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 5/29 #508131                                                   | CUSIP: 36211BPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36634 | PA      | $36945.32      | 0.00%             | 2029-05-20      | Fixed         | 0.05%                 | 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        |    1780307 | PA      | $1745399.80    | 0.10%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/29 #583752                                                      | CUSIP: 36201HQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49049 | PA      | $50105.62      | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 11/01/2041#QK1203                                             | CUSIP: 3133D4KQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     568056 | PA      | $511531.74     | 0.03%             | 2041-11-01      | Fixed         | 0.03%                 | 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        |    1397261 | PA      | $1396331.29    | 0.08%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/30 #532641                                                     | CUSIP: 36212FWA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        189 | PA      | $195.05        | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #514322                                                      | CUSIP: 36211JLB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14985 | PA      | $15489.99      | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 07/15/2043#767074                                             | CUSIP: 36176H6K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     491223 | PA      | $463271.42     | 0.03%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #730155                                                     | CUSIP: 3620AHE41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124456 | PA      | $124403.96     | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 12/39 #004597                                                  | CUSIP: 36202FDA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206927 | PA      | $202134.59     | 0.01%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #717233                                                      | CUSIP: 3620A2Y67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33092 | PA      | $33069.31      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 3/34 #608568                                                      | CUSIP: 36202TCD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127165 | PA      | $130372.32     | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | 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        |    3408742 | PA      | $3366164.63    | 0.19%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.45% 1/32 #558495                                                      | CUSIP: 36213MNL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18531 | PA      | $19322.74      | 0.00%             | 2032-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 3/28 #462615                                                      | CUSIP: 36208V3Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2451 | PA      | $2527.14       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 1/30 #434655                                                      | CUSIP: 36207KZU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $50.98         | 0.00%             | 2030-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 11/39 #004576                                                  | CUSIP: 36202FCM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166191 | PA      | $162294.61     | 0.01%             | 2039-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/29 #508833                                                      | CUSIP: 36211CHJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        271 | PA      | $276.84        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/27 #455529                                                      | CUSIP: 36208NA60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        674 | PA      | $694.59        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 5/30 #532373                                                   | CUSIP: 36212FMW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37990 | PA      | $38255.84      | 0.00%             | 2030-05-20      | Fixed         | 0.05%                 | 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        |     481294 | PA      | $467399.68     | 0.03%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2045#AL9296                                             | CUSIP: 36184HKH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12665 | PA      | $11495.73      | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 12/20/2039#736455                                              | CUSIP: 3620AQE41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88996 | PA      | $92524.07      | 0.01%             | 2039-12-20      | Fixed         | 0.06%                 | 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        |     672713 | PA      | $672068.36     | 0.04%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 12/33 #590182                                                     | CUSIP: 36201QUF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32031 | PA      | $32814.93      | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 9/32 #548615                                                      | CUSIP: 36213AN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77673 | PA      | $80904.52      | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 9/28 #475562                                                      | CUSIP: 36209MJF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1629 | PA      | $1679.42       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #743036                                                      | CUSIP: 3620AXPV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     456729 | PA      | $443681.91     | 0.02%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 12/20/2040#759375                                                 | CUSIP: 36230UMY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     125550 | PA      | $121907.79     | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/29 #487590                                                      | CUSIP: 36210BUP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3554 | PA      | $3623.15       | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #473514                                                      | CUSIP: 36209KAP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3188 | PA      | $3232.63       | 0.00%             | 2028-04-15      | 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        |       1019 | PA      | $1027.98       | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #720065                                                      | CUSIP: 3620A56A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     265336 | PA      | $265165.80     | 0.01%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #475538                                                      | CUSIP: 36209MHP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        282 | PA      | $284.76        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 7/29 #505085                                                      | CUSIP: 36210XCW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $396.71        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/41 #732892                                                      | CUSIP: 3620ALF90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12144 | PA      | $12115.30      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 10/20/2049#BQ4138                                               | CUSIP: 3617LNS39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     653347 | PA      | $600313.63     | 0.03%             | 2049-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #456806                                                      | CUSIP: 36208PNX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1041 | PA      | $1056.36       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/26 #423825                                                      | CUSIP: 36206WYW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $4.91          | 0.00%             | 2026-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 07/15/2034#586151                                             | CUSIP: 36201LEY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1210 | PA      | $1228.63       | 0.00%             | 2034-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 11/28 #458939                                                     | CUSIP: 36208RZC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2429 | PA      | $2504.57       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #727416                                                      | CUSIP: 3620AEDV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     188540 | PA      | $188304.67     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                        | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1365849 | PA      | $1254875.45    | 0.07%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/35 #642590                                                      | CUSIP: 36291Y2X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8796 | PA      | $8930.13       | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | 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        |    1183780 | PA      | $1186593.07    | 0.07%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/40 #698163                                                      | CUSIP: 36296QTU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23491 | PA      | $23919.66      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #521873                                                     | CUSIP: 36211SXA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9664 | PA      | $10010.51      | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/29 #508736                                                      | CUSIP: 36211CEH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3725 | PA      | $3801.36       | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #458641                                                      | CUSIP: 36208RP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2508 | PA      | $2541.49       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/33 #781769                                                     | CUSIP: 36225B6E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10265 | PA      | $10405.60      | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/39 #678644                                                     | CUSIP: 36295R5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     952730 | PA      | $926625.63     | 0.05%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #433566                                                      | CUSIP: 36207JTX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        180 | PA      | $182.27        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | 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        |      37285 | PA      | $36213.92      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #366970                                                      | CUSIP: 36204DT33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107415 | PA      | $104785.50     | 0.01%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 6/32 #003247                                                      | CUSIP: 36202DTC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164823 | PA      | $166674.15     | 0.01%             | 2032-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 5/39 #714152                                                      | CUSIP: 36297KL90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33119 | PA      | $32335.99      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.0% 02/20/2035#782224                                               | CUSIP: 36241KPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1639 | PA      | $1661.47       | 0.00%             | 2035-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/26 #432701                                                      | CUSIP: 36207HU21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.26         | 0.00%             | 2026-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 05/20/2050#BT6874                                               | CUSIP: 3617MVT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2491076 | PA      | $2289649.85    | 0.13%             | 2050-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/30 #515361                                                      | CUSIP: 36211KQN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1536 | PA      | $1578.63       | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/26 #436608                                                      | CUSIP: 36207NAH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        249 | PA      | $248.62        | 0.00%             | 2026-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 05/20/2031#MA3639                                               | CUSIP: 36179SBG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1133974 | PA      | $1109442.93    | 0.06%             | 2031-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 2.5% 10/15/2042#AA5729                                             | CUSIP: 36178DLJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     156107 | PA      | $139474.81     | 0.01%             | 2042-10-15      | Fixed         | 0.03%                 | 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        |    1215556 | PA      | $1095517.18    | 0.06%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #517850                                                      | CUSIP: 36211NH35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        759 | PA      | $785.80        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 12/30 #545333                                                  | CUSIP: 36212VY60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32515 | PA      | $32954.45      | 0.00%             | 2030-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.75% 05/20/2050#BQ7078                                              | CUSIP: 3617LR2K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     601556 | PA      | $527329.00     | 0.03%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 3/43#AA6148                                                       | CUSIP: 36178DZM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198099 | PA      | $182796.51     | 0.01%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #433752                                                      | CUSIP: 36207JZR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        474 | PA      | $480.45        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2049#BL1665                                               | CUSIP: 3617JDZ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116804 | PA      | $107578.63     | 0.01%             | 2049-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 11/01/2055 #TBA                                                 | CUSIP: 21H0626B8<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -22825000 | PA      | $-23534154.49  | -1.32%            | 2055-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 09/20/2045#AK8793                                              | CUSIP: 36183SXW6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1090492 | PA      | $1032297.06    | 0.06%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.0% 02/20/2032#003198                                               | CUSIP: 36202DRT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        638 | PA      | $643.73        | 0.00%             | 2032-02-20      | 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 2.5% 11/25/2047                               | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2929076 | PA      | $2669163.64    | 0.15%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #471849                                                      | CUSIP: 36209HEW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        643 | PA      | $651.32        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/29 #503992                                                     | CUSIP: 36210V2Z3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        393 | PA      | $406.86        | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.375% 05/20/2050#BQ7081                                             | CUSIP: 3617LR2N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1104678 | PA      | $942982.30     | 0.05%             | 2050-05-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 11/40 #691706                                                     | CUSIP: 36296HNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46002 | PA      | $44694.46      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #434587                                                     | CUSIP: 36207KXQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29870 | PA      | $30876.71      | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/31 #554028                                                     | CUSIP: 36213GPM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2546 | PA      | $2637.17       | 0.00%             | 2031-12-15      | 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        |    2623243 | PA      | $2407175.80    | 0.14%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 1/42 #553451                                                      | CUSIP: 36213FZQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2533241 | PA      | $2397183.77    | 0.13%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/27 #451524                                                     | CUSIP: 36208HSM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        285 | PA      | $285.87        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 03/15/2041#769036                                               | CUSIP: 36176LEH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14145 | PA      | $13720.16      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AE7026                                             | CUSIP: 36181AYX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5338 | PA      | $4909.07       | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | 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        |    1676493 | PA      | $1674993.81    | 0.09%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/41 #690670                                                      | CUSIP: 36296GJP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     178062 | PA      | $177833.77     | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/41 #757600                                                      | CUSIP: 36230SNR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93577 | PA      | $93534.94      | 0.01%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/41 #737898                                                      | CUSIP: 3620ARX30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53246 | PA      | $51827.91      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #615432                                                      | CUSIP: 36290RVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32050 | PA      | $32479.48      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/42 #438588                                                      | CUSIP: 36207QF51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57540 | PA      | $55810.77      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 2/37 #638726                                                      | CUSIP: 36291USP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23106 | PA      | $24125.93      | 0.00%             | 2037-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 3/33 #003359                                                      | CUSIP: 36202DWU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     236684 | PA      | $239671.42     | 0.01%             | 2033-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/29 #513722                                                      | CUSIP: 36211HVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        192 | PA      | $195.54        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | 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        |        733 | PA      | $739.45        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | 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        |      52647 | PA      | $53839.73      | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #462916                                                      | CUSIP: 36208WGZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        448 | PA      | $454.42        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/41 #690665                                                      | CUSIP: 36296GJJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73349 | PA      | $73199.34      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/38 #701496                                                     | CUSIP: 36296UKH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     148594 | PA      | $157216.85     | 0.01%             | 2038-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 12/33 #783571                                                     | CUSIP: 36241L6G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10603 | PA      | $10746.79      | 0.00%             | 2033-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #487613                                                      | CUSIP: 36210BVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $45.64         | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #407840                                                      | CUSIP: 36206DBH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         86 | PA      | $86.09         | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 2/35 #003677                                                      | CUSIP: 36202ECN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        652 | PA      | $661.42        | 0.00%             | 2035-02-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/32 #582260                                                      | CUSIP: 36201FZZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1977 | PA      | $2045.59       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 2/42 #617454                                                      | CUSIP: 36290T5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93198 | PA      | $88192.53      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 08/41#764892                                                    | CUSIP: 36176FRM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99595 | PA      | $96690.22      | 0.01%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                         | BOAM SWAP REC 4.065 05/02/30                                                 | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    5370000 | NC      | $192966.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/31 #489937                                                      | CUSIP: 36210EHN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13609 | PA      | $14037.36      | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #472284                                                      | CUSIP: 36209HUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1957 | PA      | $1988.02       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | 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        |     318397 | PA      | $292035.47     | 0.02%             | 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        |     410005 | PA      | $35710.29      | 0.00%             | 2037-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 3/29 #002728                                                      | CUSIP: 36202DA50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        335 | PA      | $340.69        | 0.00%             | 2029-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 03/15/2041#761212                                             | CUSIP: 36176BN52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41558 | PA      | $40424.17      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 05/15/2042#AA1859                                               | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6328 | PA      | $6252.33       | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 11/15/2040#747894                                               | CUSIP: 3620C33B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169617 | PA      | $164841.10     | 0.01%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.00% 9/42 #AB3645                                                      | CUSIP: 36178QBN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     508684 | PA      | $469655.56     | 0.03%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 3/36 #782068                                                      | CUSIP: 36241KJM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        482 | PA      | $489.74        | 0.00%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 11/39 #710499                                                     | CUSIP: 36297FKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     339506 | PA      | $339086.22     | 0.02%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.0% 01/20/2032#003184                                               | CUSIP: 36202DRD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        231 | PA      | $233.94        | 0.00%             | 2032-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.0% 06/20/2042#783637                                               | CUSIP: 3622A2BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2146978 | PA      | $1994561.47    | 0.11%             | 2042-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/40 #731980                                                      | CUSIP: 3620AKFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20558 | PA      | $20939.24      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #749264                                                      | CUSIP: 3620C5MM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     516279 | PA      | $500759.90     | 0.03%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 10/20/2052#MA8343                                               | CUSIP: 36179XHU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2400638 | PA      | $2089860.96    | 0.12%             | 2052-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 02/15/2038#752126                                               | CUSIP: 36230LLF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3194170 | PA      | $2993468.31    | 0.17%             | 2038-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/26 #417226                                                      | CUSIP: 36206PPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.15          | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2045#AL4762                                             | CUSIP: 36184BJF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     431652 | PA      | $416014.58     | 0.02%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 2/35 #636168                                                      | CUSIP: 36291RW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        386 | PA      | $391.83        | 0.00%             | 2035-02-15      | Fixed         | 0.05%                 | 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        |    2532992 | PA      | $2195186.32    | 0.12%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 01/20/2050#BR8998                                                 | CUSIP: 3617M77K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92091 | PA      | $82796.99      | 0.00%             | 2050-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 9/32 #003285                                                   | CUSIP: 36202DUJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1095060 | PA      | $1132578.54    | 0.06%             | 2032-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/31 #564543                                                     | CUSIP: 36213UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        543 | PA      | $561.16        | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4% 01/20/2042#AA0228                                                 | CUSIP: 36177WHD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3285379 | PA      | $3183962.61    | 0.18%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.0% 12/20/2032#003319                                               | CUSIP: 36202DVL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9359 | PA      | $9477.92       | 0.00%             | 2032-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 9/31 #003134                                                   | CUSIP: 36202DPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12421 | PA      | $12933.58      | 0.00%             | 2031-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 12/20/2051#785792                                               | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4411295 | PA      | $3788531.67    | 0.21%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/30 #532749                                                      | CUSIP: 36212FZN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1085 | PA      | $1119.53       | 0.00%             | 2030-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 05/20/2050#BQ7077                                                 | CUSIP: 3617LR2J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1735115 | PA      | $1558921.95    | 0.09%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.75% 07/20/2047#AY2386                                              | CUSIP: 36196RUK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     207956 | PA      | $195747.44     | 0.01%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 06/15/2043#AE9987                                             | CUSIP: 36181ECY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     765970 | PA      | $701608.70     | 0.04%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2042#792959                                             | CUSIP: 36177MJD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120607 | PA      | $117211.11     | 0.01%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/40 #741309                                                      | CUSIP: 3620AVR61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     102779 | PA      | $102680.81     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #423911                                                      | CUSIP: 36206W3U7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $39.99         | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 06/15/2042#AA4843                                             | CUSIP: 36178CLY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     355181 | PA      | $345770.44     | 0.02%             | 2042-06-15      | 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        |     201805 | PA      | $195467.48     | 0.01%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/27 #448969                                                      | CUSIP: 36208EW66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1190 | PA      | $1192.80       | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | 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        |    8686662 | PA      | $8035331.13    | 0.45%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 11/15/2036#662641                                            | CUSIP: 36294XEN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35547 | PA      | $36122.68      | 0.00%             | 2036-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 1/35 #003664                                                      | CUSIP: 36202EB99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1057980 | PA      | $1073542.08    | 0.06%             | 2035-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 6/40 #004712                                                   | CUSIP: 36202FGV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     179922 | PA      | $175620.35     | 0.01%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 12/30 #545295                                                  | CUSIP: 36212VXY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36023 | PA      | $36436.93      | 0.00%             | 2030-12-20      | 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        |     924230 | PA      | $779346.25     | 0.04%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/32 #594858                                                      | CUSIP: 36201VZX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4215 | PA      | $4367.18       | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 6/39 #004469                                                   | CUSIP: 36202E6E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     287683 | PA      | $292757.15     | 0.02%             | 2039-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 03/15/2045#AL8635                                             | CUSIP: 36184FSY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11929 | PA      | $10908.02      | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 9/34 #003613                                                      | CUSIP: 36202EAN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25526 | PA      | $26925.94      | 0.00%             | 2034-09-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/26 #433224                                                      | CUSIP: 36207JG98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        175 | PA      | $175.32        | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 8/36#660506                                                  | CUSIP: 36294UYB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95098 | PA      | $96610.13      | 0.01%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2041#756664                                             | CUSIP: 36230RMM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     503739 | PA      | $489425.53     | 0.03%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/29 #487384                                                      | CUSIP: 36210BM93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3597 | PA      | $3672.40       | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 1/39 #702851                                                      | CUSIP: 36296VZQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     247676 | PA      | $247304.90     | 0.01%             | 2039-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.0% 11/40#AI8296                                                       | CUSIP: 36198VGD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     918191 | PA      | $893863.07     | 0.05%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 8/33 #614932                                                      | CUSIP: 36290RED1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13611 | PA      | $13811.43      | 0.00%             | 2033-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/27 #780570                                                      | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        753 | PA      | $757.31        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/26 #780481                                                     | CUSIP: 36225ARA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $5.50          | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 3/39 #704439                                                      | CUSIP: 36296XS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30471 | PA      | $30455.44      | 0.00%             | 2039-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #518459                                                      | CUSIP: 36211N5U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        545 | PA      | $547.89        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #518488                                                      | CUSIP: 36211N6Z6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2209 | PA      | $2268.98       | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 08/15/2043#763875                                             | CUSIP: 36176EMY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     433134 | PA      | $406809.00     | 0.02%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 03/20/2040#736496                                              | CUSIP: 3620AQGD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     138545 | PA      | $143976.08     | 0.01%             | 2040-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 12/15/2042#711697                                             | CUSIP: 36297GUW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68534 | PA      | $62998.48      | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #453374                                                     | CUSIP: 36208KT74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1478 | PA      | $1499.27       | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | 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        |    2604232 | PA      | $2361501.87    | 0.13%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/40 #706824                                                      | CUSIP: 36297BG96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92300 | PA      | $92053.06      | 0.01%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/26 #431510                                                     | CUSIP: 36207GKX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        220 | PA      | $221.67        | 0.00%             | 2026-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2016-12 FA TSFR1M+46.448 1/46                                            | CUSIP: 38379TH85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     611899 | PA      | $600025.32     | 0.03%             | 2046-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/28 #457114                                                     | CUSIP: 36208PYK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1794 | PA      | $1849.33       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | 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        |    3497126 | PA      | $3227038.31    | 0.18%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/29 #487460                                                      | CUSIP: 36210BQM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3805 | PA      | $3891.60       | 0.00%             | 2029-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/34 #781814                                                     | CUSIP: 36241KAP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16760 | PA      | $16996.01      | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.6% 11/15/2036#662881                                             | CUSIP: 36294XM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115125 | PA      | $118371.98     | 0.01%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/40 #756817                                                     | CUSIP: 36230RSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94487 | PA      | $94341.48      | 0.01%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #410454                                                      | CUSIP: 36206F5P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1601 | PA      | $1624.71       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 09/20/2042#MA0436                                               | CUSIP: 36179MPV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     408874 | PA      | $366978.21     | 0.02%             | 2042-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 09/20/2040#748826                                              | CUSIP: 3620C44K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86113 | PA      | $89397.59      | 0.01%             | 2040-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 5/27 #002430                                                   | CUSIP: 36202CVX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2777 | PA      | $2853.38       | 0.00%             | 2027-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/41 #759190                                                      | CUSIP: 36230UF79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79146 | PA      | $76896.69      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 02/15/2041#757557                                               | CUSIP: 36230SME1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14916 | PA      | $14536.86      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #743035                                                      | CUSIP: 3620AXPU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     320823 | PA      | $311084.79     | 0.02%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 08/15/2042#AA7963                                             | CUSIP: 36178FZ41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43548 | PA      | $41002.86      | 0.00%             | 2042-08-15      | 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        |    1290490 | PA      | $1138250.22    | 0.06%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 4/40#728850                                                     | CUSIP: 3620AFWK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63007 | PA      | $62744.76      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/27 #353761                                                      | CUSIP: 36203M5W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        195 | PA      | $197.75        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | 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        |       5628 | PA      | $5811.57       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #267916                                                      | CUSIP: 362195SD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        546 | PA      | $550.50        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/28 #460911                                                      | CUSIP: 36208UAL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4446 | PA      | $4559.11       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 4/40 #004677                                                   | CUSIP: 36202FFS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22538 | PA      | $22010.82      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #703023                                                      | CUSIP: 36296WAY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4627277 | PA      | $4620754.45    | 0.26%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 4/42 #779087                                                      | CUSIP: 36176XJ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1411862 | PA      | $1337028.15    | 0.08%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 11/28 #002671                                                     | CUSIP: 36202C6G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        810 | PA      | $825.03        | 0.00%             | 2028-11-20      | Fixed         | 0.06%                 | 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        |   67408006 | PA      | $62736860.71   | 3.53%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #451704                                                      | CUSIP: 36208HX92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        311 | PA      | $312.08        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | 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        |    3218611 | PA      | $3139806.30    | 0.18%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 01/41#719486                                                    | CUSIP: 3620A5J75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18743 | PA      | $18244.23      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #768771                                                      | CUSIP: 36176K2C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139337 | PA      | $135128.34     | 0.01%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 4/31 #003067                                                      | CUSIP: 36202DMQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     269512 | PA      | $276992.41     | 0.02%             | 2031-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/38 #701495                                                     | CUSIP: 36296UKG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67370 | PA      | $71268.07      | 0.00%             | 2038-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-82 JV 5% 6/35                                                       | CUSIP: 38374MBN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1000112 | PA      | $1009563.95    | 0.06%             | 2035-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 11/20/2044#AK2823                                               | CUSIP: 36183LD45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6641906 | PA      | $6243848.27    | 0.35%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/27 #457532                                                     | CUSIP: 36208QHH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        532 | PA      | $533.37        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/30 #527418                                                     | CUSIP: 36211Y4B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7900 | PA      | $8160.36       | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 06/20/2040#745384                                              | CUSIP: 3620C1CV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63036 | PA      | $65561.24      | 0.00%             | 2040-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/33 #614960                                                     | CUSIP: 36290RE90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        282 | PA      | $286.79        | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.87% 12/39 #728688                                                     | CUSIP: 3620AFRH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     318005 | PA      | $320977.87     | 0.02%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 3% 12/01/2051#FM9777                                               | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     563390 | PA      | $505541.41     | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 4/34 #003543                                                      | CUSIP: 36202D5C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10880 | PA      | $11031.05      | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/36 #651848                                                      | CUSIP: 36292LEV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2596 | PA      | $2638.72       | 0.00%             | 2036-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 12/20/2039#729169                                              | CUSIP: 3620AGCE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     118016 | PA      | $122620.86     | 0.01%             | 2039-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 8/39 #692468                                                      | CUSIP: 36296JJM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     248706 | PA      | $248515.33     | 0.01%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/30 #533888                                                      | CUSIP: 36212HCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3699 | PA      | $3791.76       | 0.00%             | 2030-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #749249                                                      | CUSIP: 3620C5L62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     725394 | PA      | $704671.93     | 0.04%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 11/01/2055 #TBA                                                   | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -3750000 | PA      | $-3738024.00   | -0.21%            | 2055-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/26 #436719                                                     | CUSIP: 36207NDY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        731 | PA      | $735.51        | 0.00%             | 2026-10-15      | Fixed         | 0.08%                 | 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        |     367398 | PA      | $348069.59     | 0.02%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.00% 9/42 #AB2888                                                      | CUSIP: 36178NF53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60198 | PA      | $55416.45      | 0.00%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 11/31 #003162                                                     | CUSIP: 36202DQP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25900 | PA      | $26943.33      | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 2/29 #490015                                                      | CUSIP: 36210EK40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2970 | PA      | $3029.81       | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2012-76 GF TSFR1M+41.448 6/42                                            | CUSIP: 38375C4S6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     224448 | PA      | $222855.42     | 0.01%             | 2042-06-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.50% 7/40 #783038                                                   | CUSIP: 36241LLT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     594874 | PA      | $615705.71     | 0.03%             | 2040-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 10/15/2042#AA8591                                             | CUSIP: 36178GRL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198461 | PA      | $186905.95     | 0.01%             | 2042-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 07/15/2036#660691                                            | CUSIP: 36294U7C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42823 | PA      | $43506.13      | 0.00%             | 2036-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/33 #602249                                                      | CUSIP: 36200JBS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3156 | PA      | $3188.43       | 0.00%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 5% 08/20/2045                                 | CUSIP: 38379MN91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4728096 | PA      | $937403.15     | 0.05%             | 2045-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 08/15/2042#AB1489                                             | CUSIP: 36178LUN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5678 | PA      | $5523.86       | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/35 #649492                                                     | CUSIP: 36292HRM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        816 | PA      | $829.69        | 0.00%             | 2035-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 12/39 #721062                                                     | CUSIP: 3620A7B79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     171038 | PA      | $170911.88     | 0.01%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 2/32 #003200                                                   | CUSIP: 36202DRV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1429 | PA      | $1474.14       | 0.00%             | 2032-02-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 05/15/2033#553243                                             | CUSIP: 36213FS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56025 | PA      | $56768.45      | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 1/41#004921                                                     | CUSIP: 36202FPE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2438 | PA      | $2323.31       | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 06/15/2042#AB1293                                               | CUSIP: 36178LNJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      70802 | PA      | $64967.40      | 0.00%             | 2042-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #471698                                                      | CUSIP: 36209G7K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        611 | PA      | $613.96        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.25% 02/41#AO9700                                                   | CUSIP: 3617AAX58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     679466 | PA      | $598595.69     | 0.03%             | 2041-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/26 #421729                                                      | CUSIP: 36206UPN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $7.75          | 0.00%             | 2026-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 11/20/2031#MA4044                                               | CUSIP: 36179SP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     586984 | PA      | $573037.41     | 0.03%             | 2031-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/27 #780626                                                      | CUSIP: 36225AVT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        528 | PA      | $531.99        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #474791                                                      | CUSIP: 36209LNG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1255 | PA      | $1273.12       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 9/33 #607397                                                      | CUSIP: 36201YX27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38278 | PA      | $39191.27      | 0.00%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #450325                                                      | CUSIP: 36208GHA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        767 | PA      | $778.47        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | 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        |    2713653 | PA      | $2569868.21    | 0.14%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 7/37 #004004                                                   | CUSIP: 36202ENV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3747 | PA      | $3810.74       | 0.00%             | 2037-07-20      | Fixed         | 0.05%                 | 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        |        871 | PA      | $884.46        | 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        |     246494 | PA      | $239048.41     | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 5% 11/01/2055 #TBA                                                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -17000000 | PA      | $-16916327.70  | -0.95%            | 2055-11-01      | Fixed         | 0.05%                 | 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        |      69606 | PA      | $68440.40      | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 02/15/2041#759207                                               | CUSIP: 36230UGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     387324 | PA      | $376711.34     | 0.02%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #421987                                                      | CUSIP: 36206UXQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $101.19        | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #433849                                                      | CUSIP: 36207J5J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        496 | PA      | $502.28        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | 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        |     542028 | PA      | $541508.28     | 0.03%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 6/28 #476343                                                      | CUSIP: 36209NEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1754 | PA      | $1808.86       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-82 NS TSFR1M+618.552 7/34                                           | CUSIP: 38374MBT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1295604 | PA      | $97880.28      | 0.01%             | 2034-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #412645                                                      | CUSIP: 36206JL28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        123 | PA      | $123.09        | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #442336                                                      | CUSIP: 36207ULR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        613 | PA      | $621.27        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #482056                                                      | CUSIP: 36209UQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        270 | PA      | $273.96        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/31 #474776                                                      | CUSIP: 36209LMZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        465 | PA      | $479.34        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | 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        |    1209167 | PA      | $1144831.73    | 0.06%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 04/20/2052#                                                     | CUSIP: 36179W2U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7814757 | PA      | $6771952.29    | 0.38%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 04/15/2045#AM2855                                             | CUSIP: 36184NE49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177351 | PA      | $171040.18     | 0.01%             | 2045-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 7/41 #769513                                                      | CUSIP: 36176LVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7388 | PA      | $7169.18       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | 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        |   11309753 | PA      | $11100257.81   | 0.62%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/31 #529922                                                      | CUSIP: 36212CVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31483 | PA      | $32888.21      | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 5/30 #531642                                                      | CUSIP: 36212ES73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5394 | PA      | $5529.68       | 0.00%             | 2030-05-15      | Fixed         | 0.08%                 | 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        |     209637 | PA      | $188494.62     | 0.01%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #372475                                                      | CUSIP: 36204KXC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        104 | PA      | $105.71        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/27 #780584                                                      | CUSIP: 36225AUH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        169 | PA      | $169.55        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 09/20/2042 #MA0391                                              | CUSIP: 36179MNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     939174 | PA      | $871980.52     | 0.05%             | 2042-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 3/32 #583203                                                      | CUSIP: 36201G3L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        357 | PA      | $371.17        | 0.00%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/27 #436741                                                      | CUSIP: 36207NEN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2294 | PA      | $2312.09       | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 4/33 #598172                                                      | CUSIP: 36200DQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1139 | PA      | $1183.86       | 0.00%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 07/15/2043#763854                                               | CUSIP: 36176EMB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112301 | PA      | $103046.69     | 0.01%             | 2043-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #480972                                                      | CUSIP: 36209TJR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4860 | PA      | $4925.11       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 1/33 #530800                                                      | CUSIP: 36212DUZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43415 | PA      | $45089.08      | 0.00%             | 2033-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #434543                                                      | CUSIP: 36207KWC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3614 | PA      | $3733.32       | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 7/33 #615272                                                      | CUSIP: 36290RQZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2341 | PA      | $2343.45       | 0.00%             | 2033-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 2.5% 05/20/2050#BQ7079                                               | CUSIP: 3617LR2L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1773784 | PA      | $1525587.67    | 0.09%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 1/32 #003187                                                      | CUSIP: 36202DRG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3312 | PA      | $3417.18       | 0.00%             | 2032-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.5% 5/31 #003080                                                    | CUSIP: 36202DM57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2532 | PA      | $2624.88       | 0.00%             | 2031-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 09/15/2040#748554                                             | CUSIP: 3620C4TK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     252238 | PA      | $245135.88     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 8/29 #002794                                                      | CUSIP: 36202DC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        380 | PA      | $387.11        | 0.00%             | 2029-08-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 4/36 #003840                                                      | CUSIP: 36202EHR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9040 | PA      | $9182.63       | 0.00%             | 2036-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2010-130 KF TSFR1M+76.448 10/40                                          | CUSIP: 38377LK98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     535357 | PA      | $536454.12     | 0.03%             | 2040-10-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 5/29 #781235                                                      | CUSIP: 36225BLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         39 | PA      | $39.45         | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #517803                                                      | CUSIP: 36211NGL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3196 | PA      | $3301.37       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                       | FHLM ARM 5.03% 12/35 #847473                                                 | CUSIP: 3128JRJS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     260768 | PA      | $266221.61     | 0.01%             | 2035-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 11/39 #723437                                                     | CUSIP: 3620A9V65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18862 | PA      | $19198.33      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/27 #426517                                                     | CUSIP: 36207AYN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8069 | PA      | $8197.57       | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2017-139 K 3% 08/20/2047                      | CUSIP: 38380HGU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   10612627 | PA      | $9839231.76    | 0.55%             | 2047-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 3/36 #003829                                                      | CUSIP: 36202EHE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30872 | PA      | $31357.46      | 0.00%             | 2036-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/31 #781328                                                      | CUSIP: 36225BPM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2151 | PA      | $2210.52       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | 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        |      44395 | PA      | $44364.80      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 9/33 #701534                                                      | CUSIP: 36296ULP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89412 | PA      | $90729.65      | 0.01%             | 2033-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/28 #469788                                                     | CUSIP: 36209E2V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         74 | PA      | $76.25         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 03/40#742039                                                   | CUSIP: 3620AWLU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     130928 | PA      | $136151.75     | 0.01%             | 2040-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                          | UMBS 30YR 3% 11/01/2055 #TBA                                                 | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17100000 | PA      | $15148195.74   | 0.85%             | 2055-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.75% 07/15/2040#728698                                            | CUSIP: 3620AFRT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     295150 | PA      | $296572.06     | 0.02%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #467764                                                      | CUSIP: 36209CTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        263 | PA      | $266.82        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/29 #781031                                                      | CUSIP: 36225BEC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5587 | PA      | $5661.91       | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/41 #772062                                                      | CUSIP: 36176PQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     681188 | PA      | $661625.52     | 0.04%             | 2041-09-15      | Fixed         | 0.04%                 | 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        |     131012 | PA      | $123775.99     | 0.01%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 11/36 #647620                                                     | CUSIP: 36292FPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122875 | PA      | $128381.63     | 0.01%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 01/45#AK6717                                                    | CUSIP: 36183QPA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     453177 | PA      | $412962.84     | 0.02%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 07/15/2042#AB1355                                             | CUSIP: 36178LQG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144113 | PA      | $139613.68     | 0.01%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5% 08/40#745478                                                      | CUSIP: 3620C1FT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     581487 | PA      | $590902.11     | 0.03%             | 2040-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.87% 9/39 #721172                                                      | CUSIP: 3620A7FM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     879587 | PA      | $887820.42     | 0.05%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 05/15/2043#AD1000                                               | CUSIP: 36180CDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71194 | PA      | $65443.60      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | 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        |    1762532 | PA      | $1675080.19    | 0.09%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 03/15/2044#AH2728                                               | CUSIP: 36182KA58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     353094 | PA      | $341619.40     | 0.02%             | 2044-03-15      | 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        |    3639695 | PA      | $3528252.58    | 0.20%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/40 #748495                                                      | CUSIP: 3620C4RQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53574 | PA      | $52105.93      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2042#794219                                             | CUSIP: 36177NVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      80621 | PA      | $78257.23      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 9/39 #004539                                                   | CUSIP: 36202FBG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23680 | PA      | $23128.67      | 0.00%             | 2039-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2008-57 AF TSFR1M+69.448 7/38                                            | CUSIP: 38375XHJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     288670 | PA      | $288733.84     | 0.02%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #503983                                                      | CUSIP: 36210V2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        149 | PA      | $153.58        | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 3/38 #675179                                                      | CUSIP: 36295NCQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6165 | PA      | $6271.76       | 0.00%             | 2038-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 9/39 #004542                                                   | CUSIP: 36202FBK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      44459 | PA      | $46048.95      | 0.00%             | 2039-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 1/28 #461632                                                      | CUSIP: 36208UY50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2150 | PA      | $2193.25       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #462927                                                      | CUSIP: 36208WHC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1973 | PA      | $2001.63       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 09/15/2042#AA1346                                             | CUSIP: 36177XP77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6267 | PA      | $5777.90       | 0.00%             | 2042-09-15      | Fixed         | 0.03%                 | 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        |    5912192 | PA      | $5593276.46    | 0.31%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 01/45#669957                                                    | CUSIP: 36295GJA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8857 | PA      | $8060.64       | 0.00%             | 2045-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 7/35 #643708                                                      | CUSIP: 36292BDM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23828 | PA      | $24438.75      | 0.00%             | 2035-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/26 #439445                                                     | CUSIP: 36207RES0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         87 | PA      | $87.82         | 0.00%             | 2026-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2016-171 BI 5% 10/20/2044                     | CUSIP: 38380TEZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4892977 | PA      | $988096.51     | 0.06%             | 2044-10-20      | Fixed         | 0.05%                 | 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        |    1250524 | PA      | $1246376.29    | 0.07%             | 2060-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 04/15/2045#AM8645                                               | CUSIP: 36185BTA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     448141 | PA      | $406752.58     | 0.02%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #702094                                                      | CUSIP: 36296U7F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17250 | PA      | $17248.17      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 09/15/2040#783095                                             | CUSIP: 36241LNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2963 | PA      | $2881.96       | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #471569                                                      | CUSIP: 36209G2A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        339 | PA      | $342.55        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/29 #515320                                                     | CUSIP: 36211KPD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3082 | PA      | $3156.53       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | 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        |    1579665 | PA      | $1576668.86    | 0.09%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD         | FHR 2220 PD 8 3/30                                                           | CUSIP: 3133TNPR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     108798 | PA      | $114160.77     | 0.01%             | 2030-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/28 #474677                                                     | CUSIP: 36209LJW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1797 | PA      | $1830.02       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 7.00% 7/32 #781534                                                   | CUSIP: 36225BV39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123267 | PA      | $127969.06     | 0.01%             | 2032-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 6/42 #MA0155                                                   | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31783 | PA      | $30929.85      | 0.00%             | 2042-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 5/31 #003081                                                   | CUSIP: 36202DM65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     121378 | PA      | $125936.26     | 0.01%             | 2031-05-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 30YR 4% 02/20/2041#005044                                               | CUSIP: 36202FS98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     377892 | PA      | $361190.45     | 0.02%             | 2041-02-20      | 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 5180 KA 2.5% 10/25/2047                       | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     920144 | PA      | $834464.19     | 0.05%             | 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        |       2880 | PA      | $2930.63       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 02/15/2045#AL2170                                             | CUSIP: 36183XMT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92144 | PA      | $88794.67      | 0.00%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/30 #539569                                                     | CUSIP: 36212PMS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        741 | PA      | $773.69        | 0.00%             | 2030-12-15      | 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        |      36900 | PA      | $37819.33      | 0.00%             | 2035-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #465506                                                      | CUSIP: 36209ADK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        804 | PA      | $808.66        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | 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        |    1051020 | PA      | $1050516.82    | 0.06%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US 5YR NOTE (CBT) FUT DEC25 FVZ5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -153 | NC      | $30540.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/27 #447901                                                     | CUSIP: 36208DRW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7087 | PA      | $7159.73       | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 12/15/2042#AA3361                                             | CUSIP: 36178AWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1834 | PA      | $1689.97       | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | 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        |    1425647 | PA      | $1347099.19    | 0.08%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 06/15/2034#633623                                             | CUSIP: 36291N4G3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        710 | PA      | $721.68        | 0.00%             | 2034-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 03/20/2043#783737                                               | CUSIP: 3622A2EJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4781866 | PA      | $4529350.48    | 0.25%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 2/32 #584984                                                      | CUSIP: 36201J2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10387 | PA      | $10922.39      | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 9/40 #742217                                                      | CUSIP: 3620AWSE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139233 | PA      | $139095.17     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-6 EY 5.5% 11/33                                                     | CUSIP: 38374KMF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1016000 | PA      | $1024143.04    | 0.06%             | 2033-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #711186                                                      | CUSIP: 36297GCX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73238 | PA      | $73170.26      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #433858                                                      | CUSIP: 36207J5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        282 | PA      | $285.11        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/41 #719502                                                      | CUSIP: 3620A5KP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     177675 | PA      | $177504.36     | 0.01%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 6/32 #003249                                                      | CUSIP: 36202DTE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        145 | PA      | $149.41        | 0.00%             | 2032-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/32 #581720                                                      | CUSIP: 36201FG50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7274 | PA      | $7400.28       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 12/38 #701512                                                     | CUSIP: 36296UKZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5181 | PA      | $5480.63       | 0.00%             | 2038-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #475563                                                      | CUSIP: 36209MJG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1493 | PA      | $1516.58       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/33 #781598                                                      | CUSIP: 36225BX37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104924 | PA      | $106272.81     | 0.01%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.50% 8/41 #005140                                                   | CUSIP: 36202FV94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99857 | PA      | $99767.07      | 0.01%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #473482                                                      | CUSIP: 36209J6T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        172 | PA      | $173.19        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/28 #448928                                                      | CUSIP: 36208EVV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        625 | PA      | $637.32        | 0.00%             | 2028-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.45% 02/15/2037#662944                                            | CUSIP: 36294XP59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     246789 | PA      | $253678.92     | 0.01%             | 2037-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/39 #710445                                                      | CUSIP: 36297FHW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144453 | PA      | $140778.60     | 0.01%             | 2039-06-15      | Fixed         | 0.04%                 | 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        |   14399050 | PA      | $11975991.90   | 0.67%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/26 #425990                                                      | CUSIP: 36207AF72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         61 | PA      | $61.26         | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/39 #720077                                                      | CUSIP: 3620A56N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8634 | PA      | $8627.93       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 06/15/2035#644970                                             | CUSIP: 36292CQX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1001 | PA      | $1016.90       | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/27 #455361                                                     | CUSIP: 36208MZ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         90 | PA      | $90.79         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #705024                                                      | CUSIP: 36296YG97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53833 | PA      | $52386.05      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #486228                                                     | CUSIP: 36210AD95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        256 | PA      | $265.09        | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                 | FHLG 20YR 2.5% 04/01/2042#SC0270                                             | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     367908 | PA      | $330386.28     | 0.02%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 3/32 #554094                                                      | CUSIP: 36213GRP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1128 | PA      | $1172.04       | 0.00%             | 2032-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.0% 04/15/2043#AD6303                                             | CUSIP: 36180JAC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     569009 | PA      | $521014.56     | 0.03%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.5% 04/15/2038#687179                                             | CUSIP: 36296CM49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6376 | PA      | $6567.16       | 0.00%             | 2038-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 08/15/2036#656876                                            | CUSIP: 36294QXD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93870 | PA      | $95371.50      | 0.01%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 3/39 #004396                                                   | CUSIP: 36202E3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      49184 | PA      | $48109.14      | 0.00%             | 2039-03-20      | 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        |    2191181 | PA      | $1982269.60    | 0.11%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6.00% 9/28 #002602                                                   | CUSIP: 36202C3K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         94 | PA      | $96.09         | 0.00%             | 2028-06-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2005-6 EX 5.5% 11/34                                                     | CUSIP: 38374KMC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1000834 | PA      | $1026651.31    | 0.06%             | 2034-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 02/20/2031#MA3428                                               | CUSIP: 36179RYZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71012 | PA      | $69514.82      | 0.00%             | 2031-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 9/28 #457812                                                      | CUSIP: 36208QR99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1203 | PA      | $1214.90       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 08/41#738637                                                    | CUSIP: 3620ASS26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1847775 | PA      | $1793876.99    | 0.10%             | 2041-08-15      | Fixed         | 0.04%                 | 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        |    8473229 | PA      | $7643231.64    | 0.43%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #465091                                                      | CUSIP: 36208YUQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1522 | PA      | $1545.74       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/27 #423079                                                      | CUSIP: 36206V6Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1003 | PA      | $1013.04       | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 05/15/2034#566382                                             | CUSIP: 36213WFX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6215 | PA      | $6306.89       | 0.00%             | 2034-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/28 #469713                                                     | CUSIP: 36209EYJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2815 | PA      | $2846.61       | 0.00%             | 2028-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #737532                                                     | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16972 | PA      | $16506.90      | 0.00%             | 2040-10-15      | 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        |     218618 | PA      | $229656.23     | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.5% MAC 12/17/27                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -70438000 | NC      | $262242.88     | 0.01%             |  |  |  | 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        |      68417 | PA      | $69474.95      | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | 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        |     925887 | PA      | $822853.08     | 0.05%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 5/40 #004695                                                   | CUSIP: 36202FGC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     233492 | PA      | $228027.42     | 0.01%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/33 #593782                                                     | CUSIP: 36201UUF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75822 | PA      | $78947.19      | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/26 #424026                                                      | CUSIP: 36206XA37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $92.81         | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | 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        |       2813 | PA      | $2850.25       | 0.00%             | 2033-02-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                    | FNMA 30YR 6.5% 07/01/2054#CB8875                                             | CUSIP: 3140QU2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     398219 | PA      | $413036.37     | 0.02%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #396405                                                      | CUSIP: 36205PKS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1673 | PA      | $1691.78       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 01/20/2040#729198                                              | CUSIP: 3620AGDB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180033 | PA      | $187090.27     | 0.01%             | 2040-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 8/26 #423986                                                      | CUSIP: 36206W6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $7.68          | 0.00%             | 2026-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 6/37 #670519                                                      | CUSIP: 36295G4C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5207 | PA      | $5517.61       | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/32 #576236                                                      | CUSIP: 36200YEH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1216 | PA      | $1257.38       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 05/15/2036#653330                                            | CUSIP: 36292MY30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93716 | PA      | $95205.80      | 0.01%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/26 #780299                                                      | CUSIP: 36225AKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.14          | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 4/30 #532203                                                   | CUSIP: 36212FGL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64208 | PA      | $64656.57      | 0.00%             | 2030-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 07/15/2033#609443                                             | CUSIP: 36202UBL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        346 | PA      | $351.25        | 0.00%             | 2033-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #748242                                                     | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30488 | PA      | $29621.99      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4.0% 01/15/2041#753826                                             | CUSIP: 36230NHB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63412 | PA      | $61739.94      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 1/41 #757946                                                      | CUSIP: 36230SZK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4123 | PA      | $4005.41       | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                        | US LONG BOND(CBT) FUT DEC25 USZ5                                             | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        180 | NC      | $584720.44     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 12/28 #002690                                                  | CUSIP: 36202C7B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4711 | PA      | $4840.34       | 0.00%             | 2028-12-20      | Fixed         | 0.07%                 | 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        |       3043 | PA      | $3078.76       | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 7/33 #003414                                                      | CUSIP: 36202DYK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51907 | PA      | $52580.56      | 0.00%             | 2033-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 1/34 #003499                                                      | CUSIP: 36202D3G4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12730 | PA      | $12898.82      | 0.00%             | 2034-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 05/15/2033#604338                                             | CUSIP: 36200MLT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14604 | PA      | $14798.37      | 0.00%             | 2033-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 6% 7/29 #002780                                                      | CUSIP: 36202DCR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3773 | PA      | $3846.12       | 0.00%             | 2029-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #737005                                                      | CUSIP: 3620AQYA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     197663 | PA      | $197505.66     | 0.01%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 9/40 #737425                                                      | CUSIP: 3620ARHA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     206574 | PA      | $200861.55     | 0.01%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 2/41 #691707                                                      | CUSIP: 36296HNY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18462 | PA      | $17912.76      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #456239                                                      | CUSIP: 36208NZC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1319 | PA      | $1335.58       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 6/35 #003723                                                      | CUSIP: 36202ED48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11383 | PA      | $11556.15      | 0.00%             | 2035-06-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/28 #458877                                                      | CUSIP: 36208RXE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        677 | PA      | $687.68        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 4/26 #422559                                                      | CUSIP: 36206VMG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $7.46          | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 2/40 #718157                                                      | CUSIP: 3620A3ZW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5228 | PA      | $5226.64       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | 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        |      58415 | PA      | $56806.67      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 06/15/2043#666372                                               | CUSIP: 36295CJR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      51237 | PA      | $47014.59      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/26 #424207                                                      | CUSIP: 36206XGQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        259 | PA      | $259.89        | 0.00%             | 2026-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 08/15/2036#660642                                            | CUSIP: 36294U5B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     181611 | PA      | $184508.29     | 0.01%             | 2036-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #513482                                                     | CUSIP: 36211HM73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        703 | PA      | $729.26        | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7% 1/30 #002866                                                      | CUSIP: 36202DFF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13426 | PA      | $13832.50      | 0.00%             | 2030-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 05/20/2052#MA8043                                                 | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36056002 | PA      | $32431306.39   | 1.82%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2008-51 FE TSFR1M+86.448 6/38                                            | CUSIP: 38375QU98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     123397 | PA      | $123964.22     | 0.01%             | 2038-06-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/29 #513680                                                      | CUSIP: 36211HUD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2800 | PA      | $2855.82       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 4.00% 2/42 #005305                                                   | CUSIP: 36202F3N4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      73829 | PA      | $71888.64      | 0.00%             | 2042-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 9/38 #707530                                                      | CUSIP: 36297CA74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46200 | PA      | $47628.91      | 0.00%             | 2038-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 5/40 #704970                                                      | CUSIP: 36296YFK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38545 | PA      | $39231.33      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | 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        |     165261 | PA      | $147943.67     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 10/20/2031#MA3979                                               | CUSIP: 36179SM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     541509 | PA      | $528925.68     | 0.03%             | 2031-10-20      | Fixed         | 0.03%                 | 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        |    3241048 | PA      | $3408738.16    | 0.19%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #498119                                                      | CUSIP: 36210PK86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        828 | PA      | $848.05        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/28 #458878                                                      | CUSIP: 36208RXF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $94.42         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 7/33 #528150                                                      | CUSIP: 36212AWK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3355 | PA      | $3434.64       | 0.00%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/26 #436523                                                     | CUSIP: 36207M4G8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         87 | PA      | $87.23         | 0.00%             | 2026-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.00% 9/42 #AB3385                                                      | CUSIP: 36178NXN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200190 | PA      | $184557.93     | 0.01%             | 2042-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3% 07/20/2031#MA3778                                               | CUSIP: 36179SFT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15024 | PA      | $14686.76      | 0.00%             | 2031-07-20      | Fixed         | 0.03%                 | 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        |    8444499 | PA      | $7786751.75    | 0.44%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3% 09/20/2046#AT8217                                                 | CUSIP: 36194HDW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3930999 | PA      | $3577277.12    | 0.20%             | 2046-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/36 #618671                                                     | CUSIP: 36290VJQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1059 | PA      | $1076.92       | 0.00%             | 2036-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 05/15/2042#AA0128                                             | CUSIP: 36177WD98<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45833 | PA      | $43349.56      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | 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        |    1718093 | PA      | $1578940.47    | 0.09%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 7/40 #733784                                                      | CUSIP: 3620AMFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1184290 | PA      | $1205794.89    | 0.07%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 12/35 #003795                                                  | CUSIP: 36202EGC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     562815 | PA      | $571551.65     | 0.03%             | 2035-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #771560                                                      | CUSIP: 36176N5V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     506933 | PA      | $491994.79     | 0.03%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 3.5% 01/20/2050#BR8993                                               | CUSIP: 3617M77E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79728 | PA      | $73355.58      | 0.00%             | 2050-01-20      | 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        |   58517256 | PA      | $48775180.73   | 2.74%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII 15YR 3.50% 2/27 #005301                                                 | CUSIP: 36202F3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3689 | PA      | $3667.75       | 0.00%             | 2027-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 4/26 #428810                                                      | CUSIP: 36207DKX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        331 | PA      | $330.70        | 0.00%             | 2026-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/27 #458718                                                     | CUSIP: 36208RSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        481 | PA      | $486.20        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 10/41#AO9705                                                    | CUSIP: 3617AAYA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     496219 | PA      | $435045.94     | 0.02%             | 2041-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #727849                                                      | CUSIP: 3620AETE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64132 | PA      | $63989.58      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/25 #780400                                                     | CUSIP: 36225ANR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $6.82          | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 11/15/2034#619150                                             | CUSIP: 36290VZP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        455 | PA      | $462.43        | 0.00%             | 2034-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 7/36 #608987                                                      | CUSIP: 36202TRG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17233 | PA      | $18009.02      | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2% 11/01/2055 #TBA                                                   | CUSIP: 21H0206B6<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |   -7125000 | PA      | $-5921992.91   | -0.33%            | 2055-11-01      | Fixed         | 0.02%                 | 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        |     296093 | PA      | $279996.39     | 0.02%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #445791                                                      | CUSIP: 36207YF88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2729 | PA      | $2767.49       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #510839                                                     | CUSIP: 36211EPY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5835 | PA      | $6027.16       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #743037                                                      | CUSIP: 3620AXPW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     414052 | PA      | $401544.58     | 0.02%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/39 #724690                                                     | CUSIP: 3620ABC38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      79110 | PA      | $76912.23      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 10/39 #711463                                                     | CUSIP: 36297GML1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126873 | PA      | $126654.81     | 0.01%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/27 #449087                                                     | CUSIP: 36208E2U6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        222 | PA      | $224.17        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.00% 10/38 #782431                                                  | CUSIP: 36241KVY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21969 | PA      | $22339.58      | 0.00%             | 2038-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 06/15/2044#AE8417                                             | CUSIP: 36181CK64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     439335 | PA      | $412090.09     | 0.02%             | 2044-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5% 8/35 #003747                                                      | CUSIP: 36202EEU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116369 | PA      | $118157.88     | 0.01%             | 2035-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #468074                                                      | CUSIP: 36209C6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1499 | PA      | $1520.48       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 06/20/2042#MA0153                                               | CUSIP: 36179ME22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84132 | PA      | $78110.80      | 0.00%             | 2042-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 09/15/2043#767078                                             | CUSIP: 36176H6P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      83580 | PA      | $78623.24      | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/40 #737553                                                     | CUSIP: 3620ARMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17204 | PA      | $16732.51      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.50% 8/26 #431137                                                      | CUSIP: 36207F4W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1042 | PA      | $1046.17       | 0.00%             | 2026-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 10/26 #439430                                                     | CUSIP: 36207REB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.48         | 0.00%             | 2026-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/25 #780453                                                     | CUSIP: 36225AQE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.71          | 0.00%             | 2025-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 11/33 #593762                                                     | CUSIP: 36201UTT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104593 | PA      | $108624.83     | 0.01%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #460676                                                      | CUSIP: 36208TXD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2803 | PA      | $2841.99       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | 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        |      40828 | PA      | $41584.29      | 0.00%             | 2036-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2003-75 ZA 5.5% 9/33                                                     | CUSIP: 38374CBC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     503480 | PA      | $519715.32     | 0.03%             | 2033-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #433961                                                      | CUSIP: 36207KB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1282 | PA      | $1301.06       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 3/31 #528592                                                      | CUSIP: 36212BF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24876 | PA      | $26028.18      | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/28 #450349                                                      | CUSIP: 36208GH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        511 | PA      | $520.00        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | 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        |     505138 | PA      | $490631.25     | 0.03%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 7/30 #520777                                                      | CUSIP: 36211RQ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         95 | PA      | $96.54         | 0.00%             | 2030-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/32 #594266                                                      | CUSIP: 36201VFF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7173 | PA      | $7415.12       | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.5% 08/20/2043#MA1224                                               | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     345182 | PA      | $326583.37     | 0.02%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.35% 9/30 #540839                                                   | CUSIP: 36212QZC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67675 | PA      | $68610.37      | 0.00%             | 2030-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.25% 05/15/2036#656579                                            | CUSIP: 36294QM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74840 | PA      | $76253.23      | 0.00%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/26 #780465                                                     | CUSIP: 36225AQS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.10          | 0.00%             | 2026-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 8/41 #771559                                                      | CUSIP: 36176N5U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     744149 | PA      | $721561.62     | 0.04%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #508807                                                      | CUSIP: 36211CGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $72.99         | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/26 #428867                                                      | CUSIP: 36207DMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.89          | 0.00%             | 2026-06-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3.5% 08/15/2042#AA8561                                             | CUSIP: 36178GQN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     260352 | PA      | $245422.19     | 0.01%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 1/28 #466318                                                      | CUSIP: 36209BAT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        612 | PA      | $620.36        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 7/28 #480369                                                      | CUSIP: 36209ST27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        140 | PA      | $141.04        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | 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        |    2883159 | PA      | $2500899.58    | 0.14%             | 2049-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 1/37 #003939                                                   | CUSIP: 36202ELU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        332 | PA      | $337.22        | 0.00%             | 2037-01-20      | Fixed         | 0.05%                 | 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        |      17627 | PA      | $17337.63      | 0.00%             | 2063-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 6.00% 12/33 #429786                                                     | CUSIP: 36207ENB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15976 | PA      | $16621.68      | 0.00%             | 2033-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 1/39 #782557                                                      | CUSIP: 36241KZW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     149336 | PA      | $151698.81     | 0.01%             | 2039-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 3% 11/15/2042#AA2097                                               | CUSIP: 36177YKJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24586 | PA      | $22846.20      | 0.00%             | 2042-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 3/42 #794581                                                      | CUSIP: 36177PCT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     152190 | PA      | $144341.59     | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #464759                                                      | CUSIP: 36208YJC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        567 | PA      | $573.47        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #513390                                                      | CUSIP: 36211HKB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13397 | PA      | $13867.50      | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/40 #727850                                                      | CUSIP: 3620AETF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     159023 | PA      | $158791.66     | 0.01%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/27 #451459                                                      | CUSIP: 36208HQL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $7.33          | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.50% 11/33 #593768                                                     | CUSIP: 36201UTZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65173 | PA      | $66788.44      | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 11/15/2035#782171                                             | CUSIP: 36241KMU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4882 | PA      | $4954.50       | 0.00%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 3.50% 12/26 #711615                                                | CUSIP: 36297GSC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43298 | PA      | $43075.08      | 0.00%             | 2026-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 12/41 #709061                                                     | CUSIP: 36297DWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64903 | PA      | $63175.25      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/32 #471328                                                      | CUSIP: 36209GSR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13897 | PA      | $14412.48      | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 15YR 3.50% 9/26 #743076                                                 | CUSIP: 3620AXQ50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4268 | PA      | $4253.97       | 0.00%             | 2026-09-15      | 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        |    2027669 | PA      | $2036855.21    | 0.11%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 6/41 #743034                                                      | CUSIP: 3620AXPT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     581655 | PA      | $564342.02     | 0.03%             | 2041-06-15      | Fixed         | 0.04%                 | 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        |        528 | PA      | $530.87        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/26 #780459                                                     | CUSIP: 36225AQL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11 | PA      | $11.44         | 0.00%             | 2026-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 8/28 #484211                                                      | CUSIP: 36209W3U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1063 | PA      | $1078.03       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | 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        |     133072 | PA      | $131128.73     | 0.01%             | 2045-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 11/29 #478887                                                     | CUSIP: 36209Q6Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1998 | PA      | $2048.39       | 0.00%             | 2029-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/29 #516146                                                     | CUSIP: 36211LL34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27512 | PA      | $28379.07      | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 01/20/2043#MA0697                                               | CUSIP: 36179MX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3559827 | PA      | $3198826.32    | 0.18%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #444620                                                      | CUSIP: 36207W4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.22         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/28 #480016                                                     | CUSIP: 36209SGZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1073 | PA      | $1090.82       | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #507098                                                      | CUSIP: 36211AKK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2041 | PA      | $2086.98       | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/28 #490977                                                     | CUSIP: 36210FM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4418 | PA      | $4499.32       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.5% 01/20/2055#787767                                               | CUSIP: 3622ADQU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6045499 | PA      | $6170280.24    | 0.35%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 6/35 #521365                                                      | CUSIP: 36211SFE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1785 | PA      | $1813.28       | 0.00%             | 2035-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 2.5% 11/20/2042#MA0532                                               | CUSIP: 36179MSV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1676732 | PA      | $1508636.41    | 0.08%             | 2042-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.50% 7/32 #003263                                                   | CUSIP: 36202DTU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16226 | PA      | $17023.81      | 0.00%             | 2032-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                         | LCH OIS SOFRV3.5% MAC 12/17/28                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -126822000 | NC      | $809599.98     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GOVERNMENT NAT MTG AS REMIC PT 2014-178 IO 5% 11/20/2044                     | CUSIP: 38379HDY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    5007587 | PA      | $1028899.91    | 0.06%             | 2044-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 05/15/2036#653251                                            | CUSIP: 36292MWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     185050 | PA      | $187998.44     | 0.01%             | 2036-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 10/28 #469629                                                     | CUSIP: 36209EVW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        137 | PA      | $140.75        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 4.5% 11/20/2052#MA8427                                               | CUSIP: 36179XLG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   31686532 | PA      | $31152240.00   | 1.75%             | 2052-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 7.00% 7/32 #003262                                                   | CUSIP: 36202DTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     123923 | PA      | $129279.16     | 0.01%             | 2032-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 10/40#747856                                                    | CUSIP: 3620C3ZV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61015 | PA      | $59244.03      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 4% 11/40#751877                                                    | CUSIP: 36230LCN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     271070 | PA      | $263746.83     | 0.01%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.0% 01/15/2034#626039                                             | CUSIP: 36291EPY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2669 | PA      | $2706.61       | 0.00%             | 2034-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS             | GNR 2004-86 G 6% 10/34                                                       | CUSIP: 38374JYM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    6147212 | PA      | $6374470.22    | 0.36%             | 2034-10-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 4/42 #766654                                                      | CUSIP: 36176HQF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2506185 | PA      | $2369253.99    | 0.13%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3% 04/20/2052#MA7988                                                 | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35700646 | PA      | $32111674.69   | 1.81%             | 2052-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 9/28 #480488                                                      | CUSIP: 36209SXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12906 | PA      | $13182.63      | 0.00%             | 2028-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #552581                                                      | CUSIP: 36213E2N5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40493 | PA      | $42497.69      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 8.00% 6/27 #439565                                                      | CUSIP: 36207RJJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1009 | PA      | $1021.11       | 0.00%             | 2027-06-15      | Fixed         | 0.08%                 | 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        |    1314192 | PA      | $1317161.25    | 0.07%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 3.0% 06/20/2043#MA1089                                               | CUSIP: 36179NF60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     717174 | PA      | $664122.45     | 0.04%             | 2043-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 8/29 #499951                                                      | CUSIP: 36210RL81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        197 | PA      | $203.91        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 3.50% 11/41 #489787                                                     | CUSIP: 36210ECY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     340458 | PA      | $323230.31     | 0.02%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 5/40 #741200                                                      | CUSIP: 3620AVNR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161186 | PA      | $161000.52     | 0.01%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.00% 10/33 #003458                                                  | CUSIP: 36202DZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22491 | PA      | $22785.17      | 0.00%             | 2033-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/31 #573691                                                     | CUSIP: 36200VKC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        334 | PA      | $341.34        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 9/29 #518088                                                      | CUSIP: 36211NRH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $31.10         | 0.00%             | 2029-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 5/28 #471918                                                      | CUSIP: 36209HG33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4636 | PA      | $4709.07       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 12/31 #538282                                                     | CUSIP: 36212M6T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1941 | PA      | $2004.74       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 10/27 #780651                                                     | CUSIP: 36225AWL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17484 | PA      | $17642.11      | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 5/32 #583605                                                      | CUSIP: 36201HKS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10102 | PA      | $10544.89      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.00% 10/41 #738887                                                     | CUSIP: 3620AS2U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     192089 | PA      | $186656.52     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/30 #434983                                                     | CUSIP: 36207LFY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9480 | PA      | $9895.80       | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 6/27 #452145                                                      | CUSIP: 36208JHW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1643 | PA      | $1663.07       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 30YR 5.09% 11/15/2036#662790                                            | CUSIP: 36294XKB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107197 | PA      | $108828.44     | 0.01%             | 2036-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 11/27 #460995                                                     | CUSIP: 36208UC88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         31 | PA      | $31.71         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 6/30 #533883                                                      | CUSIP: 36212HCU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $116.38        | 0.00%             | 2030-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 6/41 #760443                                                      | CUSIP: 36176AS83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74658 | PA      | $74552.79      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 11/29 #521907                                                     | CUSIP: 36211SYC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13906 | PA      | $14394.15      | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA II 5.75% 01/40#729150                                                   | CUSIP: 3620AGBT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     244511 | PA      | $254117.59     | 0.01%             | 2040-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                     | GNII II 5.50% 12/39 #004600                                                  | CUSIP: 36202FDD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39473 | PA      | $40877.44      | 0.00%             | 2039-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 4.50% 4/39 #702997                                                      | CUSIP: 36296V7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     714412 | PA      | $713216.76     | 0.04%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.50% 12/26 #431679                                                     | CUSIP: 36207GQ85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        919 | PA      | $926.50        | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 5.00% 10/39 #710923                                                     | CUSIP: 36297FYU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23009 | PA      | $23418.43      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                | GNMA 7.00% 3/28 #436264                                                      | CUSIP: 36207MTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1348 | PA      | $1367.28       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer