# EDGAR Filing Document

**Accession Number:** 0000751199
**File Stem:** 0001752724-23-014607
**Filing Date:** 2023-1
**Character Count:** 951529
**Document Hash:** e978fe408d28245e73ced302e649fd18
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-014607.hdr.sgml**: 20230126

**ACCESSION NUMBER**: 0001752724-23-014607

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230126

**DATE AS OF CHANGE**: 20230126

**PERIOD START**: 20230831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY INCOME FUND /MA/
- **CENTRAL INDEX KEY:** 0000751199
- **IRS NUMBER:** 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:** 23556445

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

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity**<sup>®</sup> **Government Income Fund**

**November 30, 2022**

GOV-NPRT1-0123

1.809070.118 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 66.8%** | &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 66.8%** | &nbsp;&nbsp;**U.S. Government and Government Agency Obligations - 66.8%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| U.S. Government Agency Obligations - 0.7%  |  |  |
| Freddie Mac 4% 11/25/24  | 18000 | 17748 |
| Tennessee Valley Authority: |  |  |
|  5.25% 9/15/39  | 2235 | 2342 |
|  5.375% 4/1/56  | 2737 | 2928 |
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |  | 23018 |
| U.S. Treasury Obligations - 65.9%  |  |  |
| U.S. Treasury Bonds: |  |  |
|  1.875% 11/15/51  | 25104 | 16509 |
|  2% 11/15/41  | 49958 | 36385 |
|  2% 8/15/51  | 96662 | 65692 |
|  2.25% 2/15/52  | 18700 | 13504 |
|  2.375% 2/15/42  | 353 | 275 |
|  2.5% 2/15/45 (b)(c) | 141861 | 109371 |
|  2.875% 5/15/49  | 4458 | 3694 |
|  2.875% 5/15/52  | 4085 | 3396 |
|  3% 2/15/49  | 95774 | 81254 |
|  3.25% 5/15/42  | 50666 | 45512 |
|  3.375% 8/15/42  | 16300 | 14912 |
|  4% 11/15/42  | 2500 | 2512 |
|  4.75% 2/15/37 (b)(c) | 55003 | 61468 |
| U.S. Treasury Notes: |  |  |
|  0.125% 8/15/23  | 4413 | 4271 |
|  0.25% 5/15/24  | 4258 | 3999 |
|  0.25% 7/31/25  | 34133 | 30824 |
|  0.25% 9/30/25  | 870 | 783 |
|  0.25% 10/31/25  | 17700 | 15864 |
|  0.375% 10/31/23  | 58000 | 55732 |
|  0.375% 4/30/25  | 236870 | 216236 |
|  0.5% 11/30/23  | 63200 | 60591 |
|  0.625% 10/15/24  | 25100 | 23413 |
|  0.75% 8/31/26  | 30000 | 26644 |
|  0.875% 9/30/26  | 93224 | 83046 |
|  1.125% 10/31/26  | 47300 | 42474 |
|  1.125% 8/31/28 (b)(c) | 437936 | 377632 |
|  1.5% 9/30/24  | 13631 | 12931 |
|  1.5% 10/31/24  | 24300 | 23022 |
|  1.5% 1/31/27  | 22230 | 20174 |
|  1.625% 9/30/26  | 1028 | 944 |
|  1.75% 7/31/24  | 1720 | 1643 |
|  2% 8/15/25  | 9743 | 9210 |
|  2.125% 5/15/25  | 11929 | 11350 |
|  2.25% 4/30/24  | 87731 | 84890 |
|  2.25% 12/31/24  | 6135 | 5883 |
|  2.25% 3/31/26  | 928 | 878 |
|  2.375% 3/31/29  | 23000 | 21166 |
|  2.5% 2/28/26  | 68418 | 65201 |
|  2.5% 3/31/27  | 46600 | 44006 |
|  2.625% 6/30/23  | 5027 | 4970 |
|  2.625% 5/31/27  | 45180 | 42880 |
|  2.625% 7/31/29  | 60609 | 56546 |
|  2.75% 2/15/24  | 74509 | 72856 |
|  2.75% 4/30/27  | 47200 | 45032 |
|  2.75% 7/31/27  | 52600 | 50118 |
|  2.75% 5/31/29  | 18900 | 17775 |
|  2.75% 8/15/32  | 42591 | 39450 |
|  2.875% 4/30/29  | 7778 | 7371 |
|  2.875% 5/15/32  | 34392 | 32237 |
|  3% 7/31/24  | 37100 | 36223 |
|  3.125% 11/15/28  | 12149 | 11697 |
|  3.875% 11/30/27  | 1910 | 1917 |
|  3.875% 11/30/29  | 31150 | 31423 |
|  4.125% 10/31/27  | 7600 | 7697 |
|  4.375% 10/31/24  | 35300 | 35292 |
|  4.5% 11/30/24  | 77700 | 77931 |
| TOTAL U.S. TREASURY OBLIGATIONS |  | 2268706 |
| Other Government Related - 0.2%  |  |  |
| Private Export Funding Corp. Secured 1.75% 11/15/24  | 8660 | 8150 |
| <br> **TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $2,553,788) |  | <br> **2299874** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 46.3%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 46.3%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 46.3%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Fannie Mae - 9.8%  |  |  |
| 12 month U.S. LIBOR + 1.360% 3.615% 10/1/35 (d)(e) | 6 | 6 |
| 12 month U.S. LIBOR + 1.440% 1.945% 4/1/37 (d)(e) | 1 | 1 |
| 12 month U.S. LIBOR + 1.460% 3.148% 1/1/35 (d)(e) | 11 | 10 |
| 12 month U.S. LIBOR + 1.480% 3.787% 7/1/34 (d)(e) | 18 | 18 |
| 12 month U.S. LIBOR + 1.530% 1.94% 3/1/36 (d)(e) | 66 | 66 |
| 12 month U.S. LIBOR + 1.550% 1.986% 2/1/44 (d)(e) | 25 | 25 |
| 12 month U.S. LIBOR + 1.550% 3.183% 5/1/44 (d)(e) | 39 | 40 |
| 12 month U.S. LIBOR + 1.550% 3.803% 6/1/36 (d)(e) | 16 | 17 |
| 12 month U.S. LIBOR + 1.560% 2.065% 3/1/37 (d)(e) | 83 | 83 |
| 12 month U.S. LIBOR + 1.560% 2.42% 2/1/44 (d)(e) | 57 | 57 |
| 12 month U.S. LIBOR + 1.570% 2.145% 4/1/44 (d)(e) | 122 | 122 |
| 12 month U.S. LIBOR + 1.570% 3.32% 5/1/44 (d)(e) | 0 | 0 |
| 12 month U.S. LIBOR + 1.580% 1.83% 1/1/44 (d)(e) | 59 | 59 |
| 12 month U.S. LIBOR + 1.580% 2.08% 4/1/44 (d)(e) | 42 | 42 |
| 12 month U.S. LIBOR + 1.620% 3.212% 3/1/33 (d)(e) | 10 | 10 |
| 12 month U.S. LIBOR + 1.620% 3.871% 5/1/35 (d)(e) | 3 | 3 |
| 12 month U.S. LIBOR + 1.630% 2.987% 11/1/36 (d)(e) | 15 | 15 |
| 12 month U.S. LIBOR + 1.630% 3.815% 9/1/36 (d)(e) | 1 | 1 |
| 12 month U.S. LIBOR + 1.640% 1.895% 6/1/47 (d)(e) | 15 | 15 |
| 12 month U.S. LIBOR + 1.640% 3.274% 5/1/36 (d)(e) | 2 | 2 |
| 12 month U.S. LIBOR + 1.680% 3.004% 7/1/43 (d)(e) | 26 | 26 |
| 12 month U.S. LIBOR + 1.700% 3.185% 6/1/42 (d)(e) | 55 | 55 |
| 12 month U.S. LIBOR + 1.730% 2.354% 3/1/40 (d)(e) | 153 | 154 |
| 12 month U.S. LIBOR + 1.730% 3.442% 5/1/36 (d)(e) | 29 | 29 |
| 12 month U.S. LIBOR + 1.750% 2.607% 7/1/35 (d)(e) | 29 | 29 |
| 12 month U.S. LIBOR + 1.750% 4% 8/1/41 (d)(e) | 4 | 4 |
| 12 month U.S. LIBOR + 1.770% 2.071% 2/1/37 (d)(e) | 37 | 37 |
| 12 month U.S. LIBOR + 1.800% 2.055% 1/1/42 (d)(e) | 154 | 155 |
| 12 month U.S. LIBOR + 1.800% 3.724% 12/1/40 (d)(e) | 87 | 88 |
| 12 month U.S. LIBOR + 1.800% 4.05% 7/1/41 (d)(e) | 25 | 26 |
| 12 month U.S. LIBOR + 1.810% 2.06% 12/1/39 (d)(e) | 2 | 2 |
| 12 month U.S. LIBOR + 1.810% 2.304% 2/1/42 (d)(e) | 89 | 90 |
| 12 month U.S. LIBOR + 1.810% 4% 7/1/41 (d)(e) | 39 | 40 |
| 12 month U.S. LIBOR + 1.810% 4.068% 9/1/41 (d)(e) | 18 | 18 |
| 12 month U.S. LIBOR + 1.820% 2.293% 2/1/35 (d)(e) | 4 | 4 |
| 12 month U.S. LIBOR + 1.830% 4.08% 10/1/41 (d)(e) | 17 | 17 |
| 12 month U.S. LIBOR + 1.850% 2.429% 4/1/36 (d)(e) | 19 | 19 |
| 12 month U.S. LIBOR + 1.890% 3.222% 8/1/35 (d)(e) | 19 | 19 |
| 12 month U.S. LIBOR + 1.950% 3.771% 7/1/37 (d)(e) | 4 | 4 |
| 6 month U.S. LIBOR + 1.470% 3.112% 10/1/33 (d)(e) | 23 | 23 |
| 6 month U.S. LIBOR + 1.500% 2.735% 1/1/35 (d)(e) | 4 | 4 |
| 6 month U.S. LIBOR + 1.510% 3.523% 2/1/33 (d)(e) | 13 | 13 |
| 6 month U.S. LIBOR + 1.530% 2.785% 12/1/34 (d)(e) | 22 | 22 |
| 6 month U.S. LIBOR + 1.530% 2.835% 3/1/35 (d)(e) | 33 | 33 |
| 6 month U.S. LIBOR + 1.550% 3.926% 9/1/33 (d)(e) | 29 | 29 |
| 6 month U.S. LIBOR + 1.550% 4.011% 10/1/33 (d)(e) | 10 | 10 |
| 6 month U.S. LIBOR + 1.560% 3.64% 7/1/35 (d)(e) | 17 | 17 |
| 6 month U.S. LIBOR + 1.960% 3.434% 9/1/35 (d)(e) | 1 | 1 |
| U.S. TREASURY 1 YEAR INDEX + 2.180% 3.646% 7/1/36 (d)(e) | 3 | 3 |
| U.S. TREASURY 1 YEAR INDEX + 2.200% 2.583% 3/1/35 (d)(e) | 13 | 14 |
| U.S. TREASURY 1 YEAR INDEX + 2.270% 4.395% 6/1/36 (d)(e) | 3 | 3 |
| U.S. TREASURY 1 YEAR INDEX + 2.280% 4.408% 10/1/33 (d)(e) | 24 | 25 |
| U.S. TREASURY 1 YEAR INDEX + 2.460% 3.871% 7/1/34 (d)(e) | 3 | 3 |
| 1.5% 11/1/40 to 11/1/41  | 31999 | 26107 |
| 2% 12/1/36 to 3/1/52  | 97257 | 81362 |
| 2.5% 5/1/31 to 2/1/52  | 86932 | 75262 |
| 3% 1/1/28 to 2/1/52  | 62574 | 56776 |
| 3.4% 8/1/42 to 9/1/42  | 26 | 24 |
| 3.5% 5/1/36 to 3/1/52  | 61930 | 57031 |
| 4% 3/1/36 to 4/1/49  | 7391 | 7154 |
| 4.25% 11/1/41  | 6 | 6 |
| 4.5% to 4.5% 6/1/24 to 2/1/49  | 3565 | 3541 |
| 5% 3/1/23 to 11/1/52  | 13979 | 14125 |
| 5.264% 8/1/41 (d) | 63 | 64 |
| 5.5% 12/1/23 to 11/1/52  | 10722 | 10864 |
| 6% to 6% 9/1/29 to 7/1/41  | 1953 | 2034 |
| 6.5% 7/1/23 to 8/1/36  | 517 | 540 |
| 6.666% 2/1/39 (d) | 36 | 37 |
| 7% to 7% 4/1/23 to 10/1/32  | 21 | 22 |
| 7.5% to 7.5% 9/1/25 to 11/1/31  | 12 | 13 |
| TOTAL FANNIE MAE |  | 336570 |
| Freddie Mac - 4.9%  |  |  |
| 12 month U.S. LIBOR + 1.320% 1.575% 1/1/36 (d)(e) | 8 | 7 |
| 12 month U.S. LIBOR + 1.370% 2.517% 3/1/36 (d)(e) | 6 | 5 |
| 12 month U.S. LIBOR + 1.500% 2.636% 3/1/36 (d)(e) | 3 | 3 |
| 12 month U.S. LIBOR + 1.660% 2.04% 7/1/36 (d)(e) | 20 | 20 |
| 12 month U.S. LIBOR + 1.750% 2.958% 12/1/40 (d)(e) | 37 | 37 |
| 12 month U.S. LIBOR + 1.750% 4% 7/1/41 (d)(e) | 8 | 8 |
| 12 month U.S. LIBOR + 1.750% 4% 9/1/41 (d)(e) | 289 | 290 |
| 12 month U.S. LIBOR + 1.860% 3.239% 4/1/36 (d)(e) | 2 | 2 |
| 12 month U.S. LIBOR + 1.880% 3.255% 4/1/41 (d)(e) | 7 | 7 |
| 12 month U.S. LIBOR + 1.880% 4.13% 9/1/41 (d)(e) | 27 | 27 |
| 12 month U.S. LIBOR + 1.880% 4.13% 10/1/41 (d)(e) | 395 | 398 |
| 12 month U.S. LIBOR + 1.900% 3.709% 10/1/42 (d)(e) | 122 | 123 |
| 12 month U.S. LIBOR + 1.910% 3.22% 5/1/41 (d)(e) | 54 | 55 |
| 12 month U.S. LIBOR + 1.910% 3.568% 5/1/41 (d)(e) | 56 | 57 |
| 12 month U.S. LIBOR + 1.910% 3.774% 6/1/41 (d)(e) | 71 | 72 |
| 12 month U.S. LIBOR + 1.910% 4.16% 6/1/41 (d)(e) | 18 | 18 |
| 12 month U.S. LIBOR + 2.020% 2.93% 4/1/38 (d)(e) | 2 | 2 |
| 12 month U.S. LIBOR + 2.030% 4.158% 3/1/33 (d)(e) | 2 | 2 |
| 12 month U.S. LIBOR + 2.040% 4.265% 7/1/36 (d)(e) | 148 | 150 |
| 12 month U.S. LIBOR + 2.200% 2.45% 12/1/36 (d)(e) | 4 | 4 |
| 6 month U.S. LIBOR + 1.120% 2.424% 8/1/37 (d)(e) | 2 | 2 |
| 6 month U.S. LIBOR + 1.580% 3.08% 12/1/35 (d)(e) | 0 | 0 |
| 6 month U.S. LIBOR + 1.660% 3.165% 1/1/37 (d)(e) | 5 | 5 |
| 6 month U.S. LIBOR + 1.660% 3.54% 7/1/35 (d)(e) | 4 | 4 |
| 6 month U.S. LIBOR + 1.880% 3.369% 10/1/36 (d)(e) | 37 | 37 |
| 6 month U.S. LIBOR + 1.990% 3.437% 10/1/35 (d)(e) | 19 | 19 |
| 6 month U.S. LIBOR + 2.010% 4.76% 5/1/37 (d)(e) | 6 | 6 |
| 6 month U.S. LIBOR + 2.020% 3.51% 6/1/37 (d)(e) | 7 | 8 |
| 6 month U.S. LIBOR + 2.680% 4.983% 10/1/35 (d)(e) | 15 | 16 |
| U.S. TREASURY 1 YEAR INDEX + 2.030% 2.947% 6/1/33 (d)(e) | 28 | 28 |
| U.S. TREASURY 1 YEAR INDEX + 2.230% 3.068% 4/1/34 (d)(e) | 9 | 9 |
| U.S. TREASURY 1 YEAR INDEX + 2.260% 3.228% 6/1/33 (d)(e) | 8 | 8 |
| U.S. TREASURY 1 YEAR INDEX + 2.430% 3.824% 3/1/35 (d)(e) | 15 | 16 |
| U.S. TREASURY 1 YEAR INDEX + 2.540% 4.046% 7/1/35 (d)(e) | 225 | 229 |
| 1.5% 12/1/40 to 4/1/41  | 7250 | 5938 |
| 2% 4/1/41 to 2/1/52  | 54526 | 45140 |
| 2.5% 5/1/30 to 1/1/52  | 38257 | 33402 |
| 3% 6/1/31 to 3/1/52  | 24333 | 21990 |
| 3.5% 3/1/32 to 3/1/52  | 37320 | 34711 |
| 4% 1/1/36 to 2/1/50  | 6872 | 6674 |
| 4% 4/1/48  | 2 | 2 |
| 4.5% 6/1/25 to 10/1/48  | 2070 | 2061 |
| 5% 8/1/33 to 12/1/52  | 16216 | 16368 |
| 6% 1/1/24 to 12/1/37  | 95 | 97 |
| 6.5% 5/1/26 to 9/1/39  | 86 | 91 |
| 7% 8/1/26 to 9/1/36  | 26 | 28 |
| 7.5% 1/1/27 to 11/1/30  | 0 | 0 |
| 8% 7/1/24 to 8/1/30  | 0 | 0 |
| 8.5% 8/1/26 to 8/1/27  | 0 | 0 |
| TOTAL FREDDIE MAC |  | 168176 |
| Ginnie Mae - 12.0%  |  |  |
| 3.5% 11/15/40 to 11/20/50  | 5629 | 5296 |
| 4% 8/15/39 to 6/20/49  | 11439 | 11092 |
| 4.5% 6/20/33 to 6/20/41  | 1504 | 1491 |
| 5.5% 10/15/35 to 9/15/39  | 44 | 46 |
| 7% to 7% 11/15/27 to 8/15/32  | 15 | 16 |
| 7.5% to 7.5% 4/15/23 to 1/15/31  | 4 | 5 |
| 8% 12/15/23 to 12/15/27  | 1 | 1 |
| 8.5% 8/15/29 to 1/15/31  | 0 | 0 |
| 2% 1/20/51 to 4/20/51  | 13401 | 11448 |
| 2% 12/1/52 (f) | 22500 | 19105 |
| 2% 12/1/52 (f) | 12850 | 10911 |
| 2% 12/1/52 (f) | 25650 | 21780 |
| 2% 12/1/52 (f) | 33150 | 28148 |
| 2% 12/1/52 (f) | 6200 | 5264 |
| 2% 12/1/52 (f) | 7850 | 6665 |
| 2% 1/1/53 (f) | 15700 | 13343 |
| 2% 1/1/53 (f) | 11500 | 9774 |
| 2% 1/1/53 (f) | 9750 | 8286 |
| 2% 1/1/53 (f) | 26500 | 22522 |
| 2% 1/1/53 (f) | 8850 | 7522 |
| 2% 1/1/53 (f) | 8750 | 7437 |
| 2% 1/1/53 (f) | 6450 | 5482 |
| 2.5% 7/20/51 to 12/20/51  | 813 | 716 |
| 2.5% 12/1/52 (f) | 5400 | 4738 |
| 2.5% 12/1/52 (f) | 10750 | 9432 |
| 2.5% 12/1/52 (f) | 10800 | 9476 |
| 2.5% 12/1/52 (f) | 21550 | 18907 |
| 2.5% 12/1/52 (f) | 4450 | 3904 |
| 2.5% 12/1/52 (f) | 5250 | 4606 |
| 2.5% 1/1/53 (f) | 5400 | 4742 |
| 2.5% 1/1/53 (f) | 10750 | 9440 |
| 2.5% 1/1/53 (f) | 6700 | 5883 |
| 2.5% 1/1/53 (f) | 6750 | 5927 |
| 2.5% 1/1/53 (f) | 10800 | 9484 |
| 2.5% 1/1/53 (f) | 5275 | 4632 |
| 3% 5/15/42 to 10/20/51  | 6231 | 5664 |
| 3% 12/1/52 (f) | 11950 | 10778 |
| 3% 12/1/52 (f) | 11550 | 10417 |
| 3% 12/1/52 (f) | 16200 | 14611 |
| 3% 12/1/52 (f) | 17350 | 15649 |
| 3% 1/1/53 (f) | 23250 | 20985 |
| 3% 1/1/53 (f) | 13950 | 12591 |
| 3.5% 12/1/52 (f) | 5300 | 4917 |
| 3.5% 12/1/52 (f) | 11000 | 10205 |
| 3.5% 1/1/53 (f) | 10400 | 9653 |
| 4.5% 12/1/52 (f) | 7400 | 7249 |
| 5% 9/20/33 to 4/20/48  | 859 | 873 |
| 5.47% 8/20/59 (d)(g) | 1 | 1 |
| 6% 11/20/31 to 5/15/40  | 1565 | 1631 |
| 6.5% 3/20/31 to 8/15/36  | 7 | 8 |
| TOTAL GINNIE MAE |  | 412753 |
| Uniform Mortgage Backed Securities - 19.6%  |  |  |
| 1.5% 12/1/52 (f) | 17650 | 13711 |
| 1.5% 12/1/52 (f) | 8900 | 6914 |
| 1.5% 1/1/53 (f) | 16600 | 12824 |
| 2% 12/1/52 (f) | 18550 | 15256 |
| 2% 12/1/52 (f) | 14300 | 11761 |
| 2% 12/1/52 (f) | 8800 | 7237 |
| 2% 12/1/52 (f) | 18650 | 15338 |
| 2% 12/1/52 (f) | 18650 | 15338 |
| 2% 12/1/52 (f) | 9300 | 7649 |
| 2% 12/1/52 (f) | 9200 | 7566 |
| 2% 12/1/52 (f) | 9200 | 7566 |
| 2% 12/1/52 (f) | 11250 | 9252 |
| 2% 12/1/52 (f) | 5650 | 4647 |
| 2% 12/1/52 (f) | 5650 | 4647 |
| 2% 12/1/52 (f) | 4150 | 3413 |
| 2% 1/1/53 (f) | 18450 | 15190 |
| 2% 1/1/53 (f) | 4600 | 3787 |
| 2% 1/1/53 (f) | 4600 | 3787 |
| 2% 1/1/53 (f) | 900 | 741 |
| 2% 1/1/53 (f) | 4600 | 3787 |
| 2% 1/1/53 (f) | 18550 | 15272 |
| 2% 1/1/53 (f) | 9200 | 7574 |
| 2% 1/1/53 (f) | 9200 | 7574 |
| 2.5% 12/1/37 (f) | 4800 | 4433 |
| 2.5% 12/1/37 (f) | 4800 | 4433 |
| 2.5% 12/1/52 (f) | 5400 | 4614 |
| 2.5% 12/1/52 (f) | 6600 | 5640 |
| 2.5% 12/1/52 (f) | 28700 | 24525 |
| 2.5% 12/1/52 (f) | 14400 | 12305 |
| 2.5% 12/1/52 (f) | 12050 | 10297 |
| 2.5% 12/1/52 (f) | 6000 | 5127 |
| 2.5% 12/1/52 (f) | 7950 | 6794 |
| 2.5% 12/1/52 (f) | 3550 | 3034 |
| 2.5% 12/1/52 (f) | 4900 | 4187 |
| 2.5% 1/1/53 (f) | 19800 | 16936 |
| 2.5% 1/1/53 (f) | 6600 | 5645 |
| 3% 12/1/37 (f) | 38000 | 35762 |
| 3% 12/1/52 (f) | 5550 | 4913 |
| 3% 12/1/52 (f) | 5550 | 4913 |
| 3% 12/1/52 (f) | 16500 | 14606 |
| 3% 12/1/52 (f) | 22700 | 20095 |
| 3% 12/1/52 (f) | 16200 | 14341 |
| 3% 1/1/53 (f) | 3400 | 3012 |
| 3% 1/1/53 (f) | 6800 | 6024 |
| 3.5% 12/1/52 (f) | 16600 | 15210 |
| 3.5% 12/1/52 (f) | 17950 | 16447 |
| 3.5% 12/1/52 (f) | 11325 | 10377 |
| 3.5% 1/1/53 (f) | 6000 | 5500 |
| 4% 12/1/52 (f) | 36300 | 34349 |
| 4% 12/1/52 (f) | 11200 | 10598 |
| 4% 12/1/52 (f) | 5200 | 4921 |
| 4.5% 12/1/52 (f) | 43650 | 42491 |
| 4.5% 12/1/52 (f) | 29150 | 28376 |
| 4.5% 1/1/53 (f) | 32550 | 31685 |
| 5% 12/1/52 (f) | 9350 | 9309 |
| 5% 12/1/52 (f) | 23050 | 22949 |
| 5% 12/1/52 (f) | 9350 | 9309 |
| 5.5% 12/1/52 (f) | 19600 | 19824 |
| 5.5% 12/1/52 (f) | 1400 | 1416 |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES |  | 675228 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $1,621,266) |  | <br> **1592727** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 4.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 4.1%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 4.1%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| U.S. Government Agency - 4.1%  |  |  |
| Fannie Mae: |  |  |
|  floater:  |  |  |
| Series 1994-42 Class FK, 10-Year Treasury Constant Maturity Rate - 0.500% 3.62% 4/25/24 (d)(e) <br>| 6 | 6 |
| Series 2001-38 Class QF, 1 month U.S. LIBOR + 0.980% 4.9961% 8/25/31 (d)(e) <br>| 27 | 28 |
| Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 4.8161% 2/25/32 (d)(e) <br>| 1 | 1 |
| Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 4.9107% 3/18/32 (d)(e) <br>| 1 | 1 |
| Series 2002-49 Class FB, 1 month U.S. LIBOR + 0.600% 4.5107% 11/18/31 (d)(e) <br>| 22 | 22 |
| Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 5.0161% 4/25/32 (d)(e) <br>| 12 | 12 |
| Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 5.0161% 10/25/32 (d)(e) <br>| 1 | 2 |
| Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 4.7661% 1/25/32 (d)(e) <br>| 1 | 1 |
| Series 2002-74 Class FV, 1 month U.S. LIBOR + 0.450% 4.4661% 11/25/32 (d)(e) <br>| 33 | 33 |
| Series 2002-75 Class FA, 1 month U.S. LIBOR + 1.000% 5.0161% 11/25/32 (d)(e) <br>| 21 | 21 |
| Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 4.0839% 12/25/33 (d)(h)(i) <br>| 21 | 3 |
| Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 2.6639% 11/25/36 (d)(h)(i) <br>| 15 | 1 |
| Series 2010-15 Class FJ, 1 month U.S. LIBOR + 0.930% 4.9461% 6/25/36 (d)(e) <br>| 1822 | 1832 |
|  planned amortization class:  |  |  |
| Series 1993-207 Class H, 6.5% 11/25/23 <br>| 1 | 1 |
| Series 1996-28 Class PK, 6.5% 7/25/25 <br>| 1 | 1 |
| Series 1999-17 Class PG, 6% 4/25/29 <br>| 6 | 6 |
| Series 1999-32 Class PL, 6% 7/25/29 <br>| 7 | 7 |
| Series 1999-33 Class PK, 6% 7/25/29 <br>| 5 | 5 |
| Series 2001-52 Class YZ, 6.5% 10/25/31 <br>| 1 | 1 |
| Series 2003-28 Class KG, 5.5% 4/25/23 <br>| 1 | 1 |
| Series 2003-70 Class BJ, 5% 7/25/33 <br>| 34 | 34 |
| Series 2005-102 Class CO 11/25/35 (j) <br>| 4 | 4 |
| Series 2005-64 Class PX, 5.5% 6/25/35 <br>| 165 | 168 |
| Series 2005-68 Class CZ, 5.5% 8/25/35 <br>| 1757 | 1785 |
| Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 7.108% 8/25/35 (d)(i) <br>| 1 | 1 |
| Series 2005-81 Class PC, 5.5% 9/25/35 <br>| 12 | 12 |
| Series 2006-12 Class BO 10/25/35 (j) <br>| 17 | 14 |
| Series 2006-15 Class OP 3/25/36 (j) <br>| 20 | 17 |
| Series 2006-37 Class OW 5/25/36 (j) <br>| 2 | 2 |
| Series 2006-45 Class OP 6/25/36 (j) <br>| 195 | 155 |
| Series 2006-62 Class KP 4/25/36 (j) <br>| 10 | 8 |
| Series 2010-118 Class PB, 4.5% 10/25/40 <br>| 1821 | 1804 |
| Series 2012-149: <br>|  |  |
| Class DA, 1.75% 1/25/43 <br>| 357 | 325 |
| Class GA, 1.75% 6/25/42 <br>| 383 | 347 |
|  sequential payer:  |  |  |
| Series 1997-41 Class J, 7.5% 6/18/27 <br>| 1 | 1 |
| Series 1999-25 Class Z, 6% 6/25/29 <br>| 6 | 6 |
| Series 2001-20 Class Z, 6% 5/25/31 <br>| 7 | 7 |
| Series 2001-31 Class ZC, 6.5% 7/25/31 <br>| 4 | 4 |
| Series 2002-16 Class ZD, 6.5% 4/25/32 <br>| 3 | 3 |
| Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 3.5339% 11/25/32 (d)(h)(i) <br>| 7 | 0 |
| Series 2003-117 Class MD, 5% 12/25/23 <br>| 37 | 37 |
| Series 2004-52 Class KZ, 5.5% 7/25/34 <br>| 167 | 168 |
| Series 2004-91 Class Z, 5% 12/25/34 <br>| 1622 | 1614 |
| Series 2005-117 Class JN, 4.5% 1/25/36 <br>| 103 | 102 |
| Series 2005-14 Class ZB, 5% 3/25/35 <br>| 499 | 497 |
| Series 2006-72 Class CY, 6% 8/25/26 <br>| 423 | 434 |
| Series 2009-59 Class HB, 5% 8/25/39 <br>| 774 | 775 |
| Series 2012-67 Class AI, 4.5% 7/25/27 (h) <br>| 9 | 0 |
|  Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 2.6239% 12/25/36 (d)(h)(i) | 10 | 1 |
|  Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 2.4239% 5/25/37 (d)(h)(i) | 5 | 1 |
|  Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 8.44% 9/25/23 (d)(i) | 0 | 0 |
|  Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 4.0839% 3/25/33 (d)(h)(i) | 1 | 0 |
|  Series 2005-72 Class ZC, 5.5% 8/25/35  | 81 | 82 |
|  Series 2005-79 Class ZC, 5.9% 9/25/35  | 47 | 48 |
|  Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 16.5232% 6/25/37 (d)(i) | 5 | 6 |
|  Series 2007-66:  |  |  |
| Class SA, 39.600% - 1 month U.S. LIBOR 15.5032% 7/25/37 (d)(i) <br>| 7 | 9 |
| Class SB, 39.600% - 1 month U.S. LIBOR 15.5032% 7/25/37 (d)(i) <br>| 2 | 3 |
|  Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 2.3339% 3/25/38 (d)(h)(i) | 34 | 4 |
|  Series 2010-135:  |  |  |
| Class LS, 6.050% - 1 month U.S. LIBOR 2.0339% 12/25/40 (d)(h)(i) <br>| 35 | 3 |
| Class ZA, 4.5% 12/25/40 <br>| 15 | 15 |
|  Series 2010-139 Class NI, 4.5% 2/25/40 (h) | 346 | 10 |
|  Series 2010-150 Class ZC, 4.75% 1/25/41  | 148 | 147 |
|  Series 2010-39 Class FG, 1 month U.S. LIBOR + 0.920% 4.9361% 3/25/36 (d)(e) | 1219 | 1234 |
|  Series 2010-95 Class ZC, 5% 9/25/40  | 351 | 356 |
|  Series 2011-39 Class ZA, 6% 11/25/32  | 24 | 25 |
|  Series 2011-4 Class PZ, 5% 2/25/41  | 46 | 45 |
|  Series 2011-67 Class AI, 4% 7/25/26 (h) | 25 | 1 |
|  Series 2011-83 Class DI, 6% 9/25/26 (h) | 0 | 0 |
|  Series 2012-100 Class WI, 3% 9/25/27 (h) | 74 | 3 |
|  Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 2.6339% 12/25/30 (d)(h)(i) | 10 | 0 |
|  Series 2012-27 Class EZ, 4.25% 3/25/42  | 2317 | 2223 |
|  Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 2.5339% 6/25/41 (d)(h)(i) | 8 | 0 |
|  Series 2013-133 Class IB, 3% 4/25/32 (h) | 27 | 1 |
|  Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 2.0339% 1/25/44 (d)(h)(i) | 22 | 2 |
|  Series 2013-51 Class GI, 3% 10/25/32 (h) | 27 | 2 |
|  Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 2.7039% 6/25/35 (d)(h)(i) | 29 | 3 |
|  Series 2015-42 Class IL, 6% 6/25/45 (h) | 147 | 26 |
|  Series 2015-70 Class JC, 3% 10/25/45  | 162 | 154 |
|  Series 2016-26 Class CG, 3% 5/25/46  | 5356 | 5070 |
|  Series 2017-30 Class AI, 5.5% 5/25/47 (h) | 81 | 15 |
|  Series 2017-74 Class SH, 6.200% - 1 month U.S. LIBOR 2.1839% 10/25/47 (d)(h)(i) | 651 | 77 |
|  Series 2018-45 Class GI, 4% 6/25/48 (h) | 893 | 168 |
| Fannie Mae Stripped Mortgage-Backed Securities: |  |  |
|  Series 339 Class 5, 5.5% 7/25/33 (h) | 5 | 1 |
|  Series 343 Class 16, 5.5% 5/25/34 (h) | 5 | 1 |
|  Series 348 Class 14, 6.5% 8/25/34 (d)(h) | 3 | 1 |
|  Series 351:  |  |  |
| Class 12, 5.5% 4/25/34 (d)(h) <br>| 2 | 0 |
| Class 13, 6% 3/25/34 (h) <br>| 3 | 1 |
|  Series 359 Class 19, 6% 7/25/35 (d)(h) | 2 | 0 |
|  Series 384 Class 6, 5% 7/25/37 (h) | 20 | 4 |
| Freddie Mac: |  |  |
|  floater:  |  |  |
| Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 4.6731% 1/15/32 (d)(e) <br>| 0 | 0 |
| Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 4.7731% 3/15/32 (d)(e) <br>| 1 | 1 |
| Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 4.8731% 3/15/32 (d)(e) <br>| 1 | 1 |
| Series 2432: <br>|  |  |
| Class FE, 1 month U.S. LIBOR + 0.900% 4.7731% 6/15/31 (d)(e) <br>| 1 | 1 |
| Class FG, 1 month U.S. LIBOR + 0.900% 4.7731% 3/15/32 (d)(e) <br>| 0 | 0 |
| Series 2526 Class FC, 1 month U.S. LIBOR + 0.400% 4.2731% 11/15/32 (d)(e) <br>| 7 | 7 |
| Series 2530 Class FE, 1 month U.S. LIBOR + 0.600% 4.4731% 2/15/32 (d)(e) <br>| 12 | 12 |
| Series 2682 Class FB, 1 month U.S. LIBOR + 0.900% 4.7731% 10/15/33 (d)(e) <br>| 665 | 671 |
| Series 2711 Class FC, 1 month U.S. LIBOR + 0.900% 4.7731% 2/15/33 (d)(e) <br>| 463 | 467 |
|  floater planned amortization class Series 2770 Class FH, 1 month U.S. LIBOR + 0.400% 4.2731% 3/15/34 (d)(e) | 167 | 166 |
|  floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 4.1231% 5/15/37 (d)(e) | 26 | 26 |
|  planned amortization class:  |  |  |
| Series 2095 Class PE, 6% 11/15/28 <br>| 8 | 8 |
| Series 2101 Class PD, 6% 11/15/28 <br>| 4 | 4 |
| Series 2121 Class MG, 6% 2/15/29 <br>| 3 | 3 |
| Series 2131 Class BG, 6% 3/15/29 <br>| 22 | 23 |
| Series 2137 Class PG, 6% 3/15/29 <br>| 4 | 4 |
| Series 2154 Class PT, 6% 5/15/29 <br>| 6 | 6 |
| Series 2162 Class PH, 6% 6/15/29 <br>| 1 | 1 |
| Series 2520 Class BE, 6% 11/15/32 <br>| 10 | 11 |
| Series 2682 Class LD, 4.5% 10/15/33 <br>| 153 | 150 |
| Series 2693 Class MD, 5.5% 10/15/33 <br>| 23 | 23 |
| Series 2802 Class OB, 6% 5/15/34 <br>| 23 | 23 |
| Series 2996 Class MK, 5.5% 6/15/35 <br>| 7 | 7 |
| Series 3002 Class NE, 5% 7/15/35 <br>| 24 | 25 |
| Series 3110 Class OP 9/15/35 (j) <br>| 6 | 6 |
| Series 3119 Class PO 2/15/36 (j) <br>| 24 | 19 |
| Series 3121 Class KO 3/15/36 (j) <br>| 4 | 3 |
| Series 3123 Class LO 3/15/36 (j) <br>| 13 | 11 |
| Series 3145 Class GO 4/15/36 (j) <br>| 14 | 12 |
| Series 3189 Class PD, 6% 7/15/36 <br>| 20 | 21 |
| Series 3225 Class EO 10/15/36 (j) <br>| 7 | 6 |
| Series 3258 Class PM, 5.5% 12/15/36 <br>| 9 | 9 |
| Series 3415 Class PC, 5% 12/15/37 <br>| 208 | 208 |
| Series 3806 Class UP, 4.5% 2/15/41 <br>| 46 | 46 |
| Series 3832 Class PE, 5% 3/15/41 <br>| 93 | 93 |
| Series 3857 Class ZP, 5% 5/15/41 <br>| 3685 | 3750 |
| Series 4135 Class AB, 1.75% 6/15/42 <br>| 281 | 255 |
|  sequential payer:  |  |  |
| Series 1929 Class EZ, 7.5% 2/17/27 <br>| 9 | 9 |
| Series 2004-2802 Class ZG, 5.5% 5/15/34 <br>| 2100 | 2164 |
| Series 2004-2862 Class NE, 5% 9/15/24 <br>| 20 | 20 |
| Series 2135 Class JE, 6% 3/15/29 <br>| 2 | 2 |
| Series 2145 Class MZ, 6.5% 4/15/29 <br>| 23 | 23 |
| Series 2274 Class ZM, 6.5% 1/15/31 <br>| 2 | 2 |
| Series 2281 Class ZB, 6% 3/15/30 <br>| 4 | 4 |
| Series 2303 Class ZV, 6% 4/15/31 <br>| 13 | 14 |
| Series 2357 Class ZB, 6.5% 9/15/31 <br>| 36 | 37 |
| Series 2502 Class ZC, 6% 9/15/32 <br>| 4 | 4 |
| Series 2519 Class ZD, 5.5% 11/15/32 <br>| 6 | 7 |
| Series 2546 Class MJ, 5.5% 3/15/23 <br>| 0 | 0 |
| Series 2587 Class AD, 4.71% 3/15/33 <br>| 515 | 518 |
| Series 2601 Class TB, 5.5% 4/15/23 <br>| 0 | 0 |
| Series 2877 Class ZD, 5% 10/15/34 <br>| 2017 | 2007 |
| Series 2998 Class LY, 5.5% 7/15/25 <br>| 7 | 7 |
| Series 3007 Class EW, 5.5% 7/15/25 <br>| 559 | 571 |
| Series 3871 Class KB, 5.5% 6/15/41 <br>| 5177 | 5385 |
| Series 3889 Class DZ, 4% 1/15/41 <br>| 13332 | 12957 |
|  Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 2.7269% 2/15/36 (d)(h)(i) | 7 | 1 |
|  Series 2013-4281 Class AI, 4% 12/15/28 (h) | 23 | 1 |
|  Series 2017-4683 Class LM, 3% 5/15/47  | 211 | 200 |
|  Series 2018-4763 Class SC, 6.200% - 1 month U.S. LIBOR 2.3269% 8/15/47 (d)(h)(i) | 329 | 38 |
|  Series 2933 Class ZM, 5.75% 2/15/35  | 104 | 107 |
|  Series 2935 Class ZK, 5.5% 2/15/35  | 85 | 88 |
|  Series 2947 Class XZ, 6% 3/15/35  | 41 | 43 |
|  Series 2996 Class ZD, 5.5% 6/15/35  | 71 | 73 |
|  Series 3237 Class C, 5.5% 11/15/36  | 99 | 100 |
|  Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 2.7869% 11/15/36 (d)(h)(i) | 31 | 4 |
|  Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 2.8769% 3/15/37 (d)(h)(i) | 46 | 6 |
|  Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 2.8869% 4/15/37 (d)(h)(i) | 65 | 8 |
|  Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 2.7069% 6/15/37 (d)(h)(i) | 21 | 2 |
|  Series 3843 Class PZ, 5% 4/15/41  | 3087 | 3135 |
|  Series 3949 Class MK, 4.5% 10/15/34  | 17 | 17 |
|  Series 4055 Class BI, 3.5% 5/15/31 (h) | 29 | 1 |
|  Series 4314 Class AI, 5% 3/15/34 (h) | 9 | 0 |
|  Series 4427 Class LI, 3.5% 2/15/34 (h) | 80 | 5 |
|  Series 4471 Class PA 4% 12/15/40  | 85 | 84 |
|  target amortization class Series 2156 Class TC, 6.25% 5/15/29  | 3 | 3 |
| Freddie Mac Manufactured Housing participation certificates guaranteed: |  |  |
|  floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 4.3121% 2/15/24 (d)(e) | 0 | 0 |
|  sequential payer:  |  |  |
| Series 2043 Class ZH, 6% 4/15/28 <br>| 3 | 3 |
| Series 2056 Class Z, 6% 5/15/28 <br>| 6 | 6 |
| Freddie Mac Multi-family Structured pass-thru certificates: |  |  |
|  sequential payer Series 4341 Class ML, 3.5% 11/15/31  | 2565 | 2477 |
|  Series 4386 Class AZ, 4.5% 11/15/40  | 206 | 202 |
| Ginnie Mae guaranteed REMIC pass-thru certificates: |  |  |
|  floater:  |  |  |
| Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 2.8034% 6/16/37 (d)(h)(i) <br>| 13 | 1 |
| Series 2007-59 Class FC, 1 month U.S. LIBOR + 0.500% 4.4386% 7/20/37 (d)(e) <br>| 93 | 92 |
| Series 2008-2 Class FD, 1 month U.S. LIBOR + 0.480% 4.4186% 1/20/38 (d)(e) <br>| 94 | 93 |
| Series 2008-73 Class FA, 1 month U.S. LIBOR + 0.860% 4.7986% 8/20/38 (d)(e) <br>| 653 | 660 |
| Series 2008-83 Class FB, 1 month U.S. LIBOR + 0.900% 4.8386% 9/20/38 (d)(e) <br>| 476 | 482 |
| Series 2009-108 Class CF, 1 month U.S. LIBOR + 0.600% 4.4866% 11/16/39 (d)(e) <br>| 446 | 445 |
| Series 2009-116 Class KF, 1 month U.S. LIBOR + 0.530% 4.4166% 12/16/39 (d)(e) <br>| 75 | 74 |
| Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 4.1464% 3/20/60 (d)(e)(g) <br>| 152 | 151 |
| Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 3.9264% 7/20/60 (d)(e)(g) <br>| 1012 | 998 |
| Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 3.4427% 9/20/60 (d)(e)(g) <br>| 1277 | 1261 |
| Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 3.4427% 8/20/60 (d)(e)(g) <br>| 988 | 975 |
| Series 2010-H27 Class FA, 1 month U.S. LIBOR + 0.380% 3.5227% 12/20/60 (d)(e)(g) <br>| 524 | 518 |
| Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 12/20/60 (d)(e)(g) <br>| 534 | 529 |
| Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 2/20/61 (d)(e)(g) <br>| 475 | 470 |
| Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 3.6327% 2/20/61 (d)(e)(g) <br>| 635 | 629 |
| Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 3.6427% 4/20/61 (d)(e)(g) <br>| 448 | 444 |
| Series 2011-H14: <br>|  |  |
| Class FB, 1 month U.S. LIBOR + 0.500% 3.6427% 5/20/61 (d)(e)(g) <br>| 725 | 719 |
| Class FC, 1 month U.S. LIBOR + 0.500% 3.6427% 5/20/61 (d)(e)(g) <br>| 537 | 532 |
| Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 3.6727% 6/20/61 (d)(e)(g) <br>| 620 | 615 |
| Series 2011-H20 Class FA, 1 month U.S. LIBOR + 0.550% 3.6927% 9/20/61 (d)(e)(g) <br>| 2880 | 2855 |
| Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 3.7427% 10/20/61 (d)(e)(g) <br>| 2129 | 2113 |
| Series 2012-98 Class FA, 1 month U.S. LIBOR + 0.400% 4.3386% 8/20/42 (d)(e) <br>| 98 | 96 |
| Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.8427% 11/20/61 (d)(e)(g) <br>| 2077 | 2064 |
| Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.8427% 1/20/62 (d)(e)(g) <br>| 1196 | 1189 |
| Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.7727% 1/20/62 (d)(e)(g) <br>| 1850 | 1836 |
| Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.7727% 3/20/62 (d)(e)(g) <br>| 895 | 887 |
| Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.7927% 5/20/61 (d)(e)(g) <br>| 24 | 24 |
| Series 2013-H19: <br>|  |  |
| Class FC, 1 month U.S. LIBOR + 0.600% 3.7427% 8/20/63 (d)(e)(g) <br>| 226 | 225 |
| Class FD, 1 month U.S. LIBOR + 0.600% 3.7427% 8/20/63 (d)(e)(g) <br>| 560 | 558 |
| Series 2014-H02 Class FB, 1 month U.S. LIBOR + 0.650% 3.7927% 12/20/63 (d)(e)(g) <br>| 13443 | 13370 |
| Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 3.7427% 1/20/64 (d)(e)(g) <br>| 2461 | 2443 |
| Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 3.7427% 12/20/63 (d)(e)(g) <br>| 234 | 233 |
| Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 3.6427% 6/20/64 (d)(e)(g) <br>| 162 | 160 |
| Series 2015-H07 Class FA, 1 month U.S. LIBOR + 0.300% 3.4427% 3/20/65 (d)(e)(g) <br>| 17 | 17 |
| Series 2015-H13 Class FL, 1 month U.S. LIBOR + 0.280% 3.4227% 5/20/63 (d)(e)(g) <br>| 31 | 30 |
| Series 2015-H19 Class FA, 1 month U.S. LIBOR + 0.200% 3.3427% 4/20/63 (d)(e)(g) <br>| 44 | 43 |
| Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 3.5427% 12/20/62 (d)(e)(g) <br>| 43 | 42 |
|  planned amortization class:  |  |  |
| Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 2.1229% 12/20/40 (d)(i) <br>| 128 | 111 |
| Series 2010-31 Class BP, 5% 3/20/40 <br>| 4478 | 4501 |
| Series 2011-136 Class WI, 4.5% 5/20/40 (h) <br>| 39 | 3 |
| Series 2011-68 Class EC, 3.5% 4/20/41 <br>| 58 | 56 |
| Series 2016-69 Class WA, 3% 2/20/46 <br>| 105 | 98 |
| Series 2017-134 Class BA, 2.5% 11/20/46 <br>| 395 | 357 |
| Series 2017-153 Class GA, 3% 9/20/47 <br>| 282 | 260 |
| Series 2017-182 Class KA, 3% 10/20/47 <br>| 216 | 199 |
| Series 2018-13 Class Q, 3% 4/20/47 <br>| 279 | 261 |
|  sequential payer:  |  |  |
| Series 2004-24 Class ZM, 5% 4/20/34 <br>| 36 | 36 |
| Series 2010-160 Class DY, 4% 12/20/40 <br>| 263 | 256 |
| Series 2010-170 Class B, 4% 12/20/40 <br>| 58 | 57 |
| Series 2011-69 Class GX, 4.5% 5/16/40 <br>| 3261 | 3306 |
| Series 2014-H04 Class HA, 2.75% 2/20/64 (g) <br>| 1748 | 1709 |
| Series 2014-H12 Class KA, 2.75% 5/20/64 (g) <br>| 206 | 206 |
| Series 2017-139 Class BA, 3% 9/20/47 <br>| 3881 | 3512 |
| Series 2018-H12 Class HA, 3.25% 8/20/68 (g) <br>| 1241 | 1197 |
|  Series 2004-22 Class M1, 5.5% 4/20/34  | 779 | 835 |
|  Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 2.6134% 5/16/34 (d)(h)(i) | 8 | 1 |
|  Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 3.3134% 8/17/34 (d)(h)(i) | 7 | 1 |
|  Series 2010-116 Class QB, 4% 9/16/40  | 20 | 20 |
|  Series 2010-14 Class SN, 5.950% - 1 month U.S. LIBOR 2.0634% 2/16/40 (d)(h)(i) | 50 | 3 |
|  Series 2010-169 Class Z, 4.5% 12/20/40  | 3936 | 3572 |
|  Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 3.9264% 5/20/60 (d)(e)(g) | 76 | 75 |
|  Series 2010-H16 Class BA, 3.55% 7/20/60 (g) | 122 | 119 |
|  Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(g) | 59 | 59 |
|  Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 2.1614% 7/20/41 (d)(h)(i) | 24 | 2 |
|  Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 2.8134% 6/16/42 (d)(h)(i) | 28 | 3 |
|  Series 2013-149 Class MA, 2.5% 5/20/40  | 214 | 205 |
|  Series 2013-H01 Class FA, 1.65% 1/20/63 (g) | 0 | 0 |
|  Series 2013-H04 Class BA, 1.65% 2/20/63 (g) | 1 | 1 |
|  Series 2013-H08 Class MA, 3% 3/20/63 (g) | 7 | 7 |
|  Series 2014-2 Class BA, 3% 1/20/44  | 529 | 488 |
|  Series 2014-21 Class HA, 3% 2/20/44  | 194 | 179 |
|  Series 2014-25 Class HC, 3% 2/20/44  | 332 | 306 |
|  Series 2014-5 Class A, 3% 1/20/44  | 288 | 266 |
|  Series 2015-H13 Class HA, 2.5% 8/20/64 (g) | 3 | 2 |
|  Series 2015-H30 Class HA, 1.75% 9/20/62 (d)(g) | 153 | 146 |
|  Series 2016-H13 Class FB, U.S. TREASURY 1 YEAR INDEX + 0.500% 4.317% 5/20/66 (d)(e)(g) | 7204 | 7181 |
|  Series 2017-186 Class HK, 3% 11/16/45  | 285 | 263 |
|  Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 4.42% 8/20/66 (d)(e)(g) | 7811 | 7771 |
|  Series 2090-118 Class XZ, 5% 12/20/39  | 10460 | 10609 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $149,688) |  | <br> **142577** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 0.4%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.4%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 0.4%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Freddie Mac: |  |  |
|  sequential payer:  |  |  |
| Series 2021-K136 Class A2, 2.127% 11/25/31 <br>| 5140 | 4267 |
| Series 2022-K142 Class A2, 2.4% 3/25/32 <br>| 6700 | 5693 |
|  Series 2022-K150 Class A2, 3.71% 11/25/32  | 2200 | 2073 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $12,968) |  | **12033** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.1%** |
|  | Principal<br> Amount (a)<br> (000s) <br>| Value ($)<br> (000s) <br>|
| Israeli State: |  |  |
|  (guaranteed by U.S. Government through Agency for International Development) 5.5% 12/4/23  | 38 | 38 |
|  5.5% 4/26/24  | 4828 | 4877 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $5,052) |  | **4915** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 13.7%** | &nbsp;&nbsp;**Money Market Funds - 13.7%** | &nbsp;&nbsp;**Money Market Funds - 13.7%** |
|  | Shares | Value ($)<br> (000s) <br>|
| Fidelity Cash Central Fund 3.86% (k) <br>(Cost $473,337) <br>| 473244402 | **473339** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 131.4%**<br> (Cost $4,816,099)<br>| <br>**4525465** |
| **NET OTHER ASSETS (LIABILITIES) - (31.4)%**  | **(1082383)** |
| **NET ASSETS - 100.0%** | **3443082** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a)<br> (000s) | Value ($) <br>(000s) <br>|
| Ginnie Mae |  |  |
| 2% 12/1/52 | (15700) | (13331) |
| 2% 12/1/52 | (22500) | (19105) |
| 2% 12/1/52 | (11500) | (9765) |
| 2% 12/1/52 | (9750) | (8279) |
| 2% 12/1/52 | (26500) | (22501) |
| 2% 12/1/52 | (8850) | (7515) |
| 2% 12/1/52 | (8750) | (7430) |
| 2.5% 12/1/52 | (5400) | (4738) |
| 2.5% 12/1/52 | (10750) | (9432) |
| 2.5% 12/1/52 | (10750) | (9432) |
| 2.5% 12/1/52 | (5400) | (4738) |
| 2.5% 12/1/52 | (6700) | (5878) |
| 2.5% 12/1/52 | (6750) | (5922) |
| 2.5% 12/1/52 | (10800) | (9476) |
| 3% 12/1/52 | (23250) | (20970) |
| 3% 12/1/52 | (13950) | (12582) |
| 3.5% 12/1/52 | (10400) | (9648) |
| TOTAL GINNIE MAE  |  | (180742) |
| Uniform Mortgage Backed Securities |  |  |
| 1.5% 12/1/52 | (16600) | (12895) |
| 2% 12/1/52 | (18450) | (15174) |
| 2% 12/1/52 | (4600) | (3783) |
| 2% 12/1/52 | (4600) | (3783) |
| 2% 12/1/52 | (900) | (740) |
| 2% 12/1/52 | (4600) | (3783) |
| 2% 12/1/52 | (18550) | (15256) |
| 2% 12/1/52 | (18550) | (15256) |
| 2% 12/1/52 | (14300) | (11761) |
| 2% 12/1/52 | (9200) | (7566) |
| 2% 12/1/52 | (4100) | (3372) |
| 2% 12/1/52 | (8800) | (7237) |
| 2% 12/1/52 | (5600) | (4606) |
| 2% 12/1/52 | (9200) | (7566) |
| 2.5% 12/1/37 | (4800) | (4433) |
| 2.5% 12/1/37 | (4800) | (4433) |
| 2.5% 12/1/52 | (19800) | (16920) |
| 2.5% 12/1/52 | (6600) | (5640) |
| 2.5% 12/1/52 | (6600) | (5640) |
| 2.5% 12/1/52 | (5400) | (4614) |
| 2.5% 12/1/52 | (11200) | (9571) |
| 3% 12/1/52 | (5500) | (4869) |
| 3% 12/1/52 | (3400) | (3010) |
| 3% 12/1/52 | (6800) | (6020) |
| 3% 12/1/52 | (7850) | (6949) |
| 3.5% 12/1/52 | (6000) | (5498) |
| 4.5% 12/1/52 | (32550) | (31685) |
| 5% 12/1/52 | (3750) | (3734) |
| 5% 12/1/52 | (9350) | (9309) |
| 5% 12/1/52 | (6600) | (6571) |
| 5% 12/1/52 | (9350) | (9309) |
| 5.5% 12/1/52 | (950) | (961) |
| 5.5% 12/1/52 | (2350) | (2377) |
| TOTAL UNIFORM MORTGAGE BACKED SECURITIES  |  | (254321) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $428,580) |  | <br> **(435063)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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 ($)<br> (000s) <br>| Value ($)<br> (000s) <br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br> (000s) <br>|
| Purchased |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1625 | Mar 2023 | 333709 | 818 | 818 |
| Sold |  |  |  |  |  |
| Treasury Contracts |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 674 | Mar 2023 | 76499 | (612) | (612) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 114 | Mar 2023 | 12377 | (38) | (38) |
| CBOT Long Term U.S. Treasury Bond Contracts (United States) | 169 | Mar 2023 | 21463 | (209) | (209) |
| TOTAL SOLD |  |  |  |  | (859) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(41)** |
| The notional amount of futures purchased as a percentage of Net Assets is 9.7% | The notional amount of futures purchased as a percentage of Net Assets is 9.7% | The notional amount of futures purchased as a percentage of Net Assets is 9.7% | The notional amount of futures purchased as a percentage of Net Assets is 9.7% | The notional amount of futures purchased as a percentage of Net Assets is 9.7% | The notional amount of futures purchased as a percentage of Net Assets is 9.7% |
| The notional amount of futures sold as a percentage of Net Assets is 3.2% | The notional amount of futures sold as a percentage of Net Assets is 3.2% | The notional amount of futures sold as a percentage of Net Assets is 3.2% | The notional amount of futures sold as a percentage of Net Assets is 3.2% | The notional amount of futures sold as a percentage of Net Assets is 3.2% | The notional amount of futures sold as a percentage of Net Assets is 3.2% |

---

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency<br> Clearinghouse /<br> Counterparty<sup>(1)</sup> | Maturity<br> Date | Notional<br> Amount (000s)<sup>(2)</sup> | Value ($)<br> (000s) | Upfront<br> Premium<br> Received/<br> (Paid) ($) (000s)<sup>(3)</sup> | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br> (000s) <br>|
| 2.75% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2027 | 9014 | (74) | 0 | (74) |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2032 | 5956 | (72) | 0 | (72) |
| 2.5% | Annual | U.S. Secured Overnight Fin. Rate (SOFR) Index<sup>(4)</sup> | Annual<br> LCH | Dec 2052 | 1251 | (38) | 0 | (38) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  | **(184)** | **0** | **(184)** |

---

(1)Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

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

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

(4)Represents floating rate.

*Any values shown as $0 in the Schedule of Investments may reflect amounts less than $500.*

**Legend**

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

(b) 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 $2,790,000.

(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $772,000.

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

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

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

(g) 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.

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

(i) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

(j) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

(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 (Amounts in thousands) | 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 ($) | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund 3.86% | 529585 | 200230 | 256476 | 4331 | - | - | 473339 | 1.0% |
| Fidelity Securities Lending Cash Central Fund 3.86% | 80585 | 150205 | 230790 | 19 | - | - | - | 0.0% |
| Total | 610170 | 350435 | 487266 | 4350 | - | - | 473339 |  |

---

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

Amount 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 payments 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. Government and Government Agency Obligations and Foreign Government and Government Agency Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. U.S. Government Agency - Mortgage Securities, Collateralized Mortgage Obligations and Commercial 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.

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.

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.

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

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

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

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

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

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

- **a. Date of fiscal year-end:** 2023-08-31

- **b. Date as of which information is reported:** 2022-11-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $4854722863.81

**Total Liabilities:** $1414863594.43

**Net Assets:** $3439859269.38

**Delayed Delivery Securities:** $985660759.87

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 7199.89540517 | **1-Year:** 233060.54954357 | **5-Year:** 552271.85129081 | **10-Year:** 570112.07666866 | **30-Year:** 450879.81070531

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000038100 | -5.14%               | -2.57%               | 2.11%                |
| Class ID C000038102 | -4.07%               | -1.49%               | 3.18%                |
| Class ID C000205069 | -3.95%               | -1.58%               | 3.19%                |
| Class ID C000038101 | -7.93%               | -5.55%               | -0.97%               |
| Class ID C000019283 | -3.97%               | -1.60%               | 3.19%                |
| Class ID C000038098 | -7.93%               | -5.56%               | -0.86%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-19012652.03            | $-125968619.42                             |
| Month 2  | $-21986303.32            | $-35979976.80                              |
| Month 3  | $-17760878.13            | $120315624.87                              |

**Designated Index Information**

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

- **Index Identifier:** 19808145

### Schedule of Portfolio Investments

| Name                                                      | Title                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3145 GO 4/36                                                       | CUSIP: 31396NCS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      14358 | PA      | $11677.80     | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | 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        |     227526 | PA      | $205554.09    | 0.01%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/51#BT1461                                              | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78974 | PA      | $65433.98     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2047#CA0855                                       | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151031 | PA      | $141444.97    | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 05/20/2046#AS9175                                         | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13095 | PA      | $12308.82     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745127                                                | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6927 | PA      | $6861.10      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 12/39 #711029                                               | CUSIP: 36297F4N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2129 | PA      | $2146.77      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 1/38 #889371                                                | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18768 | PA      | $19710.49     | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/25 #322201                                                | CUSIP: 31374R3J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        191 | PA      | $194.45       | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 6/35 #828385                                                | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3578 | PA      | $3728.78      | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 1ML+40 08/20/2042                       | CUSIP: 38375GZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      97828 | PA      | $96044.45     | 0.00%             | 2042-08-20      | Variable      | 0.04%                 | 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        |      41193 | PA      | $39947.98     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 7.5% 06/01/2027#250951                                       | CUSIP: 31371FWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        121 | PA      | $125.15       | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/45#Q38550                                              | CUSIP: 3132QVQC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17660 | PA      | $17134.12     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 2/30 #535143                                                | CUSIP: 31384VP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        244 | PA      | $256.55       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR1584                                       | CUSIP: 3138NXXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73951 | PA      | $67819.69     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK9019                                                | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15312 | PA      | $14797.52     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 8/36 #657024                                                | CUSIP: 36294Q4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        398 | PA      | $422.29       | 0.00%             | 2036-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2006-15 OP 0% 3/36                                                 | CUSIP: 31395BTU7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      20332 | PA      | $17118.32     | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2045#Q33578                                       | CUSIP: 3132QP6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12141 | PA      | $11445.44     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 10/01/2047#CA0623                                       | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22756 | PA      | $22539.52     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 1/41 #734151                                                | CUSIP: 3620AMTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23018 | PA      | $22237.98     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR2904                                       | CUSIP: 3138W0GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26327 | PA      | $24144.37     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/32 #644164                                                | CUSIP: 31390ETV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        194 | PA      | $205.37       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 09/01/2032#BM1884                                         | CUSIP: 3140J6CW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46865 | PA      | $44767.78     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #479607                                               | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16016 | PA      | $15472.82     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 03/20/2047#MA4322                                           | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4592263 | PA      | $4453447.60   | 0.13%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.182% 6/37 #848188                                           | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7492 | PA      | $7695.12      | 0.00%             | 2037-06-01      | Variable      | 0.04%                 | 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        |         57 | PA      | $58.89        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 3/28 #420501                                                | CUSIP: 31379JDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        291 | PA      | $301.43       | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 10/41 #005203                                            | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     355704 | PA      | $344266.73    | 0.01%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 11/41 #Q04295                                               | CUSIP: 3132GKNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21129 | PA      | $20449.61     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2051#FM7062                                       | CUSIP: 3140XAZ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2205303 | PA      | $1909864.30   | 0.06%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2042#Q12164                                       | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6202 | PA      | $6002.98      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.242% 9/1/41#1B8659                                          | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27199 | PA      | $27294.70     | 0.00%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/40 #A93451                                                | CUSIP: 312941ZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2646 | PA      | $2634.56      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/28 #406815                                                | CUSIP: 31378R3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        662 | PA      | $689.02       | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#CB3037                                         | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     598659 | PA      | $494149.26    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 1/41 #AH4987                                                | CUSIP: 3138A6RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4805 | PA      | $4644.95      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #479494                                               | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47727 | PA      | $46083.57     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 11/40 #004853                                            | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     266450 | PA      | $258014.51    | 0.01%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.87% 1/35 #735833                                            | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10502 | PA      | $10475.76     | 0.00%             | 2035-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 7/38 #889733                                                | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3169 | PA      | $3331.99      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 1.5% 01/31/2027                                              | CUSIP: 912828Z78<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22230000 | PA      | $20173725.00  | 0.59%             | 2027-01-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 11/35 #842191                                               | CUSIP: 31407VUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2018 | PA      | $2104.73      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 12/01/2031#ZS8632                                       | CUSIP: 3132A9SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11019 | PA      | $10421.74     | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AP7148                                               | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11988 | PA      | $11254.24     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2048#BM5106                                       | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103530 | PA      | $102900.05    | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2051#CB0545                                       | CUSIP: 3140QKTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38399 | PA      | $35409.63     | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 12/01/2052 #TBA                                             | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -93800000 | PA      | $-79646302.26 | -2.32%            | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 01/01/2033#BH9235                                         | CUSIP: 3140GYHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15501 | PA      | $14812.40     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2046#G60989                                         | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     480808 | PA      | $436994.12    | 0.01%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2048#BJ4970                                         | CUSIP: 3140H6QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63092 | PA      | $60723.37     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.4% 08/01/2042#AP5087                                       | CUSIP: 3138M8UM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15488 | PA      | $14351.10     | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 7/42 #AA5451                                                | CUSIP: 36178DBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17598 | PA      | $16577.88     | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.375% 03/31/2029                                            | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   23000000 | PA      | $21166289.12  | 0.62%             | 2029-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 1ML+ 02/15/2036                         | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7048 | PA      | $657.64       | 0.00%             | 2036-02-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/42#AQ3065                                            | CUSIP: 3138MJMP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10074 | PA      | $9462.38      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 2/26 #331387                                                | CUSIP: 31375DCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         85 | PA      | $86.64        | 0.00%             | 2026-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2043#AT5177                                       | CUSIP: 3138WSXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19153 | PA      | $17546.60     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AB7766                                       | CUSIP: 31417ETY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48662 | PA      | $44627.26     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 343 16 5.5% 5/34                                                   | CUSIP: 3136FA6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       4847 | PA      | $814.70       | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 3/26 #339167                                                | CUSIP: 31375MW41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.70        | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 1993-207 H 6.5% 11/23                                              | CUSIP: 31359E3G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1231 | PA      | $1228.44      | 0.00%             | 2023-11-25      | Fixed         | 0.07%                 | 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        |        118 | PA      | $122.03       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 2/1/43#AR5364                                           | CUSIP: 3138W26A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31307 | PA      | $29544.80     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 02/01/2052#RA6823                                         | CUSIP: 3133KNSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1468775 | PA      | $1212367.12   | 0.04%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 5/37 #917965                                                | CUSIP: 31411XZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1056 | PA      | $1107.17      | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 10/20/2044#MA2304                                         | CUSIP: 36179QRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     211186 | PA      | $206518.41    | 0.01%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 2.986% 10/01/2041#1B8864                                      | CUSIP: 3128UHGY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     394701 | PA      | $397945.23    | 0.01%             | 2041-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 6/36 #745640                                                | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10989 | PA      | $11488.15     | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2052#                                             | CUSIP: 3133KNWK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6094465 | PA      | $5621451.85   | 0.16%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745236                                                | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11451 | PA      | $11341.43     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 09/01/2040#G06016                                       | CUSIP: 3128M8AR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7750 | PA      | $7717.21      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 6.0% 05/15/2040#783362                                       | CUSIP: 36241LWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61973 | PA      | $65104.75     | 0.00%             | 2040-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 11/01/2050#SD7530                                       | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1743148 | PA      | $1509623.34   | 0.04%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2012-H03 FA 1ML+70 1/20/62 RVM                                     | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1195938 | PA      | $1188924.91   | 0.03%             | 2062-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #G06973                                                | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133157 | PA      | $128787.65    | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 7% 2/32 #003202                                                | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1846 | PA      | $1936.42      | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AR1624                                       | CUSIP: 3138NXYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9154 | PA      | $8395.01      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/01/2048#BK0167                                         | CUSIP: 3140HDFH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17529 | PA      | $16876.60     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.39% 12/36 #1J1448                                           | CUSIP: 3128NHTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3678 | PA      | $3726.60      | 0.00%             | 2036-12-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/32 #551697                                                | CUSIP: 36213D3E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         40 | PA      | $40.51        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2011-69 GX 4.5% 5/40                                               | CUSIP: 38377VH66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3260950 | PA      | $3306042.25   | 0.10%             | 2040-05-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK8228                                                | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33830 | PA      | $32689.35     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 06/15/2042#799330                                         | CUSIP: 36177ULL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3778 | PA      | $3645.69      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H12 FA 1ML+49 5/61                                            | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     635119 | PA      | $629095.32    | 0.02%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG 2010-169 Z 4.5% 12/20/2040                          | CUSIP: 38377RM51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    3936051 | PA      | $3572417.19   | 0.10%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 01/01/2052#                                             | CUSIP: 3133KNVL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87728 | PA      | $80672.62     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 05/01/2038#G31067                                       | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1374321 | PA      | $1329919.10   | 0.04%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 03/20/2049#MA5817                                           | CUSIP: 36179UPA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     874715 | PA      | $843149.10    | 0.02%             | 2049-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96783                                                | CUSIP: 312945RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5483 | PA      | $5459.81      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 10/01/2033#BM5832                                         | CUSIP: 3140JAPS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100712 | PA      | $95922.57     | 0.00%             | 2033-10-01      | Fixed         | 0.03%                 | 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        |     194103 | PA      | $179172.84    | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.22% 3/37 #910296                                            | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83096 | PA      | $83090.08     | 0.00%             | 2037-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2137 PG 6% 3/29                                                    | CUSIP: 3133TJR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3535 | PA      | $3595.05      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 9/36 #C02621                                                | CUSIP: 31292J4E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1045 | PA      | $1124.51      | 0.00%             | 2036-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2303 ZV 6% 4/31                                                    | CUSIP: 3133TSTH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      13292 | PA      | $13541.82     | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/39 #782727                                                | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8892 | PA      | $8960.75      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 10/01/2051#RA5998                                         | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7555623 | PA      | $6737905.54   | 0.20%             | 2051-10-01      | Fixed         | 0.03%                 | 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        |       7596 | PA      | $621.18       | 0.00%             | 2034-05-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/01/2046#BC6378                                         | CUSIP: 3140F2CQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5927 | PA      | $5745.00      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H27 FA 1ML+38 12/60                                           | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     524225 | PA      | $517981.14    | 0.02%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/01/2042#AQ9061                                         | CUSIP: 3138MRB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14618 | PA      | $14243.12     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1ML+55 09/20/2061                         | CUSIP: 38375BNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2880029 | PA      | $2855465.79   | 0.08%             | 2061-09-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2131 BG 6% 3/29                                                    | CUSIP: 3133TK2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      22422 | PA      | $22809.20     | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 11/01/2042#AB6904                                       | CUSIP: 31417DU68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93170 | PA      | $84474.90     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 2/42 #Q06088                                                | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7619 | PA      | $7371.10      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/28 #323317                                                | CUSIP: 31374TDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $183.47       | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2017-30 AI 5.5% 05/47                                              | CUSIP: 3136AWQD2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      81212 | PA      | $14689.90     | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 07/15/2046#AT7536                                         | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10243 | PA      | $9887.64      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.5% 06/15/2041#366975                                       | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100853 | PA      | $99894.66     | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/31 #545304                                               | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $163.96       | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 5/39 #698329                                                | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2427 | PA      | $2400.89      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q20360                                       | CUSIP: 3132JMMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4390 | PA      | $4278.43      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE8538                                         | CUSIP: 31419KPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13443 | PA      | $12987.80     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-49 FB 1ML+60 11/31                                            | CUSIP: 31392DYV8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      21660 | PA      | $21658.95     | 0.00%             | 2031-11-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/01/2049#CA3129                                         | CUSIP: 3140QAPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186373 | PA      | $178910.02    | 0.01%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4% 10/20/2042#AC0073                                           | CUSIP: 36178YCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74085 | PA      | $71499.49     | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 09/20/2051#MA7590                                           | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2590806 | PA      | $2351946.58   | 0.07%             | 2051-09-20      | Fixed         | 0.03%                 | 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        |      28848 | PA      | $29272.56     | 0.00%             | 2033-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2010-135 ZA 4.5% 12/40                                             | CUSIP: 31398SE82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      15183 | PA      | $15224.92     | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2044#AW3253                                       | CUSIP: 3138XSTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18589 | PA      | $18591.62     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 11/01/2051#FM9568                                         | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1201430 | PA      | $995823.16    | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 04/01/2041#AH9677                                       | CUSIP: 3138ABXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1687 | PA      | $1717.40      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 08/01/2043#AS0203                                       | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62093 | PA      | $56886.87     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/01/2047#Q48095                                       | CUSIP: 3132WM7H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134833 | PA      | $134094.21    | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 02/01/2043#Q15789                                       | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20115 | PA      | $18464.02     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AB7846                                       | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60786 | PA      | $55746.15     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 08/01/2045#BA2698                                       | CUSIP: 3140E67L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33496 | PA      | $32500.03     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.64% 4/36 #1J0058                                            | CUSIP: 3128LUB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2165 | PA      | $2181.27      | 0.00%             | 2036-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 5.00% 3/23 #889255                                           | CUSIP: 31410G5Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $16.80        | 0.00%             | 2023-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 06/15/2043#AE4597                                       | CUSIP: 36180XDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3123 | PA      | $2959.20      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 12/47#MA4901                                                | CUSIP: 36179TNS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52902 | PA      | $51170.62     | 0.00%             | 2047-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 01/01/2041#                                               | CUSIP: 312946FC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9623 | PA      | $9319.87      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 10/20/2040#004828                                       | CUSIP: 36202FLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50043 | PA      | $49330.97     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.25% 6/36 #886983                                            | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16437 | PA      | $16608.76     | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 07/20/2039#004488                                       | CUSIP: 36202E6Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1484 | PA      | $1461.44      | 0.00%             | 2039-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21524                                       | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2588 | PA      | $2521.00      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 3/39 #782604                                                | CUSIP: 36241K3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        908 | PA      | $938.04       | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 13-H08 MA 3% 03/20/2063                   | CUSIP: 38375BN40<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       7099 | PA      | $6637.66      | 0.00%             | 2063-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2046#BE4460                                         | CUSIP: 3140FP5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11863 | PA      | $11499.04     | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.01% 7/35 #1M1050                                            | CUSIP: 3128QFEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3601 | PA      | $3657.55      | 0.00%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 5.5% 12/01/2052 #TBA                                         | CUSIP: 01F0526C1<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -950000 | PA      | $-960835.89   | -0.03%            | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2051#CB2420                                         | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1153312 | PA      | $1028673.28   | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/32 #644809                                                | CUSIP: 31390FKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        531 | PA      | $553.57       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.34% 5/36 #872506                                            | CUSIP: 31409JKT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2449 | PA      | $2468.37      | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 7/27 #250990                                                | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.82        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2047#AS9394                                       | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22097 | PA      | $21921.23     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 02/01/2050#SD0265                                         | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1209929 | PA      | $1088624.20   | 0.03%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 11/01/2044#AL7307                                       | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71801 | PA      | $72351.08     | 0.00%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 03/01/2043#Q16049                                       | CUSIP: 3132J7EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9899 | PA      | $9653.38      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 04/01/2046#AS7000                                         | CUSIP: 3138WGX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     120694 | PA      | $109744.31    | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #Q07441                                                | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3902 | PA      | $3774.21      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/42#G07240                                           | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20740 | PA      | $19038.04     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/28 #449219                                                | CUSIP: 36208FAU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $36.41        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1.65% 02/20/2063                          | CUSIP: 38375BK84<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       1157 | PA      | $1117.76      | 0.00%             | 2063-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/29 #323968                                               | CUSIP: 31374TZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $40.43        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                  | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      80287 | PA      | $5134.87      | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/31 #254058                                                | CUSIP: 31371KE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $76.10        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 08/01/2038#K94341                                         | CUSIP: 3132LQWA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45343 | PA      | $44472.79     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 11/01/2051#QD1240                                         | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     874817 | PA      | $776721.65    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 8/32 #C01385                                                | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        854 | PA      | $897.44       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.127% 11/25/2031                       | CUSIP: 3137H4SH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5140000 | PA      | $4267280.43   | 0.12%             | 2031-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2050#CA5122                                         | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813469 | PA      | $731912.37    | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 1/1/43 #AR1183                                          | CUSIP: 3138NXJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18141 | PA      | $16636.97     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3415 PC 5% 12/37                                                   | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     208350 | PA      | $207614.33    | 0.01%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 2/41 #A96807                                                | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39154 | PA      | $37901.99     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.25% 03/31/2026                                             | CUSIP: 9128286L9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     928300 | PA      | $877714.90    | 0.03%             | 2026-03-31      | Fixed         | 0.02%                 | 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        |       3432 | PA      | $3312.77      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2007-66 SA -1ML+3960 7/37                                          | CUSIP: 31396WYX8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6823 | PA      | $9354.98      | 0.00%             | 2037-07-25      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2043#AR2466                                       | CUSIP: 3138NYW43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9200 | PA      | $8065.54      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-7 FC 1ML+75 1/32                                              | CUSIP: 31392B2Z8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        545 | PA      | $547.47       | 0.00%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6.00% 5/32 #003238                                             | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6938 | PA      | $7179.07      | 0.00%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 8/26 #C90997                                           | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1477 | PA      | $1503.50      | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 04/01/2046#AS7024                                         | CUSIP: 3138WGYW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34757 | PA      | $33734.36     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 0.0% 05/01/2041#1B8124                                        | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54167 | PA      | $54573.46     | 0.00%             | 2041-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 6.50% 8/27 #928600                                           | CUSIP: 31412LUZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        533 | PA      | $542.89       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 9/39 #710868                                                | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22873 | PA      | $23705.95     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 12/39 #728451                                               | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3599 | PA      | $3632.43      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2.75% 02/20/2064                          | CUSIP: 38375UDD9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1748006 | PA      | $1708781.02   | 0.05%             | 2064-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2043#AB9376                                       | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     104006 | PA      | $98152.03     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 05/25/2037                         | CUSIP: 31396VYS1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       5288 | PA      | $651.79       | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2042#794559                                         | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2356 | PA      | $2274.80      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2043#AB9239                                       | CUSIP: 31417GHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8994 | PA      | $8239.55      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 8/27 #780618                                                | CUSIP: 36225AVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         21 | PA      | $21.48        | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/40 #748482                                                | CUSIP: 3620C4RB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6957 | PA      | $7026.70      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4% 03/01/2039#MA3612                                         | CUSIP: 31418DAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19295 | PA      | $18751.14     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 09/01/2045#BA0270                                         | CUSIP: 3140E4JQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21423 | PA      | $20785.92     | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13425                                       | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27238 | PA      | $26562.72     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 12/01/2032#BJ2987                                       | CUSIP: 3140H4J96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13953 | PA      | $13118.23     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2877 ZD 5% 10/34                                                   | CUSIP: 31395HNX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2016646 | PA      | $2007166.94   | 0.06%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/29 #500286                                                | CUSIP: 31383DXP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        402 | PA      | $419.83       | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 03/01/2041#MA4287                                         | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1274154 | PA      | $1093131.80   | 0.03%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/28 #527248                                               | CUSIP: 31384LWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $39.34        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 8/23 #351159                                                | CUSIP: 36203KB45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $3.29         | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/01/2048#G67713                                         | CUSIP: 3132XCSA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13454 | PA      | $13058.05     | 0.00%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2049#QA5154                                         | CUSIP: 31346YWP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     678869 | PA      | $609746.31    | 0.02%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 12/31 #622219                                               | CUSIP: 31389DG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $402.63       | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/27 #401788                                               | CUSIP: 31378LJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $18.04        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 11/35 #843567                                               | CUSIP: 31407XFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        356 | PA      | $373.67       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 11/01/2051#RA6239                                         | CUSIP: 3133KM4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     857299 | PA      | $709513.43    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 4/23 #190215                                                | CUSIP: 31368HGY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $4.90         | 0.00%             | 2023-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2.25% 02/15/2052                           | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18700000 | PA      | $13504175.83  | 0.39%             | 2052-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 03/01/2037#MA2922                                         | CUSIP: 31418CG81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269324 | PA      | $254146.99    | 0.01%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-38 QF 1ML+98 8/31                                             | CUSIP: 313920QV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      27332 | PA      | $27667.26     | 0.00%             | 2031-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 10YR NOTE FUT (CBT)MAR23 TYH3                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -724 | NC      | $-657355.80   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/31 #544721                                                | CUSIP: 36212VD22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $43.63        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 06/20/2039#004461                                       | CUSIP: 36202E5W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3405 | PA      | $3355.75      | 0.00%             | 2039-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/43#AL7261                                         | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80683 | PA      | $75744.47     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #417739                                               | CUSIP: 31379FBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        258 | PA      | $267.37       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 5/41 #005055                                             | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225490 | PA      | $224141.51    | 0.01%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 04/01/2045#Q32912                                       | CUSIP: 3132QPGW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7336 | PA      | $7142.57      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.11% 4/38 #1B3803                                            | CUSIP: 3128JPDH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1865 | PA      | $1870.91      | 0.00%             | 2038-04-01      | Variable      | 0.03%                 | 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        |       4582 | PA      | $4425.43      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 3/42 #Q07242                                                | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11714 | PA      | $11336.55     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2601 TB 5.5 4/23                                                   | CUSIP: 31393P4T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         74 | PA      | $73.82        | 0.00%             | 2023-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 8/34 #605311                                                | CUSIP: 36200NN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2736 | PA      | $2871.62      | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96766                                                | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2989 | PA      | $2976.37      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.50% 1/31 #435013                                                | CUSIP: 36207LGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        315 | PA      | $338.56       | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.627% 6/1/41#1B8372                                          | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71269 | PA      | $72012.43     | 0.00%             | 2041-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2010-H03 FA 1ML+55 3/60                                            | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     151891 | PA      | $150710.46    | 0.00%             | 2060-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/31 #474760                                                | CUSIP: 36209LMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         87 | PA      | $90.44        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AS6967                                         | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9070 | PA      | $8524.96      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2042#C04320                                         | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     236207 | PA      | $216822.80    | 0.01%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 12/33 #A16699                                               | CUSIP: 31296RNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2946 | PA      | $2976.49      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                         | CUSIP: 3136A7HT2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       8824 | PA      | $311.89       | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2017-134 BA 2.5% 11/46                                             | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     395217 | PA      | $357347.11    | 0.01%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 1/26 #425073                                                | CUSIP: 36206YFN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         62 | PA      | $62.60        | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 12/20/2049#BR8987                                         | CUSIP: 3617M76Y9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10960 | PA      | $10230.13     | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 03/01/2035#CA5427                                       | CUSIP: 3140QDA53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1940149 | PA      | $1809553.71   | 0.05%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A97152                                                | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4850 | PA      | $4830.13      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 01/01/2046#G60393                                       | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15216 | PA      | $14335.15     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 2/42 #778882                                                | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26672 | PA      | $25146.70     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.686% 04/01/2044#AL5128                                      | CUSIP: 3138EMVW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122261 | PA      | $122140.07    | 0.00%             | 2044-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AQ9994                                       | CUSIP: 3138MSC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30253 | PA      | $27744.97     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/41 #AI9692                                                | CUSIP: 3138APXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3038 | PA      | $2933.87      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNCL 2011-39 ZA 6% 11/32                                               | CUSIP: 31397SVY7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      24111 | PA      | $24793.28     | 0.00%             | 2032-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 11/01/2051#FM9539                                         | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     761279 | PA      | $630046.37    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 12/40 #AB1898                                               | CUSIP: 31416XDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5738 | PA      | $5702.14      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 3/24 #050994                                                | CUSIP: 313615UT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $27.26        | 0.00%             | 2024-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21255                                       | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13448 | PA      | $13106.48     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 07/20/2044#MA2074                                         | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11181 | PA      | $10947.58     | 0.00%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 4/40 #782918                                                | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42940 | PA      | $43312.02     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 04/01/2046#BC0796                                         | CUSIP: 3140EU3E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184713 | PA      | $179336.40    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 8/46#BC1509                                               | CUSIP: 3140EVVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461624 | PA      | $419742.73    | 0.01%             | 2046-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/01/2041#A97673                                       | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56602 | PA      | $56365.92     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #724223                                                | CUSIP: 3620AASL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45170 | PA      | $44702.04     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2033#741529                                       | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2046 | PA      | $2023.56      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 10/39 #723224                                               | CUSIP: 3620A9PH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5068 | PA      | $5109.28      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AL2884                                       | CUSIP: 3138EKF26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11250 | PA      | $10317.68     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 12/24 #313987                                               | CUSIP: 31374GXQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $48.15        | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | 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        |        741 | PA      | $715.40       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 12/49#BR8986                                              | CUSIP: 3617M76X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4465 | PA      | $4167.26      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 02/15/2041#750185                                       | CUSIP: 3620C6NA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3147 | PA      | $3038.67      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 02/01/2037#AS8773                                         | CUSIP: 3138WJXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103958 | PA      | $98099.64     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 11/42 #AQ0206                                               | CUSIP: 3138MFGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10134 | PA      | $9502.56      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 01/01/2032#                                               | CUSIP: 31287NDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        764 | PA      | $788.66       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #Q07351                                                | CUSIP: 3132GSQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3817 | PA      | $3697.32      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 07/01/2043#AB9858                                       | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217784 | PA      | $199522.25    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 07/01/2041#Q02345                                       | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1429 | PA      | $1445.32      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.05% 7/34 #801635                                            | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17577 | PA      | $17648.55     | 0.00%             | 2034-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.375% 10/31/2023                                            | CUSIP: 91282CDD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   58000000 | PA      | $55732109.52  | 1.62%             | 2023-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 12/01/2052 #TBA                                           | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -10400000 | PA      | $-9648232.88  | -0.28%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2006-104 GI -1ML+688 11/36                                         | CUSIP: 31396LMA5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      14670 | PA      | $1482.22      | 0.00%             | 2036-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 12/01/2047#Q53034                                       | CUSIP: 3132XVLQ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96097 | PA      | $89750.05     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 1/41 #A96413                                                | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16049 | PA      | $15537.36     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 1.125% 10/31/2026                                            | CUSIP: 91282CDG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47300000 | PA      | $42473921.88  | 1.23%             | 2026-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 03/01/2041#MA4286                                       | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2027294 | PA      | $1661900.49   | 0.05%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 09/01/2043#AS0407                                       | CUSIP: 3138W9NZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10706 | PA      | $9808.35      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 06/01/2044#AL7195                                       | CUSIP: 3138EP7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103975 | PA      | $95354.24     | 0.00%             | 2044-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                             | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      98844 | PA      | $99954.34     | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 10/40#AE3576                                              | CUSIP: 31419D6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18212 | PA      | $17608.07     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 07/01/2033#                                               | CUSIP: 3140JAUL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     222586 | PA      | $212626.10    | 0.01%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 6.50% 11/27 #256993                                          | CUSIP: 31371NNJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2246 | PA      | $2286.67      | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 11/42 #AQ0170                                               | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9806 | PA      | $9193.45      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2049#BO8254                                         | CUSIP: 3140K4E48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253458 | PA      | $227651.02    | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | 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        |      53852 | PA      | $49177.94     | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2045#AZ7335                                         | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69342 | PA      | $67215.53     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/1/42 #AQ7097                                         | CUSIP: 3138MN3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12024 | PA      | $11347.63     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 3.5% 05/15/2031                         | CUSIP: 3137AQ6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      28793 | PA      | $897.67       | 0.00%             | 2031-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/26 #572166                                               | CUSIP: 31386STX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $39.02        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AB7425                                       | CUSIP: 31417EHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8878 | PA      | $8142.21      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 7/27 #447756                                                | CUSIP: 36208DMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $95.05        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2043#Q17646                                       | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57902 | PA      | $54693.54     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 10/15/2041#775540                                         | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5876 | PA      | $5672.69      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6% 11/35 #AD0687                                                  | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33289 | PA      | $34565.12     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.592% 05/01/2044#AW2459                                      | CUSIP: 3138XRWV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        446 | PA      | $449.37       | 0.00%             | 2044-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H13 FA 1ML+50 4/61                                            | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     448161 | PA      | $443853.60    | 0.01%             | 2061-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 02/01/2037#G02671                                       | CUSIP: 3128M4JQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        471 | PA      | $467.24       | 0.00%             | 2037-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4% 09/01/2039#MA3773                                         | CUSIP: 31418DFP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21802 | PA      | $21255.93     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/32 #569840                                                | CUSIP: 36200RBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         80 | PA      | $83.47        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 7/27 #394197                                                | CUSIP: 31378B3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $50.47        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/27 #313711                                                | CUSIP: 31374GN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.49        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 02/01/2052#CB2842                                         | CUSIP: 3140QNEQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4748751 | PA      | $3916781.83   | 0.11%             | 2052-02-01      | Fixed         | 0.02%                 | 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        |       9156 | PA      | $8632.48      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045                 | CUSIP: 38380T6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     284879 | PA      | $263064.01    | 0.01%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 07/01/2042 #AB5652                                      | CUSIP: 31417CH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7023 | PA      | $6367.46      | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.224% 4/41#1B8179                                            | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6843 | PA      | $6891.22      | 0.00%             | 2041-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 01/01/2044#V80950                                       | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14007 | PA      | $13642.59     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 01/01/2049#CA2963                                       | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6342 | PA      | $6262.66      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/41 #AH6233                                                | CUSIP: 3138A74T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7552 | PA      | $7302.31      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2050#FM0076                                         | CUSIP: 3140X3CN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1157069 | PA      | $1038532.68   | 0.03%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 08/01/2045#AZ7222                                       | CUSIP: 3140E0AY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33650 | PA      | $32649.36     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 6/40 #733726                                                | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      99666 | PA      | $100559.70    | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2011-67 AI IO 4% 7/26                                              | CUSIP: 31397U4B2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      25411 | PA      | $735.54       | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 01/15/2043#AD2150                                       | CUSIP: 36180DL70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27567 | PA      | $26133.56     | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 9/42 #AA5658                                                | CUSIP: 36178DJB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4998 | PA      | $4704.73      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 11/39 #722701                                               | CUSIP: 3620A83J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6611 | PA      | $6547.85      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 9/35 #A37119                                                | CUSIP: 31297S4C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5670 | PA      | $5745.96      | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/32 #582029                                                | CUSIP: 36201FSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        102 | PA      | $106.73       | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     104562 | PA      | $97746.34     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 07/51#QC4163                                              | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107517 | PA      | $89083.49     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/28 #460857                                                | CUSIP: 36208T5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        135 | PA      | $138.93       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.869% 5/36 #995608                                           | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29026 | PA      | $29362.32     | 0.00%             | 2036-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                          | ISRAEL STATE OF 5.5% 12/04/2023                                        | CUSIP: 46513EGV8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      38000 | PA      | $38231.68     | 0.00%             | 2023-12-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2045#Q33623                                       | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7335 | PA      | $6910.59      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 07/01/2041#Q02067                                       | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7150 | PA      | $7297.08      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 06/01/2043#Q19744                                       | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12445 | PA      | $12128.46     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 03/01/2033#BK4845                                         | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61405 | PA      | $58580.31     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 7/32 #G01433                                                | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $96.18        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 4/32 #643105                                                | CUSIP: 31390DNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $98.30        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG 2012-14 CLASS JS 1ML+665 12/25/2030                    | CUSIP: 3136A4WY1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       9578 | PA      | $79.64        | 0.00%             | 2030-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/40 #719262                                                | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6855 | PA      | $6919.65      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 12/01/2032#                                               | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        253 | PA      | $262.41       | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3123 LO 0% 3/36                                                    | CUSIP: 31396JPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      13347 | PA      | $10793.84     | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/31 #597037                                                | CUSIP: 31387XHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         52 | PA      | $54.49        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2051#                                             | CUSIP: 3133AMTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2674499 | PA      | $2464623.60   | 0.07%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 03/01/2035#CA5428                                       | CUSIP: 3140QDA61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1740800 | PA      | $1623079.81   | 0.05%             | 2035-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 3/40 #711495                                                | CUSIP: 36297GNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91080 | PA      | $88046.87     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                            | FHR 2056 Z 6% 5/28                                                     | CUSIP: 3133TDZM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6181 | PA      | $6278.35      | 0.00%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                            | FHR 1686 FA 1ML+90 2/24                                                | CUSIP: 3133T4DV5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        331 | PA      | $331.21       | 0.00%             | 2024-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#CB3036                                         | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     611351 | PA      | $505580.82    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 11/01/2039#MA3831                                         | CUSIP: 31418DHH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66870 | PA      | $62014.88     | 0.00%             | 2039-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/44#Q28370                                         | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14838 | PA      | $14432.81     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 10/39 #717997                                               | CUSIP: 3620A3UW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2816 | PA      | $2838.76      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/29 #527286                                               | CUSIP: 31384LXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        243 | PA      | $253.42       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-81 PC 5.5% 9/35                                               | CUSIP: 31394FCS2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      12110 | PA      | $12424.04     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AU2287                                         | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6253 | PA      | $5877.62      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/28 #447984                                                | CUSIP: 36208DUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        131 | PA      | $134.77       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 2/35 #A47133                                                | CUSIP: 3128K74S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3153 | PA      | $3172.74      | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 6/40 #743475                                                | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2273 | PA      | $2294.88      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2046#BD9690                                       | CUSIP: 3140FHXU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54243 | PA      | $50901.74     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 05/50#FM3269                                              | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     217732 | PA      | $195902.39    | 0.01%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/32 #659161                                                | CUSIP: 31390XJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1760 | PA      | $1883.75      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-39 FD 1ML+100 3/32                                            | CUSIP: 31392DPW6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1072 | PA      | $1085.62      | 0.00%             | 2032-03-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/28 #458387                                                | CUSIP: 36208RF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         51 | PA      | $52.92        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H21 FA 1ML+60 10/61                                           | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2129212 | PA      | $2113456.87   | 0.06%             | 2061-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 11/01/2036#AS8355                                         | CUSIP: 3138WJH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136398 | PA      | $128924.81    | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/42#G60517                                            | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     163383 | PA      | $162704.55    | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 10/01/2031#G15963                                       | CUSIP: 3128MEZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      83722 | PA      | $79254.12     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3.5% 12/01/2052 #TBA                                         | CUSIP: 01F0326C3<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -6000000 | PA      | $-5497500.00  | -0.16%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 4.75% 02/15/2037                           | CUSIP: 912810PT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   55003200 | PA      | $61468224.42  | 1.79%             | 2037-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 7/35 #745092                                                | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15968 | PA      | $16804.95     | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#QD3433                                         | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1429334 | PA      | $1182491.59   | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AR3062                                         | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7812 | PA      | $7343.30      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 8/36 #888544                                                | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118030 | PA      | $123908.23    | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2047#BE3663                                       | CUSIP: 3140FPB99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246098 | PA      | $244522.93    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/40 #746823                                               | CUSIP: 3620C2VQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2658 | PA      | $2570.66      | 0.00%             | 2040-12-15      | 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        |       7980 | PA      | $8061.19      | 0.00%             | 2033-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96695                                                | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5023 | PA      | $4996.58      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/28 #416823                                                | CUSIP: 31379EAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $51.27        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 12/25/2036                         | CUSIP: 31396LZK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       9838 | PA      | $1343.87      | 0.00%             | 2036-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/01/2041#                                               | CUSIP: 3132GK4R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4727 | PA      | $4579.76      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 11/01/2051#RA6241                                         | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15463288 | PA      | $12773489.52  | 0.37%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 04/15/2045#AK8698                                       | CUSIP: 36183SUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20252 | PA      | $18726.28     | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 4/40 #A91937                                                | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16913 | PA      | $17238.40     | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 11/01/2051#CB2048                                       | CUSIP: 3140QMH23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1766450 | PA      | $1516830.80   | 0.04%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/31 #565049                                                | CUSIP: 36213UWJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        234 | PA      | $245.10       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.75% 02/15/2024                                             | CUSIP: 912828B66<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   74509000 | PA      | $72855831.56  | 2.12%             | 2024-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2121 MG 6% 2/29                                                    | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3131 | PA      | $3181.36      | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6% 01/01/2035#787546                                         | CUSIP: 31405E5F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     220778 | PA      | $230498.16    | 0.01%             | 2035-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 0.0% 07/01/2041#AI6050                                        | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25303 | PA      | $25600.53     | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/26 #358466                                                | CUSIP: 31376LFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $58.45        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 06/01/2050#RA2677                                         | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1497239 | PA      | $1244752.36   | 0.04%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2042#Q11868                                       | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3250 | PA      | $3150.38      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 09/01/2051#CB1549                                       | CUSIP: 3140QLWK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4460052 | PA      | $3843038.70   | 0.11%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2424 FM 1ML+100 3/32                                               | CUSIP: 31339WJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        580 | PA      | $586.90       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 06/20/2045#MA2893                                         | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     201784 | PA      | $197323.67    | 0.01%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2423 FA 1ML+100 3/32                                               | CUSIP: 31339WBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        654 | PA      | $659.98       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 5.50% 12/23 #995460                                          | CUSIP: 31416BZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $38.28        | 0.00%             | 2023-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/40 #AE6775                                               | CUSIP: 31419HQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40702 | PA      | $39371.35     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 3% 07/31/2024                                                | CUSIP: 91282CFA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   37100000 | PA      | $36223222.75  | 1.05%             | 2024-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 8/29 #477009                                                | CUSIP: 36209N3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         84 | PA      | $86.37        | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 12/41 #741817                                               | CUSIP: 3620AWDW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13232 | PA      | $12486.28     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/25 #250345                                                | CUSIP: 31371FBN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.08        | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2% 12/01/2052 #TBA                                           | CUSIP: 01F0206C8<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -121450000 | PA      | $-99885034.38 | -2.90%            | 2052-12-01      | Fixed         | 0.02%                 | 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        |      34115 | PA      | $33758.93     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2045#Q34164                                       | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     274610 | PA      | $258704.79    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2046#Q40046                                       | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106336 | PA      | $100077.44    | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2045#Q31974                                       | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23477 | PA      | $22131.78     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 07/20/2048#MA5330                                           | CUSIP: 36179T4P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     554097 | PA      | $534923.88    | 0.02%             | 2048-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 0.0% 09/01/2041#AI9813                                        | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18027 | PA      | $18209.81     | 0.00%             | 2041-09-01      | Variable      | 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        |      27430 | PA      | $27643.13     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 11/01/2040#A94862                                       | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3440 | PA      | $3426.12      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 02/01/2052#                                             | CUSIP: 31418EBU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36263258 | PA      | $33287252.02  | 0.97%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/36 #AH8017                                                | CUSIP: 3138A94B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3956 | PA      | $3829.89      | 0.00%             | 2036-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 01/01/2052#BV1314                                         | CUSIP: 3140MEN85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67582 | PA      | $59961.42     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/28 #462883                                                | CUSIP: 36208WFY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        131 | PA      | $134.66       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.25% 09/30/2025                                             | CUSIP: 91282CAM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     870000 | PA      | $782762.11    | 0.02%             | 2025-09-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 5/34 #A23334                                                | CUSIP: 31297AV35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1017 | PA      | $1025.95      | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AS6968                                         | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15295 | PA      | $14376.33     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 9/35 #255844                                                | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11177 | PA      | $11686.16     | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/28 #405455                                                | CUSIP: 31378QMC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3067 | PA      | $3200.86      | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR1812                                       | CUSIP: 3138NYAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14840 | PA      | $13609.19     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 5/42 #766751                                                | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8278 | PA      | $7803.46      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 05/01/2046#V82275                                         | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     363088 | PA      | $330454.85    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6.5% 3/31 #003053                                              | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        317 | PA      | $329.65       | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 09/01/2052#SD1572                                         | CUSIP: 3132DNW90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     494851 | PA      | $498616.95    | 0.01%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2135 JE 6% 3/29                                                    | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1540 | PA      | $1567.33      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 10/39 #710924                                               | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3727 | PA      | $3758.72      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2047#AS9417                                       | CUSIP: 3138WKPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13037 | PA      | $12885.87     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 06/01/2031#J34501                                       | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56326 | PA      | $53426.26     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/40 #AA4740                                               | CUSIP: 31416NHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4463 | PA      | $4315.09      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2043#Q22499                                       | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28665 | PA      | $27918.65     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.0% 03/01/2045#AY1124                                            | CUSIP: 3138YEHA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14906 | PA      | $14477.01     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 08/01/2038#K94337                                         | CUSIP: 3132LQV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      88639 | PA      | $86937.88     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2.5% 02/15/2045                            | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  141860700 | PA      | $109371274.49 | 3.18%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 1/32 #624486                                                | CUSIP: 31389FXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        249 | PA      | $263.59       | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 08/15/2042#AB2238                                       | CUSIP: 36178MPX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1462 | PA      | $1376.49      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2048#V83994                                         | CUSIP: 3132L9NK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54764 | PA      | $52773.54     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 04/01/2050#RA2457                                         | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     410593 | PA      | $369171.19    | 0.01%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2051#CB2166                                         | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6141736 | PA      | $5464561.88   | 0.16%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 06/01/2050#SD7518                                         | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     197411 | PA      | $177865.89    | 0.01%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2041#AL7018                                       | CUSIP: 3138EPYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68016 | PA      | $67302.75     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 12/01/2052 #TBA                                             | CUSIP: 21H0206C4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  108200000 | PA      | $91873453.14  | 2.67%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 12/27 #436017                                               | CUSIP: 36207MK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $43.83        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2015-70 JC 3% 10/45                                                | CUSIP: 3136AQCV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     162124 | PA      | $153520.61    | 0.00%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.50% 11/41 #005232                                            | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     151401 | PA      | $142883.10    | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #698480                                                | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1168 | PA      | $1156.59      | 0.00%             | 2039-08-15      | 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 4.0% 12/15/2028                         | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      22660 | PA      | $505.33       | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/01/2042#AO7372                                       | CUSIP: 3138LYFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6173 | PA      | $5798.59      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/42 #AK1110                                                | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7537 | PA      | $7280.17      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/28 #484261                                                | CUSIP: 36209W5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        139 | PA      | $145.01       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 07/01/2045#Q34979                                       | CUSIP: 3132QRQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8970 | PA      | $8182.98      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 12/40#V82128                                            | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      31510 | PA      | $29645.56     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2052#CB2890                                         | CUSIP: 3140QNF80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     101142 | PA      | $89737.27     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 1.875% 11/15/2051                          | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25104000 | PA      | $16508821.94  | 0.48%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 06/01/2046#BC1130                                         | CUSIP: 3140EVHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205284 | PA      | $199309.32    | 0.01%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 8/40 #004771                                             | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1331 | PA      | $1322.71      | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2027#                                             | CUSIP: 31283G6U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.63        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 2/39 #782562                                                | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        811 | PA      | $817.35       | 0.00%             | 2039-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2041#                                             | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2830 | PA      | $2818.16      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 10/20/2051#MA7650                                           | CUSIP: 36179WQB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2645772 | PA      | $2400811.83   | 0.07%             | 2051-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 07/01/46#BC1443                                           | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201071 | PA      | $196224.45    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 05/01/2048#Q55992                                         | CUSIP: 3132XYUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     344771 | PA      | $333320.08    | 0.01%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.344% 7/35 #834917                                           | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16857 | PA      | $17191.80     | 0.00%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 1994-42 FK 1MT10Y-50 4/24                                          | CUSIP: 31359HYF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       5773 | PA      | $5726.36      | 0.00%             | 2024-04-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/41 #AJ0165                                                | CUSIP: 3138ARFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5977 | PA      | $5775.65      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF 1ML+65 05/20/2061             | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      23927 | PA      | $23627.04     | 0.00%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 04/01/2033#                                               | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1624 | PA      | $1679.74      | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 11/01/2052#CB5139                                       | CUSIP: 3140QQV93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     950122 | PA      | $962862.26    | 0.03%             | 2052-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 08/01/2045#AZ4663                                       | CUSIP: 3138YWFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21765 | PA      | $21118.33     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/40 #719217                                                | CUSIP: 3620A5AS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6014 | PA      | $6067.06      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 07/01/2032#                                               | CUSIP: 31288AFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1029 | PA      | $1060.89      | 0.00%             | 2032-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19988                                       | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11679 | PA      | $11382.24     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/32 #593188                                                | CUSIP: 36201T6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        106 | PA      | $111.12       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 12/01/2051#RA6434                                       | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1357877 | PA      | $1165569.50   | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 3/41 #A97661                                                | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24486 | PA      | $24383.69     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 4/23 #343197                                                | CUSIP: 36203AGE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.06         | 0.00%             | 2023-04-15      | Fixed         | 0.07%                 | 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        |       2392 | PA      | $2315.80      | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 4.50% 6/25 #G18356                                           | CUSIP: 3128MMME0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        387 | PA      | $383.80       | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2003-118 S -1ML+81 12/33                                           | CUSIP: 31393UNH2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      20907 | PA      | $3232.20      | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2040#                                             | CUSIP: 312941SD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4973 | PA      | $4948.95      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/50#RA2141                                              | CUSIP: 3133KHLW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40366 | PA      | $38601.47     | 0.00%             | 2050-02-01      | 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        |       3148 | PA      | $3210.32      | 0.00%             | 2034-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 11/01/2052#SD1862                                         | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3750765 | PA      | $3791032.46   | 0.11%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 11/25 #415760                                               | CUSIP: 36206MZZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.54        | 0.00%             | 2025-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/29 #511373                                                | CUSIP: 31383SCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $150.43       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.0% 03/01/2045#AY9025                                            | CUSIP: 3138YPA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16165 | PA      | $15770.38     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3121 KO 0 3/36                                                     | CUSIP: 31396JG74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       4268 | PA      | $3499.63      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AK1385                                                | CUSIP: 3138E5RF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6026 | PA      | $5823.02      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2015-H13 HA 2.5% 08/64                                             | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       2523 | PA      | $2368.18      | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/28 #413578                                                | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         64 | PA      | $66.90        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2016-26 CG 3% 05/46                                                | CUSIP: 3136AR5M6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    5355679 | PA      | $5070416.11   | 0.15%             | 2046-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.75% 08/15/2032                                             | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   42591000 | PA      | $39449913.75  | 1.15%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2038#AB8124                                       | CUSIP: 31417FA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4284 | PA      | $4233.64      | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 9/41 #772063                                                | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19666 | PA      | $18995.53     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2% 08/15/2025                                                | CUSIP: 912828K74<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9742600 | PA      | $9209801.56   | 0.27%             | 2025-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 06/01/2045#Q34467                                       | CUSIP: 3132QQ6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15939 | PA      | $15554.48     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/39 #704665                                                | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4731 | PA      | $4768.76      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2026#                                             | CUSIP: 31292GQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $25.51        | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 06/01/2039#AL7550                                       | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79727 | PA      | $80325.16     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 7/28 #475895                                                | CUSIP: 36209MUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        242 | PA      | $252.62       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/41 #AB3872                                               | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103278 | PA      | $99829.75     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2047#BH3647                                       | CUSIP: 3140GSBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2553 | PA      | $2541.17      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/32 #648070                                                | CUSIP: 31390J6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        202 | PA      | $214.82       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H010 FA 1ML+33 5/60                                           | CUSIP: 38375BBV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      76364 | PA      | $75411.42     | 0.00%             | 2060-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 04/01/2049#BN6036                                         | CUSIP: 3140JNV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53515 | PA      | $51321.73     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4% 04/20/2048#BG3507                                           | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21675 | PA      | $20938.04     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/26 #313264                                                | CUSIP: 31374F5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.19        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 5/32 #552576                                                | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        207 | PA      | $216.66       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 3/41 #783267                                                | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46626 | PA      | $45065.66     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 1/31 #781247                                                | CUSIP: 36225BL48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37 | PA      | $39.02        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 10/01/2031#AS8226                                       | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19213 | PA      | $18171.65     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 12/26 #323242                                               | CUSIP: 31374TBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $46.36        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 10/24 #255532                                               | CUSIP: 31371LY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        311 | PA      | $311.79       | 0.00%             | 2024-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 06/01/2035#310165                                       | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38713 | PA      | $39063.00     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3.5% 05/38#MA3360                                            | CUSIP: 31418CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21566 | PA      | $20634.99     | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745138                                                | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9011 | PA      | $8923.87      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.03% 1/37 #1A1202                                            | CUSIP: 3128NFKP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4946 | PA      | $4924.16      | 0.00%             | 2037-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.12% 7/35 #1L0109                                            | CUSIP: 3128Q2DN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     224555 | PA      | $229352.44    | 0.01%             | 2035-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 08/01/2033#CA2266                                       | CUSIP: 3140Q9QU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16825 | PA      | $15787.13     | 0.00%             | 2033-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AT2645                                         | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6630 | PA      | $6216.52      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 02/01/2035#FM2518                                       | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     170267 | PA      | $158805.96    | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/41 #552552                                               | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5150 | PA      | $4974.56      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/46#G60551                                              | CUSIP: 31335ATG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     444090 | PA      | $433086.66    | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/36 #A51069                                                | CUSIP: 3128KDFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        278 | PA      | $281.76       | 0.00%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 07/01/2045#AZ4344                                       | CUSIP: 3138YVZJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16270 | PA      | $15796.25     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 08/01/2040#V81886                                       | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49880 | PA      | $46991.46     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 02/01/2035#QN1578                                       | CUSIP: 3133G7XF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     275502 | PA      | $256871.69    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 06/01/2041#Q01604                                       | CUSIP: 3132GEX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4047 | PA      | $4130.61      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 5.0% 12/25/2023                         | CUSIP: 31393UQG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      36910 | PA      | $37099.74     | 0.00%             | 2023-12-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GINNIE MAE II POOL II 3.5% 12/20/2049#BR8984                           | CUSIP: 3617M76V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9672 | PA      | $9027.75      | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.25% 12/31/2024                                             | CUSIP: 9128283P3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6135200 | PA      | $5882841.98   | 0.17%             | 2024-12-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.625% 06/30/2023                                            | CUSIP: 9128284U1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5027400 | PA      | $4970252.59   | 0.14%             | 2023-06-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2412 FK 1ML+80 1/32                                                | CUSIP: 31339DTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        420 | PA      | $422.31       | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/28 #437762                                                | CUSIP: 31380EJF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $9.74         | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 4.50% 6/24 #AA6863                                           | CUSIP: 31416QTV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        334 | PA      | $331.46       | 0.00%             | 2024-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/01/2034#FM0046                                         | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335343 | PA      | $319290.31    | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 06/45#AZ3341                                              | CUSIP: 3138YUWB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30110 | PA      | $29271.08     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3244 SG -1ML+666 11/36                                             | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      30659 | PA      | $3687.49      | 0.00%             | 2036-11-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 3/41 #004977                                             | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22006 | PA      | $21307.89     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/01/2045#AS6352                                         | CUSIP: 3138WGBW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40380 | PA      | $39217.47     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 02/01/2052#FS0605                                       | CUSIP: 3140XFU74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12238694 | PA      | $10520705.29  | 0.31%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/41 #Q02763                                                | CUSIP: 3132GGB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4054 | PA      | $4070.04      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 9/39 #A88585                                                | CUSIP: 312935RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18016 | PA      | $17893.71     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | WI 2022-K150 A2 3.71% 11/32                                            | CUSIP: 3137H8U41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2200000 | PA      | $2073094.10   | 0.06%             | 2032-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.283 6/1/41                                                  | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17855 | PA      | $18083.54     | 0.00%             | 2041-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 12/01/2051#RA6496                                       | CUSIP: 3133KNGD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4783530 | PA      | $4106069.48   | 0.12%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/51#MA4468                                            | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1337951 | PA      | $1231180.85   | 0.04%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #404971                                               | CUSIP: 31378P2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.92        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 8/41 #005139                                             | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2451 | PA      | $2372.66      | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 04/01/2041#                                             | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8257 | PA      | $8223.28      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/01/2045#Q33769                                       | CUSIP: 3132QQFK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40163 | PA      | $40092.13     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/30 #546336                                                | CUSIP: 31385J4V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         86 | PA      | $86.82        | 0.00%             | 2030-06-01      | 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        |      17633 | PA      | $17034.32     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2526 FC 1ML+40 11/32                                               | CUSIP: 31393FGG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7255 | PA      | $7225.74      | 0.00%             | 2032-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 11/01/2052#CB5128                                         | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6598405 | PA      | $6663058.51   | 0.19%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 6.54% 02/01/2039#                                            | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35830 | PA      | $36685.83     | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2042#AJ7531                                       | CUSIP: 3138E0LM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21062 | PA      | $19781.80     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 02/01/2049#MA3593                                       | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17476 | PA      | $17245.31     | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 8/42 #AO9892                                                | CUSIP: 3138M17E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20681 | PA      | $19413.00     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #738885                                               | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12729 | PA      | $12297.48     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-17 PG 6% 4/29                                                 | CUSIP: 31359VSD6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6111 | PA      | $6193.94      | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 4.889% 3/33 #847126                                           | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1576 | PA      | $1571.01      | 0.00%             | 2033-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 07/01/2033#ZS8703                                       | CUSIP: 3132A9U47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155291 | PA      | $145711.56    | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 9/41 #Q03090                                                | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40353 | PA      | $40509.87     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 11/01/2036#MA2804                                         | CUSIP: 31418CDJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23347 | PA      | $22067.53     | 0.00%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.44% 2/37 #888171                                            | CUSIP: 31410FW84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36944 | PA      | $37124.34     | 0.00%             | 2037-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21845                                       | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16344 | PA      | $15918.57     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 3/29 #323688                                                | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $156.08       | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 06/01/2051#FM7507                                       | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3307551 | PA      | $2856178.90   | 0.08%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/25 #250329                                                | CUSIP: 31371FA69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $3.52         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 3/26 #339830                                                | CUSIP: 31375NPP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        484 | PA      | $494.21       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2041#AJ7242                                       | CUSIP: 3138E0BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37406 | PA      | $37516.98     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV2.75% MAC 12/21/27                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    9014000 | NC      | $-74352.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2047#Q49393                                       | CUSIP: 3132WPNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94260 | PA      | $93713.93     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/41 #783501                                                | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72131 | PA      | $72742.02     | 0.00%             | 2041-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 12/01/2032#J38057                                         | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13511 | PA      | $12900.40     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 8/35 #830779                                                | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        589 | PA      | $629.46       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 05/47#BM1277                                              | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201867 | PA      | $195612.90    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2048#Q54192                                         | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14548 | PA      | $14069.59     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2048#Q54900                                       | CUSIP: 3132XXNS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     111452 | PA      | $104021.57    | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AR3124                                         | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10015 | PA      | $9413.79      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 5.00% 7/23 #909204                                           | CUSIP: 31411JDH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $115.47       | 0.00%             | 2023-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2046#BM4548                                       | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190130 | PA      | $189073.54    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 07/01/2042#AB5542                                       | CUSIP: 31417CEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25442 | PA      | $23093.61     | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ISRAEL, STATE OF                                          | ISRAEL STATE OF 5.5% 04/26/2024                                        | CUSIP: 46513EJX1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    4828000 | PA      | $4877055.81   | 0.14%             | 2024-04-26      | Fixed         | 0.06%                 | 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        |      12719 | PA      | $12588.62     | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-74 FV 1ML+45 11/32                                            | CUSIP: 31392FRJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      33312 | PA      | $33271.16     | 0.00%             | 2032-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 351 12 5.5% 4/34                                                   | CUSIP: 3136FCJB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       2376 | PA      | $411.19       | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 5/31 #520104                                                | CUSIP: 36211QX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        164 | PA      | $171.61       | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 05/01/2034#C91764                                       | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81008 | PA      | $78340.37     | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 01/01/2048#CA0983                                       | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7293 | PA      | $7219.08      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/01/2045#BC0997                                         | CUSIP: 3140EVDB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8631 | PA      | $8366.03      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2047#AX5831                                         | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12301 | PA      | $11862.35     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2.875% 05/15/2049                          | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4458100 | PA      | $3694476.24   | 0.11%             | 2049-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 6/28 #466842                                                | CUSIP: 36209BS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $31.41        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 04/01/2044#AV7161                                       | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15005 | PA      | $14591.96     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/39 #692706                                                | CUSIP: 36296JR31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7703 | PA      | $7620.17      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3832 PE 5% 3/41                                                    | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      92564 | PA      | $93028.08     | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 3/28 #251570                                                | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $139.28       | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #C03856                                                | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102667 | PA      | $99332.13     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 12/01/2040#MA4204                                         | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18783 | PA      | $16114.05     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 10/01/2051#RA6010                                       | CUSIP: 3133KMVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4515848 | PA      | $4179822.12   | 0.12%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 11/01/2049#QA4483                                         | CUSIP: 31339U6U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     246186 | PA      | $221118.85    | 0.01%             | 2049-11-01      | Fixed         | 0.03%                 | 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        |      66263 | PA      | $66179.90     | 0.00%             | 2036-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP5129                                                | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21554 | PA      | $20213.97     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 8/28 #464767                                                | CUSIP: 36208YJL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         48 | PA      | $49.62        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 05/01/2045#G61807                                         | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87673 | PA      | $84846.81     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 02/35#BO9279                                            | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126712 | PA      | $118182.43    | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 12/23 #780657                                               | CUSIP: 36225AWS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        175 | PA      | $175.95       | 0.00%             | 2023-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 7/32 #545759                                                | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39433 | PA      | $41307.02     | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#QD3432                                         | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1250247 | PA      | $1031597.97   | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 4/1/43 #AB8881                                            | CUSIP: 31417F2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26474 | PA      | $24279.36     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2947 XZ 6% 3/35                                                    | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      41052 | PA      | $42507.65     | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 8/30 #567034                                                | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3154 | PA      | $3282.50      | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2.5% 05/01/2041#SC0167                                       | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11319606 | PA      | $10043692.11  | 0.29%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 10/39 #AC0435                                               | CUSIP: 31417JPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4319 | PA      | $4294.07      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 12/01/2032#SB0030                                         | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     136630 | PA      | $130986.30    | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3119 PO 0 2/36                                                     | CUSIP: 31396HSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      24125 | PA      | $19380.85     | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 11/01/2032#ZS8675                                       | CUSIP: 3132A9T80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14728 | PA      | $13874.63     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.65% 7/37 #942609                                            | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4377 | PA      | $4450.93      | 0.00%             | 2037-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AL2537                                                | CUSIP: 3138EJZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41216 | PA      | $38657.35     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 11/01/2032#BJ3109                                       | CUSIP: 3140H4N34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11932 | PA      | $11218.12     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 07/01/2045#Q34759                                       | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26180 | PA      | $23884.56     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2043#AT3998                                       | CUSIP: 3138WRNQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2127 | PA      | $2007.69      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H17 FA 1ML+53 6/61                                            | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     619889 | PA      | $614733.43    | 0.02%             | 2061-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 10/39 #G08368                                               | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33048 | PA      | $32874.28     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 05/01/2043#Q18481                                       | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18052 | PA      | $17593.84     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 10/01/2031#AS8010                                       | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62097 | PA      | $58732.41     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.29% 3/36 #1G1852                                            | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3211 | PA      | $3191.46      | 0.00%             | 2036-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 2/44 #AG9361                                                | CUSIP: 36182EMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15830 | PA      | $14996.76     | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4.5% 08/01/2039#FM1353                                       | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79064 | PA      | $78705.76     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043            | CUSIP: 3136AA4A0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     356771 | PA      | $324899.29    | 0.01%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/29 #252805                                               | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $50.55        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6.5% 11/31 #003161                                             | CUSIP: 36202DQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        239 | PA      | $248.96       | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 10/01/2031#MA2775                                       | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15817 | PA      | $14959.62     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/40 #737311                                                | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7285 | PA      | $7353.02      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.25% 05/15/2024                                             | CUSIP: 91282CCC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4258000 | PA      | $3999027.12   | 0.12%             | 2024-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/41 #Q00753                                                | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7295 | PA      | $7265.69      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2045#Q30829                                       | CUSIP: 3132QL4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11588 | PA      | $11586.11     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 05/15/2043#AD0745                                       | CUSIP: 36180BZJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4751 | PA      | $4401.76      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2% 01/01/2053 #TBA                                           | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   70100000 | PA      | $57713112.69  | 1.68%             | 2053-01-01      | Fixed         | 0.02%                 | 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        |        904 | PA      | $950.98       | 0.00%             | 2034-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/31 #622547                                                | CUSIP: 31389DTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        610 | PA      | $644.06       | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 9/41 #Q03358                                                | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16405 | PA      | $15875.51     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 7/41 #AL0913                                                | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39562 | PA      | $41583.06     | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-75 FA 1ML+100 11/32                                           | CUSIP: 31392FMU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      21108 | PA      | $21351.86     | 0.00%             | 2032-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 11/01/2051#RA6302                                         | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1959611 | PA      | $1616904.97   | 0.05%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/28 #251822                                                | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $135.64       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q20358                                       | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7252 | PA      | $7068.24      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/51#BQ1010                                              | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156496 | PA      | $129420.36    | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | 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        |       8432 | PA      | $8339.44      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.75% 05/31/2029                                             | CUSIP: 91282CES6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18900000 | PA      | $17774859.38  | 0.52%             | 2029-05-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2015-H13 FL 1ML+28 05/63                                           | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      30812 | PA      | $30115.70     | 0.00%             | 2063-05-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2003-21 SK -1ML+810 3/33                                           | CUSIP: 31392JY37<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1313 | PA      | $165.00       | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2045#Q33347                                       | CUSIP: 3132QPWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11329 | PA      | $10672.53     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 6/24 #389975                                                | CUSIP: 36205GFQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         34 | PA      | $34.05        | 0.00%             | 2024-06-15      | Fixed         | 0.07%                 | 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        |         57 | PA      | $58.51        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 1/27 #256630                                                | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        738 | PA      | $751.70       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 03/01/2043#AR9089                                       | CUSIP: 3138W7C36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42216 | PA      | $38715.99     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2040#V81750                                       | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      82010 | PA      | $77311.23     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 02/01/2041#                                               | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20112 | PA      | $17254.88     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/28 #251410                                                | CUSIP: 31371GGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         75 | PA      | $77.99        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2050#CA6009                                       | CUSIP: 3140QDVB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69710 | PA      | $64310.41     | 0.00%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/28 #456151                                                | CUSIP: 36208NWL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         89 | PA      | $90.79        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.5% 02/28/2026                                              | CUSIP: 9128286F2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   68418300 | PA      | $65200501.83  | 1.90%             | 2026-02-28      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 02/34#G30703                                            | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     753481 | PA      | $729136.94    | 0.02%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2047#CA0324                                       | CUSIP: 3140Q7LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39629 | PA      | $39251.53     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 09/47#MA4720                                                | CUSIP: 36179TG58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10355 | PA      | $10022.47     | 0.00%             | 2047-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE7376                                         | CUSIP: 31419JFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7028 | PA      | $6793.20      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 01/01/2048#BJ6169                                         | CUSIP: 3140H72B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3548 | PA      | $3417.15      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2046#Q40085                                       | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92214 | PA      | $86844.44     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 6/41 #Q01208                                                | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5138 | PA      | $5112.13      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 01/01/2052#FS0288                                         | CUSIP: 3140XFKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2024933 | PA      | $1670802.67   | 0.05%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6.5% 08/01/2032#                                             | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1321 | PA      | $1384.95      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/40 #739706                                                | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4192 | PA      | $4232.51      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3.5% 12/01/2052 #TBA                                         | CUSIP: 01F0326C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   45875000 | PA      | $42032968.75  | 1.22%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE7679                                         | CUSIP: 31419JQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23026 | PA      | $22250.53     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 7/39 #931506                                                | CUSIP: 31412P3P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7558 | PA      | $7509.03      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.898% 5/35 #995272                                           | CUSIP: 31416BT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2844 | PA      | $2856.64      | 0.00%             | 2035-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 07/01/2047#BE8819                                         | CUSIP: 3140FUYR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191004 | PA      | $184847.83    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 10/01/2033#                                               | CUSIP: 31296PYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2378 | PA      | $2399.44      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 10/40 #A94662                                               | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8367 | PA      | $8332.07      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA 5.25% 9/15/39                                                      | CUSIP: 880591EH1<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    2235000 | PA      | $2341923.34   | 0.07%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2017-74 SH 1ML+620 10/25/2047           | CUSIP: 3136AX5D3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     651370 | PA      | $76812.27     | 0.00%             | 2047-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 5/40 #741269                                                | CUSIP: 3620AVQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1408 | PA      | $1394.51      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/28 #413862                                                | CUSIP: 31379AWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        313 | PA      | $323.72       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H05 FA 1ML+50 12/60                                           | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     534032 | PA      | $529375.61    | 0.02%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2048#G67716                                       | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204971 | PA      | $204296.81    | 0.01%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 6.00% 11/31 #003160                                            | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1432 | PA      | $1479.73      | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-63 FN 1ML+100 10/32                                           | CUSIP: 31392ED23<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       1494 | PA      | $1511.36      | 0.00%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2008-83 FB 1ML+90 9/38                                             | CUSIP: 38375YFB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     476084 | PA      | $481695.09    | 0.01%             | 2038-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2051#CB2446                                       | CUSIP: 3140QMWG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     142561 | PA      | $131094.95    | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2010-150 ZC 4.75% 01/41                                            | CUSIP: 31397QAV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     148344 | PA      | $147388.64    | 0.00%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                         | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       9297 | PA      | $329.84       | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 05/20/2046#AT1323                                         | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11103 | PA      | $10436.48     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 5/40 #004696                                             | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6087 | PA      | $6049.48      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/27 #398576                                                | CUSIP: 31378GXD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.54         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.875% 04/30/2029                                            | CUSIP: 91282CEM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7778200 | PA      | $7371059.84   | 0.21%             | 2029-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.375% 10/31/2024                                            | CUSIP: 91282CFQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   35300000 | PA      | $35291726.39  | 1.03%             | 2024-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2052#                                             | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     176428 | PA      | $161944.77    | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1ML+60 08/20/2063                         | CUSIP: 38375B5Q1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     559965 | PA      | $558241.45    | 0.02%             | 2063-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AB7273                                       | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10088 | PA      | $9251.13      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 10/01/2045#Q37045                                         | CUSIP: 3132QTZK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13677 | PA      | $13282.25     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AR0530                                       | CUSIP: 3138NWSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9698 | PA      | $8893.60      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2049#CA4860                                         | CUSIP: 3140QCMJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     827366 | PA      | $743123.33    | 0.02%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 8/36 #AE0746                                                | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      94814 | PA      | $99449.86     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2043#Q20707                                       | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12387 | PA      | $12072.79     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/42#AP5393                                            | CUSIP: 3138M87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14622 | PA      | $13729.66     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 4/41 #734392                                                | CUSIP: 3620AM2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8178 | PA      | $8262.48      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2048#CA2631                                         | CUSIP: 3140Q94R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70658 | PA      | $67000.87     | 0.00%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 1/40 #AD0732                                                | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18085 | PA      | $19024.07     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/40 #682568                                               | CUSIP: 36295WJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25292 | PA      | $24449.64     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13654                                       | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7527 | PA      | $7340.61      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 01/01/2032#                                               | CUSIP: 31287NUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        498 | PA      | $514.01       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/1/42 #AL3046                                         | CUSIP: 3138EKL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49121 | PA      | $44592.34     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                         | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      22873 | PA      | $23091.37     | 0.00%             | 2033-10-15      | 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        |      21690 | PA      | $20966.63     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 3.375% 08/15/2042                          | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   16300000 | PA      | $14911953.13  | 0.43%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 12/01/2052 #TBA                                           | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   58200000 | PA      | $51063318.12  | 1.48%             | 2052-12-01      | Fixed         | 0.03%                 | 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        |      11144 | PA      | $11038.32     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 4/32 #C01343                                                | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        340 | PA      | $356.02       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.252% 08/01/2041#                                           | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63354 | PA      | $63741.70     | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 12/27 #449782                                               | CUSIP: 36208FUF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.29        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.893% 10/35 #847787                                          | CUSIP: 31408C2U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5924 | PA      | $5911.67      | 0.00%             | 2035-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2587 AD 4.71 3/33                                                  | CUSIP: 31393N5L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     515492 | PA      | $517812.47    | 0.02%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 1.5% 03/01/2041#RB5104                                       | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2022387 | PA      | $1657877.24   | 0.05%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 15YR 3% 12/01/2037 #TBA                                           | CUSIP: 01F0304C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   38000000 | PA      | $35761564.40  | 1.04%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 09/01/2052#CB4682                                         | CUSIP: 3140QQFY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1685001 | PA      | $1697825.37   | 0.05%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5.5% 02/15/2035                         | CUSIP: 31395MRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      84916 | PA      | $87517.33     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 09/01/2043#AL5059                                       | CUSIP: 3138EMTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83965 | PA      | $77002.88     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 1/36 #745154                                                | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        986 | PA      | $1030.04      | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 10/25 #409616                                               | CUSIP: 36206FAR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $66.70        | 0.00%             | 2025-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 07/01/2031#V61246                                       | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      84490 | PA      | $80139.66     | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2012-H07 FA 1ML+63 3/20/62                                         | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     895255 | PA      | $887021.21    | 0.03%             | 2062-03-20      | Variable      | 0.04%                 | 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        |     404531 | PA      | $415061.13    | 0.01%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                         | CUSIP: 31394EWW4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      81235 | PA      | $82464.67     | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H18 AF 1ML+30 9/60                                            | CUSIP: 38375BER9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1277145 | PA      | $1260735.48   | 0.04%             | 2060-09-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 04/15/2043#AA6309                                       | CUSIP: 36178EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20734 | PA      | $19649.41     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 11/39 #678648                                               | CUSIP: 36295R5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13149 | PA      | $13022.53     | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 2/28 #251500                                                | CUSIP: 31371GKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.69        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 1/28 #313947                                                | CUSIP: 31374GWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.93        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 06/47#BH4269                                              | CUSIP: 3140GSW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10758 | PA      | $10417.83     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2048#BJ9357                                         | CUSIP: 3140HBMF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30699 | PA      | $29546.63     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 01/01/2035#FM2286                                         | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605351 | PA      | $576372.34    | 0.02%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 7/40 #A93142                                                | CUSIP: 312941P35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9917 | PA      | $9866.09      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.0% 08/45#AS5634                                                 | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35434 | PA      | $32296.37     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #722204                                                | CUSIP: 3620A8KR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7417 | PA      | $7340.62      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/31 #468613                                                | CUSIP: 36209DSA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        163 | PA      | $171.38       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 02/01/2033#ZS8686                                         | CUSIP: 3132A9UK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49524 | PA      | $47246.07     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.417% 12/01/2040#848392                                      | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37004 | PA      | $37040.31     | 0.00%             | 2040-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/32 #578193                                                | CUSIP: 36201BKE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        796 | PA      | $821.10       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2051#SD8184                                         | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     543470 | PA      | $482529.58    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2010-139 NI 4.5% 2/40                                              | CUSIP: 31398SVQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     345504 | PA      | $9562.75      | 0.00%             | 2040-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 12/01/2052 #TBA                                           | CUSIP: 21H0326C9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16300000 | PA      | $15121749.61  | 0.44%             | 2052-12-01      | 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        |       5181 | PA      | $864.56       | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.0% 8/45#AZ5626                                                  | CUSIP: 3138YXHC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41605 | PA      | $40368.12     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2% 08/15/2051                              | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   96662000 | PA      | $65692401.89  | 1.91%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2357 ZB 6.5% 9/31                                                  | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      36394 | PA      | $37373.23     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 05/01/2051#SD7540                                       | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     884753 | PA      | $764566.10    | 0.02%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 2101 PD 6% 11/28                                                   | CUSIP: 3133TGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3669 | PA      | $3728.79      | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/41 #AE6390                                                | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111191 | PA      | $107509.89    | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 01/01/2043#Q15247                                       | CUSIP: 3132J6HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13040 | PA      | $11970.29     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2044#Q30263                                       | CUSIP: 3132QLJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7850 | PA      | $7853.37      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/48#G61343                                              | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     160619 | PA      | $155384.43    | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 4/41 #Q00114                                                | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8435 | PA      | $8390.55      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2041#Q01212                                       | CUSIP: 3132GEKZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2672 | PA      | $2661.13      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/40 #AE9416                                               | CUSIP: 31419LPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2208 | PA      | $2133.33      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE9771                                         | CUSIP: 31419L2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17777 | PA      | $17182.06     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2046#BC2555                                         | CUSIP: 3140EWZV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25613 | PA      | $24827.69     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 6.50% 7/27 #256821                                           | CUSIP: 31371NG66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6888 | PA      | $6993.86      | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 3/28 #456712                                                | CUSIP: 36208PKZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1895 | PA      | $1966.13      | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.5% 12/01/2052 #TBA                                           | CUSIP: 21H0426C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7400000 | PA      | $7248819.48   | 0.21%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 6/40 #G05898                                                | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11219 | PA      | $11432.88     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 11/31 #C01258                                               | CUSIP: 31292HMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        703 | PA      | $726.46       | 0.00%             | 2031-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2043#Q15107                                       | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7015 | PA      | $6841.47      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 08/01/2034#C91782                                       | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133864 | PA      | $129246.37    | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 12/37 #A69706                                               | CUSIP: 3128L1YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9308 | PA      | $9812.37      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 07/01/2046#AL9515                                       | CUSIP: 3138ERSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     172629 | PA      | $162211.06    | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 01/01/2039#K94441                                         | CUSIP: 3132LQZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19684 | PA      | $19269.29     | 0.00%             | 2039-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2045#Q33724                                       | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20978 | PA      | $19802.61     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2011-68 EC 3.5% 4/20/41                                            | CUSIP: 38377VW93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      58036 | PA      | $56213.16     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 07/15/2045#AN5744                                       | CUSIP: 36186NLZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14151 | PA      | $13672.77     | 0.00%             | 2045-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 6/40 #A92350                                                | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7502 | PA      | $7644.82      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/31 #604620                                                | CUSIP: 31388GVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $53.19        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4% 01/15/2041                           | CUSIP: 3137ADSL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   13332057 | PA      | $12956767.15  | 0.38%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/01/2047#AS9990                                       | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33108 | PA      | $32813.35     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 06/15/2043#AC2222                                       | CUSIP: 36179BPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4620 | PA      | $4280.42      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.228% 7/41#AI3469                                            | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39190 | PA      | $39770.99     | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/39 #720064                                                | CUSIP: 3620A55Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8432 | PA      | $8339.51      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 9/26 #G30299                                           | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1528 | PA      | $1556.61      | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 06/15/2043#AE4598                                       | CUSIP: 36180XDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5615 | PA      | $5321.03      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2042#AQ3314                                       | CUSIP: 3138MJVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16089 | PA      | $16137.33     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2047#AX5857                                         | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14023 | PA      | $13523.45     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 03/01/2052#CB3174                                       | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6280988 | PA      | $5775833.68   | 0.17%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/41 #AH4471                                                | CUSIP: 3138A56H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5416 | PA      | $5236.34      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2047#AL9776                                       | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     581397 | PA      | $545583.74    | 0.02%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR0739                                       | CUSIP: 3138NWZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15233 | PA      | $13970.33     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/27 #448957                                                | CUSIP: 36208EWS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $34.39        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 02/15/2045#777576                                       | CUSIP: 36176VT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24701 | PA      | $22840.93     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/40#V81744                                            | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40130 | PA      | $37830.93     | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 10/01/2045#AL7413                                       | CUSIP: 3138EQGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18393 | PA      | $17932.36     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13121                                       | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27043 | PA      | $26372.63     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 7/28 #475908                                                | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        121 | PA      | $124.38       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.5% 09/15/2039#713871                                       | CUSIP: 36297KCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6412 | PA      | $6346.81      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 3/41 #738106                                                | CUSIP: 3620ASAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4590 | PA      | $4637.93      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 7/40 #004923                                             | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24428 | PA      | $24281.17     | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19606                                       | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10304 | PA      | $10041.88     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 07/01/2050#RA2976                                       | CUSIP: 3133KJJV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1778648 | PA      | $1532585.58   | 0.04%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 08/01/2033#727029                                       | CUSIP: 31402EVW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        767 | PA      | $757.04       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 11/39 #935695                                               | CUSIP: 31412U7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4747 | PA      | $4721.39      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 08/01/2045#AZ2035                                       | CUSIP: 3138YTHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16437 | PA      | $15948.24     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 3/36 #888342                                                | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11350 | PA      | $11786.31     | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 11/01/2042#AQ2171                                       | CUSIP: 3138MHMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12824 | PA      | $11760.87     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2013-133 IB 3% 04/32                                               | CUSIP: 3136AHQ94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      27333 | PA      | $897.42       | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 02/01/2052#                                             | CUSIP: 3133B3Q42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     147987 | PA      | $136085.11    | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 06/15/2045#AN5671                                       | CUSIP: 36186NJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4130 | PA      | $3990.33      | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 09/01/2033#                                               | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7792 | PA      | $8066.27      | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3366 FD 1ML+25 5/37                                                | CUSIP: 31397KMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      25726 | PA      | $25587.32     | 0.00%             | 2037-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/29 #520559                                               | CUSIP: 31384DJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        335 | PA      | $355.30       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/41 #778681                                               | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10912 | PA      | $10535.64     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 12/01/2051#CB2348                                         | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3837766 | PA      | $3174993.49   | 0.09%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 12/35 #AD0723                                               | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     139373 | PA      | $146131.85    | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2047#Q48759                                       | CUSIP: 3132WNWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182885 | PA      | $181883.51    | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 03/01/2043#AT0162                                       | CUSIP: 3138WMFC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7274 | PA      | $6376.79      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE7382                                         | CUSIP: 31419JFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8153 | PA      | $7895.92      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 01/01/43#AQ1113                                           | CUSIP: 3138MGGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30295 | PA      | $27783.38     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 6/41 #005082                                             | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     141274 | PA      | $140431.24    | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19690                                       | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21825 | PA      | $21270.77     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.543% 01/44#AV5544                                           | CUSIP: 3138XHES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58613 | PA      | $58685.28     | 0.00%             | 2044-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 6.50% 5/27 #256738                                           | CUSIP: 31371NEK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22815 | PA      | $23157.41     | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 12/01/2051#FM9865                                       | CUSIP: 3140XD6B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25781040 | PA      | $22178177.92  | 0.64%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 11/01/2032#C73584                                         | CUSIP: 31288B6V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5787 | PA      | $5980.56      | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/46#AS7008                                              | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10688 | PA      | $10045.75     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 6.50% 2/27 #256628                                           | CUSIP: 31371NA54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12295 | PA      | $12454.35     | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/31 #474767                                                | CUSIP: 36209LMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         87 | PA      | $91.27        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 9/33 #C01622                                                | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3435 | PA      | $3462.98      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 12/23 #780738                                               | CUSIP: 36225AZB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $40.64        | 0.00%             | 2023-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/26 #339193                                                | CUSIP: 31375MXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.68        | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.5% 11/30/2024                                              | CUSIP: 91282CFX4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   77700000 | PA      | $77930671.88  | 2.27%             | 2024-11-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 2006-62 KP PO 0% 4/36                                              | CUSIP: 31395N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       9862 | PA      | $8070.52      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 8/27 #451362                                                | CUSIP: 36208HMK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.84        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 05/01/2040#                                               | CUSIP: 312940LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2430 | PA      | $2471.42      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5.0% 04/15/2041                         | CUSIP: 3137A9MV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3086818 | PA      | $3134855.80   | 0.09%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 12/01/2052 #TBA                                             | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57050000 | PA      | $51455425.98  | 1.50%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 09/01/2031#BD6126                                       | CUSIP: 3140FDYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140786 | PA      | $133157.09    | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                         | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      85476 | PA      | $83548.15     | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2040#V81771                                       | CUSIP: 3132L66G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12957 | PA      | $12214.77     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2044#Q24546                                       | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10232 | PA      | $9965.45      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT0648                                          | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      77833 | PA      | $73451.67     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047                           | CUSIP: 38380UVE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     278730 | PA      | $260939.74    | 0.01%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2048#MA3307                                       | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31085 | PA      | $30769.17     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 01/01/2035#FM2349                                         | CUSIP: 3140X5TF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1652663 | PA      | $1571483.23   | 0.05%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 1996-28 PK 6.5% 7/25                                               | CUSIP: 31359KKK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        551 | PA      | $549.83       | 0.00%             | 2025-07-25      | 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        |       7674 | PA      | $7411.26      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 05/01/2047#AS9602                                       | CUSIP: 3138WKU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13605 | PA      | $13488.32     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 4/26 #303856                                                | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        425 | PA      | $432.15       | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 10/01/2051#CB1801                                         | CUSIP: 3140QMAB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2078226 | PA      | $1719971.09   | 0.05%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2046#BC8334                                         | CUSIP: 3140F4HL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15524 | PA      | $15072.15     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 9/41 #G06719                                                | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28918 | PA      | $28799.39     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2043#AQ7316                                       | CUSIP: 3138MPDW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34824 | PA      | $30528.90     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 04/15/2043#AA6286                                       | CUSIP: 36178D6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6548 | PA      | $6067.44      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 12/20/2039#004592                                       | CUSIP: 36202FC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17045 | PA      | $16800.60     | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 08/01/2037#AB8009                                       | CUSIP: 31417E3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2303 | PA      | $2271.21      | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.0% 12/20/2042#AA5872                                         | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      66561 | PA      | $60567.69     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/32 #582105                                                | CUSIP: 36201FU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        205 | PA      | $215.88       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 11/20/2044#MA2372                                         | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     451154 | PA      | $441182.46    | 0.01%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #711174                                                | CUSIP: 36297GCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4580 | PA      | $4533.03      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/25 #319563                                                | CUSIP: 31374N5Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.43        | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21835                                       | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20031 | PA      | $19509.64     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/25 #414186                                                | CUSIP: 36206LCX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        112 | PA      | $113.64       | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 10/01/2050#CA7323                                         | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     640736 | PA      | $533687.10    | 0.02%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.0% 04/01/2045#AX9641                                            | CUSIP: 3138YBWB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9100 | PA      | $8849.73      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 05/20/2050#MA6657                                         | CUSIP: 36179VME7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     114087 | PA      | $107066.64    | 0.00%             | 2050-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2040#C03486                                       | CUSIP: 31292K2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4323 | PA      | $4304.37      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2043#Q22677                                       | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13637 | PA      | $13282.24     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 07/01/2043#AU1335                                       | CUSIP: 3138X0PV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7808 | PA      | $7368.13      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 12/41 #552554                                               | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22690 | PA      | $21913.04     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 04/01/2042#MA1028                                       | CUSIP: 31418AEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5333 | PA      | $5151.79      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H14 FC 1ML+50 5/61                                            | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     536536 | PA      | $531523.74    | 0.02%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE8185                                         | CUSIP: 31419KCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7787 | PA      | $7522.87      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 11/01/2034#CA4460                                         | CUSIP: 3140QB5W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7952120 | PA      | $7568963.09   | 0.22%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/35 #735744                                                | CUSIP: 31402RLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        525 | PA      | $548.13       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/01/2047#BJ4340                                         | CUSIP: 3140H5ZE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31438 | PA      | $30267.12     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 02/01/2047#Q46222                                       | CUSIP: 3132WK4G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      53597 | PA      | $53319.93     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 4/41 #AH8876                                                | CUSIP: 3138AA2J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1293 | PA      | $1285.07      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 1/41 #AB2079                                                | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     126447 | PA      | $122256.95    | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 7/32 #545762                                                | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7906 | PA      | $8278.43      | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2010-135 LS -1ML+605 12/40                                         | CUSIP: 31398SD91<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      35271 | PA      | $3007.15      | 0.00%             | 2040-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2043#Q15893                                       | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11099 | PA      | $10823.63     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2043#AR2887                                       | CUSIP: 3138W0F53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9564 | PA      | $8384.26      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 7/27 #451321                                                | CUSIP: 36208HLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         20 | PA      | $20.04        | 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 1ML+70 11/61                                           | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2076885 | PA      | $2063869.30   | 0.06%             | 2061-11-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/40 #AE4645                                               | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8322 | PA      | $8050.55      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 02/15/2043#AD1736                                       | CUSIP: 36180C4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     113551 | PA      | $107647.36    | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 08/01/2032#J37406                                         | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13279 | PA      | $12708.35     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 5/23 #352193                                                | CUSIP: 36203LGA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.92         | 0.00%             | 2023-05-15      | Fixed         | 0.07%                 | 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        |   13108913 | PA      | $11198949.86  | 0.33%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 02/15/2043#AD2180                                       | CUSIP: 36180DM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4755 | PA      | $4507.90      | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.66% 4/36 #868559                                            | CUSIP: 31409D5U3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19262 | PA      | $19336.65     | 0.00%             | 2036-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 4/36 #A79236                                                | CUSIP: 3128LDHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20198 | PA      | $20450.20     | 0.00%             | 2036-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2042#Q06232                                       | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55562 | PA      | $53740.99     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2042#Q12215                                       | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2012 | PA      | $1944.12      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 05/20/2046#AS9183                                         | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5395 | PA      | $5071.15      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.21% 3/36 #1G1851                                            | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5516 | PA      | $5469.23      | 0.00%             | 2036-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.00% 6/36 #782394                                                | CUSIP: 36241KUT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1494851 | PA      | $1557252.08   | 0.05%             | 2036-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.125% 08/15/2023                                            | CUSIP: 91282CAF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4413000 | PA      | $4271473.72   | 0.12%             | 2023-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/01/2045#BA3906                                       | CUSIP: 3140E8KU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10351 | PA      | $9810.24      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 04/01/2043#AT2008                                       | CUSIP: 3138WPGS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55110 | PA      | $48312.96     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2004-73 AL -1ML+720 8/34                                           | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       7385 | PA      | $893.69       | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/40 #AE4113                                               | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36350 | PA      | $35169.41     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 02/01/2043#Q15062                                       | CUSIP: 3132J6B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11619 | PA      | $10665.16     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 6/41 #Q01393                                                | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7986 | PA      | $7948.01      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 02/01/2051#                                             | CUSIP: 3140QHK87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4526630 | PA      | $4177070.85   | 0.12%             | 2051-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK9701                                                | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9366 | PA      | $9045.72      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2046#Q39975                                         | CUSIP: 3132QXCM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13269 | PA      | $12895.05     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 10/01/2041#AL4242                                       | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41438 | PA      | $42188.89     | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/41 #AJ4047                                               | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     166991 | PA      | $161396.07    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 07/01/2041#Q02189                                       | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2533 | PA      | $2558.56      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 04/01/2045#Q32823                                       | CUSIP: 3132QPD50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10576 | PA      | $10280.79     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 12/01/2051#CB2320                                       | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6010598 | PA      | $5170626.03   | 0.15%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 09/01/2035#                                               | CUSIP: 31297TTR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $304.57       | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 12/24 #436781                                               | CUSIP: 31380DFW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.07        | 0.00%             | 2024-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1.65% 01/20/2063                          | CUSIP: 38375BE73<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |         68 | PA      | $59.59        | 0.00%             | 2063-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2933 ZM 5.75% 02/15/2035                                           | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     104071 | PA      | $107270.98    | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H14 FB 1ML+50 5/61                                            | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     725156 | PA      | $718664.14    | 0.02%             | 2061-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 02/01/2050#SD7512                                         | CUSIP: 3132DVKZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     727513 | PA      | $655710.85    | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR1910                                       | CUSIP: 3138NYDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21859 | PA      | $20046.76     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2043#AQ9947                                       | CUSIP: 3138MSBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10305 | PA      | $9725.08      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 02/01/2041#                                             | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5033 | PA      | $5012.92      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/47#Q47942                                            | CUSIP: 3132WMZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45325 | PA      | $45090.85     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/2041#G06800                                       | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12272 | PA      | $11876.89     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA 1ML+605 01/25/2044          | CUSIP: 3136AHTW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      21691 | PA      | $2363.41      | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 10/41 #Q04113                                               | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16789 | PA      | $16237.74     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/29 #357040                                                | CUSIP: 31376JS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $156.58       | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/40 #AH0851                                               | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2236 | PA      | $2160.31      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 3% 02/15/2049                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   95773600 | PA      | $81254172.83  | 2.36%             | 2049-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/26 #250736                                               | CUSIP: 31371FPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.62        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 02/01/2029#                                               | CUSIP: 31293JRN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         47 | PA      | $47.65        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #726956                                                | CUSIP: 31402ETM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2610 | PA      | $2581.90      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.280% 3/35 #843014                                           | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33324 | PA      | $33271.74     | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.81% 1/36 #1J1262                                            | CUSIP: 3128NHMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7521 | PA      | $7416.39      | 0.00%             | 2036-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2047#Q45635                                       | CUSIP: 3132WKHM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14815 | PA      | $14742.87     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.16% 9/35 #850124                                            | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        617 | PA      | $621.20       | 0.00%             | 2035-09-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 04/01/2031#                                               | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $465.82       | 0.00%             | 2031-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 07/01/2050#CA6416                                         | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6299833 | PA      | $5662320.40   | 0.16%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/01/2033#720240                                       | CUSIP: 31401WEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        415 | PA      | $409.54       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/41 #AJ5385                                               | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46423 | PA      | $44862.68     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2006-12 BO 0% 10/35                                                | CUSIP: 31394VS43<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      16859 | PA      | $14474.05     | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.61% 3/35 #1L0297                                            | CUSIP: 3128Q2KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15465 | PA      | $15754.45     | 0.00%             | 2035-03-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/44#Q28495                                         | CUSIP: 3132M9C85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9069 | PA      | $8821.85      | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 2011-83 DI 6% 9/26                                                 | CUSIP: 3136A0U39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         32 | PA      | $0.33         | 0.00%             | 2026-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.293% 3/35 #815586                                           | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13359 | PA      | $13566.85     | 0.00%             | 2035-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/28 #409486                                                | CUSIP: 31378U2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $104.33       | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2.5% 01/01/2053 #TBA                                         | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   26400000 | PA      | $22581282.24  | 0.66%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 4/23 #352217                                                | CUSIP: 36203LG22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.85         | 0.00%             | 2023-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 10/40 #004834                                            | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5216 | PA      | $5184.90      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 1.625% 09/30/2026                                            | CUSIP: 912828YG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1028000 | PA      | $943792.35    | 0.03%             | 2026-09-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 02/01/2045#Q31307                                       | CUSIP: 3132QMNZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5640 | PA      | $5317.19      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 04/01/2051#MA4305                                         | CUSIP: 31418DYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6208096 | PA      | $5126274.06   | 0.15%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 03/01/2045#AX9831                                       | CUSIP: 3138YB4R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12449 | PA      | $11358.35     | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 3/1/43#AR6743                                           | CUSIP: 3138W4P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34128 | PA      | $32207.00     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 5.5% 12/01/2052 #TBA                                         | CUSIP: 01F0526C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   21000000 | PA      | $21239530.20  | 0.62%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 08/01/2051#RA5746                                       | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5591378 | PA      | $5180562.91   | 0.15%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 6/42 #AB5423                                                | CUSIP: 31417CAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87303 | PA      | $81946.30     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 1/41 #AE9338                                                | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4524 | PA      | $4375.25      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 05/43 #MA1012                                             | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     368750 | PA      | $350409.34    | 0.01%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 04/15/2043#666342                                       | CUSIP: 36295CHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7262 | PA      | $6729.09      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 12/33 #G03583                                               | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3684 | PA      | $3953.49      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 1/36 #839064                                                | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        412 | PA      | $431.38       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/31 #530585                                                | CUSIP: 36212DNA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         50 | PA      | $50.94        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.47% 3/40 #AD0820                                            | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152544 | PA      | $153514.44    | 0.00%             | 2040-03-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2.5% 04/01/2037#BM1257                                       | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     903720 | PA      | $836592.13    | 0.02%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 6/23 #353125                                                | CUSIP: 36203MHA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $8.74         | 0.00%             | 2023-06-15      | 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        |       1175 | PA      | $1136.26      | 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        |     215840 | PA      | $199142.23    | 0.01%             | 2047-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2045#Q32328                                       | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43304 | PA      | $40822.99     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/32 #565867                                                | CUSIP: 36213VTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        243 | PA      | $255.64       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 09/01/2040#AE3951                                       | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5001 | PA      | $4833.24      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 09/15/2042#AB2330                                       | CUSIP: 36178MST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2712 | PA      | $2552.85      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/01/2045#AY1700                                         | CUSIP: 3138YE3J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8491 | PA      | $8249.29      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 10/01/2042#AB6493                                       | CUSIP: 31417DGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16347 | PA      | $14824.20     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 6/33 #003401                                             | CUSIP: 36202DX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1186 | PA      | $1171.62      | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1ML+60 08/20/2063                         | CUSIP: 38375B5N8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     226020 | PA      | $224711.36    | 0.01%             | 2063-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2047#CA1780                                       | CUSIP: 3140Q86S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7112 | PA      | $7050.87      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 01/01/2043#AQ9328                                       | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68153 | PA      | $64316.98     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 4/42 #MA0023                                             | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69357 | PA      | $67112.58     | 0.00%             | 2042-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.5% 02/43 #Q15871                                                | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24936 | PA      | $23554.01     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 2/27 #356391                                                | CUSIP: 31376H2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $123.24       | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 03/20/44#MA1760                                           | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5431 | PA      | $5160.42      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 12/15/2046#AX5803                                         | CUSIP: 36196HNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2655 | PA      | $2563.09      | 0.00%             | 2046-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.50% 8/29 #781078                                                | CUSIP: 36225BFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         74 | PA      | $76.36        | 0.00%             | 2029-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/40 #733919                                                | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2321 | PA      | $2343.97      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2050#FM3897                                         | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295055 | PA      | $245298.78    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 2/42 #757489                                                | CUSIP: 36230SKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16556 | PA      | $15602.59     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/01/2041#                                               | CUSIP: 3132GEVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6817 | PA      | $6596.72      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 05/01/2041#MA4333                                         | CUSIP: 31418DY71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11904672 | PA      | $10172424.47  | 0.30%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2039#AB0050                                       | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49109 | PA      | $48557.22     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 2/42 #757488                                                | CUSIP: 36230SJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17596 | PA      | $16568.75     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 06/01/2038#K94293                                         | CUSIP: 3132LQUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15279 | PA      | $14986.16     | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2802 ZG 5.5% 5/15/34                                               | CUSIP: 31394YRN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2099681 | PA      | $2164236.82   | 0.06%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2043#AT2721                                       | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135183 | PA      | $123847.42    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 9/33 #734922                                                | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1942 | PA      | $1920.39      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2045#Q34458                                       | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      59962 | PA      | $58514.10     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FNR 2010-39 FG 1ML+92 3/36                                             | CUSIP: 31398PU56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1219372 | PA      | $1233602.68   | 0.04%             | 2036-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 10/27 #460697                                               | CUSIP: 36208TX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        257 | PA      | $265.20       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 5.47% 8/59 #725598                                             | CUSIP: 3620ACDB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1155 | PA      | $1074.06      | 0.00%             | 2059-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.48% 6/47 #939994                                            | CUSIP: 31413AXX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14943 | PA      | $15118.56     | 0.00%             | 2047-06-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 9/40 #004801                                             | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53708 | PA      | $53384.59     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/26 #256384                                                | CUSIP: 31371MXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        143 | PA      | $144.95       | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2040#A90709                                       | CUSIP: 312938YE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6181 | PA      | $6146.11      | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 05/01/2033#G18687                                       | CUSIP: 3128MMXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12095 | PA      | $11381.13     | 0.00%             | 2033-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2006-72 CY 6% 8/26                                                 | CUSIP: 31396KHM7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     422602 | PA      | $433878.78    | 0.01%             | 2026-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2043#AB9238                                       | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8120 | PA      | $7439.42      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 12/01/2051#CB2346                                         | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4684735 | PA      | $3881549.22   | 0.11%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/35 #824358                                                | CUSIP: 31406YZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        357 | PA      | $372.85       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/39 #713471                                                | CUSIP: 36297JT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7792 | PA      | $7708.51      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AB7280                                       | CUSIP: 31417ECS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22701 | PA      | $20818.69     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2035#                                               | CUSIP: 3128LXFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5753 | PA      | $5827.45      | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 07/01/2043#AL3931                                       | CUSIP: 3138ELLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3571 | PA      | $3476.96      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042            | CUSIP: 3136AA2T1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     383317 | PA      | $346791.63    | 0.01%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.752% 10/33 #755148                                          | CUSIP: 31403Q5H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22708 | PA      | $22579.96     | 0.00%             | 2033-10-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 01/01/2053 #TBA                                           | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   38925000 | PA      | $34180774.29  | 0.99%             | 2053-01-01      | Fixed         | 0.03%                 | 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        |    3880822 | PA      | $3511950.70   | 0.10%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/01/2032#BM5345                                         | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     237471 | PA      | $227439.37    | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 10/37 #995073                                               | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17413 | PA      | $18253.11     | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 7.00% 12/26 #C91019                                          | CUSIP: 3128P7DY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        992 | PA      | $1009.65      | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2802 OB 6% 5/34                                                    | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      22922 | PA      | $23370.39     | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/47#AL9779                                              | CUSIP: 3138ER2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33525 | PA      | $32622.81     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 01/45#Q31029                                              | CUSIP: 3132QMEB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143855 | PA      | $139841.32    | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 11/31#G05173                                            | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2230 | PA      | $2201.98      | 0.00%             | 2031-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/01/2048#BM3532                                         | CUSIP: 3140J74S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61813 | PA      | $59511.86     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT3073                                          | CUSIP: 3138WQMX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12943 | PA      | $12214.85     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2046#AS7822                                       | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89678 | PA      | $84265.91     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 03/01/2043#Q16131                                       | CUSIP: 3132J7HH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3455 | PA      | $3369.30      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #772072                                               | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7166 | PA      | $6918.59      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 12/01/2051#CB2376                                       | CUSIP: 3140QMUA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4779641 | PA      | $4108705.69   | 0.12%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 06/01/2051#                                             | CUSIP: 3140XBR69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20647 | PA      | $19026.67     | 0.00%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H18 PL 5.01% 9/60                                             | CUSIP: 38375BEV0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      59001 | PA      | $58597.56     | 0.00%             | 2060-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 5/27 #447102                                                | CUSIP: 36208CU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         58 | PA      | $60.24        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 4/39 #930854                                                | CUSIP: 31412PE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        984 | PA      | $977.34       | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 6/27 #780580                                                | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        258 | PA      | $265.91       | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2007-66 SB -1ML+3960 7/37                                          | CUSIP: 31396WYZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       2405 | PA      | $2845.62      | 0.00%             | 2037-07-25      | Variable      | 0.16%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2052#                                             | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5807872 | PA      | $5351658.24   | 0.16%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.5% 10/01/2052#CB4843                                       | CUSIP: 3140QQLZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7424454 | PA      | $7521687.81   | 0.22%             | 2052-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.50% 1/42 #005279                                             | CUSIP: 36202F2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3251 | PA      | $3068.24      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 5% 9/33 #003442                                                | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      48799 | PA      | $49067.42     | 0.00%             | 2033-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FNR 2010-118 PB 4.5% 10/40                                             | CUSIP: 31398NUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1820733 | PA      | $1804175.72   | 0.05%             | 2040-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.75% 08/31/2026                                             | CUSIP: 91282CCW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   30000000 | PA      | $26643750.00  | 0.77%             | 2026-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 4/27 #780545                                                | CUSIP: 36225ATA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        156 | PA      | $160.41       | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 10/01/2046#BC4754                                         | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131189 | PA      | $127944.57    | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 02/15/2042#778869                                       | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5947 | PA      | $5743.49      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 11/01/2050#CA7616                                         | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     428606 | PA      | $354721.12    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.4% 09/01/2042#AP9959                                       | CUSIP: 3138MEB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10081 | PA      | $9354.55      | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 01/01/2035#CA5039                                         | CUSIP: 3140QCS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227159 | PA      | $216071.42    | 0.01%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 3/32 #254240                                                | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1380 | PA      | $1465.78      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 10/01/2032#                                               | CUSIP: 31283HTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        485 | PA      | $501.62       | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 01/01/2046#G08687                                       | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44844 | PA      | $42190.20     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 03/01/2048#ZS4758                                         | CUSIP: 3132A5JB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7830 | PA      | $7061.12      | 0.00%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 10/01/2051#CB1799                                         | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1575382 | PA      | $1306271.28   | 0.04%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2044#AL5512                                       | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49658 | PA      | $49666.36     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2051#MA4281                                         | CUSIP: 31418DXK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4422320 | PA      | $3653069.11   | 0.11%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 12/01/2044#AY0510                                       | CUSIP: 3138YDR84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13554 | PA      | $13164.18     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR3691                                       | CUSIP: 3138W1C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10143 | PA      | $9302.11      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 02/01/2041#MA4266                                       | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1986315 | PA      | $1628307.20   | 0.05%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 5/27 #250912                                                | CUSIP: 31371FVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $16.32        | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3002 NE 5% 7/35                                                    | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      24421 | PA      | $24539.35     | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2045#AS4972                                       | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16937 | PA      | $15453.47     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2682 FB 1ML+90 10/33                                               | CUSIP: 31394KHG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     665377 | PA      | $671282.71    | 0.02%             | 2033-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2047#AS9422                                       | CUSIP: 3138WKPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11120 | PA      | $11031.76     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 1/37 #G02667                                                | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1527 | PA      | $1546.20      | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 2YR NOTE (CBT) FUT MAR23 TUH3                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       1625 | NC      | $817587.15    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 12/29 #524241                                               | CUSIP: 31384HLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $45.14        | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/27 #313644                                                | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        341 | PA      | $350.45       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #727160                                                | CUSIP: 31402EZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        938 | PA      | $926.73       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2011-H07 FA 1ML+50 3/61                                            | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     474649 | PA      | $470091.14    | 0.01%             | 2061-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 9/35 #A47784                                                | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5989 | PA      | $6382.13      | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745088                                                | CUSIP: 3620C0XR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7621 | PA      | $7544.46      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/44#Q27794                                         | CUSIP: 3132M8KF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6328 | PA      | $6155.18      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 1/42 #757487                                                | CUSIP: 36230SJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21458 | PA      | $20201.63     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/40 #737454                                                | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5033 | PA      | $5079.66      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/25 #410104                                                | CUSIP: 36206FRZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $2.28         | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 4.00% 4/34 #781481                                            | CUSIP: 31349SUE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8537 | PA      | $8654.90      | 0.00%             | 2034-04-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.691% 02/01/2042#AK2344                                      | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      89236 | PA      | $89759.18     | 0.00%             | 2042-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2047#G61047                                       | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99341 | PA      | $98908.87     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD    | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                               | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     206468 | PA      | $202131.04    | 0.01%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2043#AS0076                                       | CUSIP: 3138W9CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13656 | PA      | $12895.58     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/29 #323961                                               | CUSIP: 31374TZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        153 | PA      | $158.96       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% #BM4385 08/48                                           | CUSIP: 3140J82T9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219093 | PA      | $217904.00    | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #713740                                                | CUSIP: 36297J4Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13067 | PA      | $12939.65     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2051#CB3005                                         | CUSIP: 3140QNKT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50378 | PA      | $44728.74     | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 3/30 #G02183                                                | CUSIP: 3128LXM80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $146.19       | 0.00%             | 2030-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/41 #AI2509                                                | CUSIP: 3138AFYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2044 | PA      | $1976.90      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.0% 01/20/2043#MA0698                                         | CUSIP: 36179MX39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     359999 | PA      | $331758.61    | 0.01%             | 2043-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2012-H06 FA 1ML+63 1/62                                            | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1850094 | PA      | $1836165.69   | 0.05%             | 2062-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21258                                       | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21007 | PA      | $20473.13     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3% 12/01/2052 #TBA                                           | CUSIP: 01F0306C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   66500000 | PA      | $58868087.60  | 1.71%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8% 07/01/2024#                                               | CUSIP: 31292GL87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $15.75        | 0.00%             | 2024-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 12/26 #256571                                               | CUSIP: 31371M6G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        691 | PA      | $699.57       | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2041#                                             | CUSIP: 312944YF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4983 | PA      | $4962.73      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/40 #733989                                               | CUSIP: 3620AMNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2660 | PA      | $2570.97      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 3/42 #794582                                                | CUSIP: 36177PCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5989 | PA      | $5654.58      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 7/42 #AA8273                                                | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5935 | PA      | $5591.32      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 05/15/2042#779220                                       | CUSIP: 36176XPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8462 | PA      | $7781.33      | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2011-94 SA 1ML+610 07/41                                           | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      24330 | PA      | $2443.27      | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/25 #303450                                                | CUSIP: 31373UBT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $131.21       | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 07/01/2035#                                               | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7501 | PA      | $7593.07      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 1/39 #701582                                                | CUSIP: 36296UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4234 | PA      | $4380.08      | 0.00%             | 2039-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.50% 4/42 #C03811                                                | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     433438 | PA      | $407621.25    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2.875% 05/15/2052                          | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4085300 | PA      | $3395905.63   | 0.10%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/40 #AE9065                                               | CUSIP: 31419LCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3878 | PA      | $3749.19      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2% 12/01/2036#BU1384                                         | CUSIP: 3140M2RE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     400999 | PA      | $361090.94    | 0.01%             | 2036-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 10/01/2043#BM1167                                         | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48299 | PA      | $46654.43     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 01/01/2040#MA3890                                         | CUSIP: 31418DKC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9084 | PA      | $8395.71      | 0.00%             | 2040-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/29 #479545                                                | CUSIP: 31382DWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $40.52        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2996 ZD 5.5% 06/35                                                 | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      70568 | PA      | $72578.23     | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 12/01/2032#ZS8678                                       | CUSIP: 3132A9UB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6692 | PA      | $6304.14      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 6.50% 12/27 #257025                                          | CUSIP: 31371NPJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        979 | PA      | $997.46       | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/40 #741372                                                | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3390 | PA      | $3358.20      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 5/36 #745550                                                | CUSIP: 31403DH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        379 | PA      | $396.63       | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 05/51#SD7541                                              | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6688024 | PA      | $5560189.94   | 0.16%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 4/28 #251615                                                | CUSIP: 31371GN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         97 | PA      | $101.22       | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2711 FC 1ML+90 2/33                                                | CUSIP: 31394LYV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     462521 | PA      | $466758.37    | 0.01%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/47#BH0885                                            | CUSIP: 3140GN6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3547 | PA      | $3518.92      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 11/31 #554171                                               | CUSIP: 36213GT43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193 | PA      | $203.01       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.78% 10/35 #1N0063                                           | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15219 | PA      | $15659.17     | 0.00%             | 2035-10-01      | Variable      | 0.05%                 | 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        |      11769 | PA      | $11378.13     | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2008-73 FA 1ML+86 8/38                                             | CUSIP: 38375XJZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     653300 | PA      | $659999.31    | 0.02%             | 2038-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/26 #349356                                                | CUSIP: 31376ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $111.26       | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 12/01/2033#C91737                                       | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      72080 | PA      | $69706.60     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 01/01/2037#MA2866                                         | CUSIP: 31418CFG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201652 | PA      | $190603.72    | 0.01%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 04/01/2051#                                             | CUSIP: 3140QKGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1214576 | PA      | $1120023.90   | 0.03%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.20% 12/35 #1A0053                                           | CUSIP: 3128NEBW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $84.32        | 0.00%             | 2035-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2770 FH 1ML+40 3/34                                                | CUSIP: 31394TZB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     167007 | PA      | $166126.82    | 0.00%             | 2034-03-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/41 #AL1193                                               | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54910 | PA      | $53069.34     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 3/42 #Q06886                                                | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12669 | PA      | $12258.88     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                  | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      27239 | PA      | $1734.79      | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96731                                                | CUSIP: 312945PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23703 | PA      | $23603.89     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 12/01/2044#AW9502                                       | CUSIP: 3138XZRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12024 | PA      | $11684.99     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNMA 2017-H06 FA 12ML+35 08/66                                         | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7811370 | PA      | $7770535.35   | 0.23%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE8603                                         | CUSIP: 31419KRZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11179 | PA      | $10804.18     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                  | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50147 | PA      | $48374.68     | 0.00%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 7/35 #787578                                                | CUSIP: 31405E6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1408 | PA      | $1471.18      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 06/01/2041#MA4364                                         | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21707 | PA      | $18548.47     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/28 #331338                                                | CUSIP: 31375DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        119 | PA      | $123.17       | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2044#Q24973                                       | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6059 | PA      | $5901.02      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/40#AE7364                                              | CUSIP: 31419JFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9552 | PA      | $9238.57      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 03/01/2043#Q16470                                       | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10334 | PA      | $9486.07      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 08/01/2043#AU2854                                         | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11603 | PA      | $11297.72     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 0.0% 01/01/2042#AJ8357                                        | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     153626 | PA      | $154654.51    | 0.00%             | 2042-01-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 06/01/2031#                                               | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $188.52       | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19764                                       | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7543 | PA      | $7351.79      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 04/51#MA7311                                                | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165512 | PA      | $141293.77    | 0.00%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 08/01/2032#MA3090                                         | CUSIP: 31418CNG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     381611 | PA      | $364535.25    | 0.01%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2006-37 OW 0% 5/36                                                 | CUSIP: 31395DMG1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       2325 | PA      | $1831.61      | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 6/41 #748112                                                | CUSIP: 3620C4DR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1237 | PA      | $1195.40      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 05/01/2044#AW2449                                             | CUSIP: 3138XRWK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39351 | PA      | $39617.92     | 0.00%             | 2044-05-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/34 #725703                                                | CUSIP: 31402DGL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     226365 | PA      | $235251.18    | 0.01%             | 2034-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3007 EW 5.5 7/25                                                   | CUSIP: 31395WEK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     559108 | PA      | $571266.38    | 0.02%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1ML+30 03/01/2061                         | CUSIP: 38375UVP2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      17293 | PA      | $17087.18     | 0.00%             | 2065-03-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 07/01/2043#Q19597                                       | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26685 | PA      | $26006.77     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV2.5% MAC 12/21/32                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    5956000 | NC      | $-72388.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AQ1181                                               | CUSIP: 3138MGJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13712 | PA      | $12854.87     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 08/01/2043#AS0205                                       | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30638 | PA      | $28068.55     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 10/01/2044#AS3651                                       | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162614 | PA      | $162121.92    | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.0% 8/45#Q35375                                                  | CUSIP: 3132QR6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8415 | PA      | $7676.81      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2044#AX6333                                       | CUSIP: 3138Y8BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2392 | PA      | $2391.51      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/32 #569328                                                | CUSIP: 36200QPM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $96.81        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.375% 04/30/2025                                            | CUSIP: 912828ZL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  236870000 | PA      | $216236401.16 | 6.29%             | 2025-04-30      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2046#BC0286                                         | CUSIP: 3140EUJ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     287175 | PA      | $278996.61    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY                                | TVA 5.375% 4/01/56                                                     | CUSIP: 880591DZ2<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGSE             | US        |    2737000 | PA      | $2927735.23   | 0.09%             | 2056-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 2/40 #678654                                                | CUSIP: 36295R5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13163 | PA      | $12721.76     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 08/20/2043#MA1225                                         | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25931 | PA      | $25398.81     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/29 #494945                                                | CUSIP: 31382WZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        781 | PA      | $819.36       | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 12/38 #970918                                               | CUSIP: 31414NDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6363 | PA      | $6682.72      | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.562% 02/44#AL5596                                           | CUSIP: 3138ENGE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25454 | PA      | $25401.51     | 0.00%             | 2044-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 10/01/44#Q28991                                         | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19718 | PA      | $19180.44     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 09/01/2046#AS7844                                         | CUSIP: 3138WHWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     370846 | PA      | $336736.48    | 0.01%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 12M+1.75 9/1/41 #1B8787                                       | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     288937 | PA      | $289981.42    | 0.01%             | 2041-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 03/01/2052#CB3038                                         | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546217 | PA      | $450521.50    | 0.01%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/29 #505740                                                | CUSIP: 31383KZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        279 | PA      | $290.26       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 04/01/2041#                                               | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20881 | PA      | $17843.01     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.50% 7/30 #781205                                                | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         59 | PA      | $62.45        | 0.00%             | 2030-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 3/41 #004978                                             | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5773 | PA      | $5738.88      | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 05/01/2043#Q18363                                       | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4171 | PA      | $4064.60      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.49% 8/37 #1A1800                                            | CUSIP: 3128NF7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2361 | PA      | $2320.86      | 0.00%             | 2037-08-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 5.5% 07/25/2034                         | CUSIP: 31394AEQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     166694 | PA      | $168047.16    | 0.00%             | 2034-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 09/42#G07184                                              | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85908 | PA      | $83094.19     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 10/32 #G01766                                               | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3086 | PA      | $3241.80      | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 01/01/2033#ZS8682                                         | CUSIP: 3132A9UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      77230 | PA      | $73677.49     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2010-31 BP 5% 3/20/40                                              | CUSIP: 38376XL68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4478289 | PA      | $4501272.81   | 0.13%             | 2040-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/47#Q52377                                              | CUSIP: 3132XUUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144611 | PA      | $139446.32    | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 12/23 #765384                                               | CUSIP: 31404DJ58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        526 | PA      | $527.05       | 0.00%             | 2023-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 11/34 #A45143                                               | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2265 | PA      | $2418.49      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/01/2040#AE9804                                         | CUSIP: 31419L3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42822 | PA      | $41389.47     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.5% 03/31/2027                                              | CUSIP: 91282CEF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   46600000 | PA      | $44006054.80  | 1.28%             | 2027-03-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 12/01/2051#CB2321                                       | CUSIP: 3140QMSK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5431353 | PA      | $4662145.62   | 0.14%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2218 ZB 6% 3/30                                                    | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       4324 | PA      | $4392.96      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1ML+ 01/20/2064                           | CUSIP: 38375UEJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    2461337 | PA      | $2443439.22   | 0.07%             | 2064-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 1.125% 08/31/2028                                            | CUSIP: 91282CCV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  437936000 | PA      | $377634266.72 | 10.98%            | 2028-08-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 08/01/2045#AZ8288                                       | CUSIP: 3140E1F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34520 | PA      | $31463.68     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 9/39 #710869                                                | CUSIP: 36297FW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12474 | PA      | $12921.92     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/28 #660494                                                | CUSIP: 31390YXX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         85 | PA      | $87.86        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4.5% 01/01/2053 #TBA                                         | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   32550000 | PA      | $31685406.90  | 0.92%             | 2053-01-01      | Fixed         | 0.04%                 | 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        |      14787 | PA      | $14860.11     | 0.00%             | 2036-11-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG2012-9 SH 1ML+655 06/25/2041                            | CUSIP: 3136A3M81<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       7532 | PA      | $94.35        | 0.00%             | 2041-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 08/01/2031#V61273                                       | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     141987 | PA      | $134676.66    | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 7.00% 12/26 #256589                                          | CUSIP: 31371M7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        187 | PA      | $190.31       | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 5/42 #Q08167                                                | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18586 | PA      | $17992.97     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/01/2045#AS5393                                       | CUSIP: 3138WE7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6919 | PA      | $6911.03      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/40 #G05969                                                | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10189 | PA      | $10367.45     | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.753% 10/33 #746320                                          | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24327 | PA      | $24784.35     | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 01/01/2036#G30933                                         | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226525 | PA      | $223097.32    | 0.01%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 12/28 #780931                                               | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         94 | PA      | $96.67        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 10YR 3% 01/01/2028#MA3250                                         | CUSIP: 31418CTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4949 | PA      | $4803.03      | 0.00%             | 2028-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 2095 PE 6% 11/28                                                   | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7720 | PA      | $7847.82      | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 01/20/2043#MA0852                                         | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35648 | PA      | $33874.87     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 5.0% 05/15/2039#783724                                       | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10082 | PA      | $10162.12     | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745083                                                | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15392 | PA      | $15244.11     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/26 #313182                                               | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.79        | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.89% 3/33 #725130                                            | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9989 | PA      | $9960.06      | 0.00%             | 2033-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 09/01/2046#BC2817                                         | CUSIP: 3140EXDX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1100976 | PA      | $999712.45    | 0.03%             | 2046-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 12/20/2049#BR8985                                         | CUSIP: 3617M76W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24139 | PA      | $22530.78     | 0.00%             | 2049-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 9/41 #Q03295                                                | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5097 | PA      | $4931.08      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 02/52#RA6820                                              | CUSIP: 3133KNSH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3327720 | PA      | $2744712.04   | 0.08%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3% 02/01/2037#C91917                                         | CUSIP: 3128P8DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71147 | PA      | $67198.31     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/47#BE3749                                            | CUSIP: 3140FPEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213255 | PA      | $211823.29    | 0.01%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2049#CA4536                                         | CUSIP: 3140QCBE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     929475 | PA      | $834836.05    | 0.02%             | 2049-11-01      | 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        |       9794 | PA      | $9927.57      | 0.00%             | 2033-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2048#Q58998                                       | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24244 | PA      | $23961.46     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR5360                                       | CUSIP: 3138W25W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8522 | PA      | $7815.14      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 3/34 #725228                                                | CUSIP: 31402CVV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9689 | PA      | $10050.52     | 0.00%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2047#AX5815                                         | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11275 | PA      | $10873.38     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 02/01/2045#AL7147                                       | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35934 | PA      | $35940.30     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US 5YR NOTE (CBT) FUT MAR23 FVH3                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -114 | NC      | $-38328.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 04/15/2046#784232                                         | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132169 | PA      | $127870.21    | 0.00%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2050#                                               | CUSIP: 31418DMJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     910130 | PA      | $815753.65    | 0.02%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 5.5% 06/25/2035                         | CUSIP: 31394EFK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     165363 | PA      | $168381.24    | 0.00%             | 2035-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2052#FS0631                                         | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4460459 | PA      | $3963083.34   | 0.12%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 05/51#QC1514                                              | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     179358 | PA      | $148607.32    | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2043#AU6807                                       | CUSIP: 3138X6R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9960 | PA      | $9977.49      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 10/28 #434034                                               | CUSIP: 36207KEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        345 | PA      | $354.99       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 2/40 #711491                                                | CUSIP: 36297GNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17418 | PA      | $16835.99     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AL3181                                       | CUSIP: 3138EKRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180223 | PA      | $165279.95    | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 5/27 #379219                                                | CUSIP: 31377KG41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $23.98        | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 06/20/2049#MA5986                                           | CUSIP: 36179UUK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     103883 | PA      | $99939.14     | 0.00%             | 2049-06-20      | Fixed         | 0.04%                 | 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        |      22145 | PA      | $22095.80     | 0.00%             | 2034-12-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 11/01/2051#RA6308                                         | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     333135 | PA      | $275707.23    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE8186                                         | CUSIP: 31419KCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16276 | PA      | $15743.08     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 5.37% 6/36 #916726                                            | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3404 | PA      | $3472.78      | 0.00%             | 2036-06-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 07/01/2046#BC1216                                       | CUSIP: 3140EVK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     290766 | PA      | $273218.53    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4.5% 03/01/2039#FM1774                                       | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61865 | PA      | $61585.09     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 12/01/2051#BT9493                                         | CUSIP: 3140LYRP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6163684 | PA      | $5099231.81   | 0.15%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/01/2047#Q47935                                       | CUSIP: 3132WMY99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91788 | PA      | $91314.43     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 5/46#Q40310                                               | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      58365 | PA      | $53119.62     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2045#G07949                                         | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     182769 | PA      | $178582.83    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13381                                       | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1026 | PA      | $1005.18      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 05/01/2031#BC0919                                       | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61849 | PA      | $58613.71     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 4/34 #A19922                                                | CUSIP: 31296VAX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1314 | PA      | $1326.63      | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2051#MA4347                                       | CUSIP: 31418DZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     564117 | PA      | $520377.56    | 0.02%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2046#AS7241                                       | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     531163 | PA      | $499771.94    | 0.01%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-60 FV 1ML+100 4/32                                            | CUSIP: 31392EVD9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      11538 | PA      | $11671.45     | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 01/20/2051#MA7135                                           | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     126309 | PA      | $107945.08    | 0.00%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.125% 05/15/2025                                            | CUSIP: 912828XB1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11928600 | PA      | $11349876.58  | 0.33%             | 2025-05-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3% 12/01/2052 #TBA                                           | CUSIP: 01F0306C7<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -13350000 | PA      | $-11817879.24 | -0.34%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 1993-165SH -2.81ML+2K 9/23                                         | CUSIP: 31359D5R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |         54 | PA      | $54.26        | 0.00%             | 2023-09-25      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/41 #AJ8098                                               | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19784 | PA      | $19117.60     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #738886                                               | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8250 | PA      | $7973.17      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-117 JN 4.5% 1/36                                              | CUSIP: 31394VDE7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     102654 | PA      | $101869.40    | 0.00%             | 2036-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2048#BK0200                                       | CUSIP: 3140HDGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4894 | PA      | $4841.17      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 7/41 #748144                                                | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1013 | PA      | $977.57       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 7/37 #G03508                                                | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        776 | PA      | $816.46       | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AB7755                                       | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36303 | PA      | $33292.54     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 04/01/2050#BK2255                                         | CUSIP: 3140HFQH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     578928 | PA      | $520524.01    | 0.02%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.25% 10/31/2025                                             | CUSIP: 91282CAT8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17700000 | PA      | $15863625.00  | 0.46%             | 2025-10-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/40 #AE6951                                               | CUSIP: 31419HWM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1346 | PA      | $1300.00      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 06/01/2031#G18604                                       | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47723 | PA      | $45266.10     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/01/2041#                                             | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6673 | PA      | $6644.95      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.428% 7/36 #555923                                           | CUSIP: 31385XSL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2787 | PA      | $2814.79      | 0.00%             | 2036-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 05/15/2045#AN1263                                       | CUSIP: 36185GML6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15330 | PA      | $14812.58     | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/32 #555144                                               | CUSIP: 31385WWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         74 | PA      | $78.42        | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 09/32#MA3125                                              | CUSIP: 31418CPK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35607 | PA      | $34013.40     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | 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        |       5038 | PA      | $4624.42      | 0.00%             | 2042-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 05/01/2043#AT3989                                       | CUSIP: 3138WRNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      71370 | PA      | $67353.31     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 3225 EO 0% 10/36                                                   | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       7197 | PA      | $5706.37      | 0.00%             | 2036-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2042#                                               | CUSIP: 3132GSMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3946 | PA      | $3814.36      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 9/29 #793986                                                | CUSIP: 31405NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2521 | PA      | $2585.39      | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3949 MK 4.5% 10/34                                                 | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      17137 | PA      | $17021.19     | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/28 #468222                                                | CUSIP: 36209DD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        127 | PA      | $131.08       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 11/39 #728315                                               | CUSIP: 3620AFDU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4274 | PA      | $4228.52      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 06/01/2041#AI5034                                       | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5070 | PA      | $5162.37      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2045#AY5316                                       | CUSIP: 3138YJ4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9556 | PA      | $9545.79      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 02/01/2040#                                               | CUSIP: 312939LZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3843 | PA      | $3911.02      | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 07/15/2042#AA8275                                       | CUSIP: 36178GFQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1594 | PA      | $1501.49      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8% 02/01/2030#                                               | CUSIP: 31292HAX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $27.91        | 0.00%             | 2030-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 3/39 #935009                                                | CUSIP: 31412UGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        786 | PA      | $826.43       | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AQ8634                                       | CUSIP: 3138MQSY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9737 | PA      | $8929.42      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2046#G60440                                       | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475400 | PA      | $448756.80    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2035#AB8198                                       | CUSIP: 31417FDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12187 | PA      | $12059.11     | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 05/44#AW4672                                            | CUSIP: 3138XUFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3315 | PA      | $3399.37      | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/30 #710936                                                | CUSIP: 31401KY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        479 | PA      | $500.83       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 1/41 #004946                                             | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86450 | PA      | $85931.17     | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 12/20/2040#004880                                       | CUSIP: 36202FM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9843 | PA      | $9703.88      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/01/2046#AL9489                                       | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87073 | PA      | $81709.28     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 1.5% 10/31/2024                                              | CUSIP: 912828YM6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24300000 | PA      | $23022351.68  | 0.67%             | 2024-10-31      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 6.0% 01/01/2024#G14293                                       | CUSIP: 3128MC7E9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38044 | PA      | $38077.38     | 0.00%             | 2024-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD    | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 3.5% 11/15/2031 | CUSIP: 3137BAMN9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    2565265 | PA      | $2477038.76   | 0.07%             | 2031-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/45#BM1415                                            | CUSIP: 3140J5SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40745 | PA      | $40527.12     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 07/01/2042#Q09230                                         | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     214538 | PA      | $207451.06    | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/46#BC1776                                              | CUSIP: 3140EV6N2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15876 | PA      | $15413.76     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 01/01/2047#BE6108                                         | CUSIP: 3140FRYE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9447 | PA      | $9124.73      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 03/01/2043#AB8830                                       | CUSIP: 31417FY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8489 | PA      | $7784.72      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 9/39 #706762                                                | CUSIP: 36297BFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3762 | PA      | $3638.20      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 01/01/2044#AV6341                                       | CUSIP: 3138XJBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1865 | PA      | $1861.51      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 11/27 #462269                                               | CUSIP: 36208VQW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         80 | PA      | $82.66        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 11/01/2051#BQ6772                                         | CUSIP: 3140KSQ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     682840 | PA      | $563634.81    | 0.02%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4% 09/01/2039#CA4213                                         | CUSIP: 3140QBVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     116005 | PA      | $113245.09    | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AP9735                                               | CUSIP: 3138MDY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     168259 | PA      | $157912.71    | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 04/01/2048#BM3700                                         | CUSIP: 3140J8DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186056 | PA      | $180175.91    | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 11/40 #AE8271                                               | CUSIP: 31419KFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2230 | PA      | $2156.04      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2519 ZD 5.50% 11/32                                                | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       6409 | PA      | $6553.23      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AR3125                                         | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13843 | PA      | $13011.86     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 01/01/2042#AJ6217                                         | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13655 | PA      | $13198.18     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 11/34 #735061                                               | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162980 | PA      | $169734.57    | 0.00%             | 2034-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2042#AL5881                                       | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91553 | PA      | $91057.08     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 05/01/2045#Q33138                                       | CUSIP: 3132QPPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20450 | PA      | $19878.95     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 02/01/2048#CA1713                                       | CUSIP: 3140Q83X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38127 | PA      | $37740.00     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 11/01/2041#MA4473                                       | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22166160 | PA      | $18046308.66  | 0.52%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 1/35 #G06928                                                | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32919 | PA      | $33209.54     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 12/01/2040#                                               | CUSIP: 312944H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5379 | PA      | $5208.60      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2045#Q34311                                       | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     451408 | PA      | $425262.89    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 10/01/2051#FM9210                                         | CUSIP: 3140XDGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11708027 | PA      | $10431762.08  | 0.30%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8% 07/01/2030#                                               | CUSIP: 31297XWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $106.26       | 0.00%             | 2030-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/01/2046#AL9058                                       | CUSIP: 3138ERB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     645650 | PA      | $607089.47    | 0.02%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 08/01/2031#AS7695                                       | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     147061 | PA      | $139367.58    | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 1/45#Q30720                                               | CUSIP: 3132QLYS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12425 | PA      | $12078.71     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2042#AL6997                                       | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     430610 | PA      | $428287.27    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 07/01/2045#AZ0833                                       | CUSIP: 3138YR4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7192 | PA      | $6991.29      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 7/29 #481600                                                | CUSIP: 36209T7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $45.51        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/30 #531078                                                | CUSIP: 31384Q6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        109 | PA      | $114.69       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/41 #783295                                                | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68128 | PA      | $67480.40     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.457% 02/01/2044#AL5114                                      | CUSIP: 3138EMVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57095 | PA      | $57096.20     | 0.00%             | 2044-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 11/01/2051#FM9501                                       | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2598528 | PA      | $2235388.02   | 0.06%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 2003-28 KG 5.5% 4/23                                               | CUSIP: 31393ADJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        518 | PA      | $518.80       | 0.00%             | 2023-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 4/35 #A32122                                                | CUSIP: 31297MLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2588 | PA      | $2622.81      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 2/1/43 #AR5859                                          | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8405 | PA      | $7932.08      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/43#Q22414                                            | CUSIP: 3132JPVF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6619 | PA      | $6632.38      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/31 #689547                                                | CUSIP: 31400KBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        327 | PA      | $334.15       | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AK5316                                                | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5363 | PA      | $5178.08      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 01/01/2033#MA3246                                       | CUSIP: 31418CTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22621 | PA      | $21267.71     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 08/01/2027#                                             | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        243 | PA      | $253.66       | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.25% 07/31/2025                                             | CUSIP: 91282CAB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34133000 | PA      | $30823699.16  | 0.90%             | 2025-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/41 #AH6075                                                | CUSIP: 3138A7XD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3262 | PA      | $3152.97      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 7.00% 4/32 #781432                                             | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6211 | PA      | $6505.15      | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #313835                                               | CUSIP: 31374GSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $131.54       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 1/1/43 #Q14696                                            | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13548 | PA      | $12436.34     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2044#AX6510                                       | CUSIP: 3138Y8GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19493 | PA      | $19484.42     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 11/40 #756928                                               | CUSIP: 36230RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3116 | PA      | $2942.11      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 03/01/2043#AB8610                                       | CUSIP: 31417FR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10916 | PA      | $10010.93     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 7/35 #357843                                                | CUSIP: 31376KP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2732 | PA      | $2855.84      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 03/01/2037#AS9292                                         | CUSIP: 3138WKKE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247147 | PA      | $233219.83    | 0.01%             | 2037-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 09/01/2033#AL7521                                       | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     195396 | PA      | $196860.36    | 0.01%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/32 #611797                                                | CUSIP: 31388QUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1150 | PA      | $1229.51      | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 1/42 #757490                                                | CUSIP: 36230SKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18618 | PA      | $17542.15     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 6/27 #436794                                                | CUSIP: 36207NGB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $17.65        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 351 13 6% 3/34                                                     | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       3024 | PA      | $567.44       | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 5/40 #AL2129                                                | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22480 | PA      | $23630.61     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 4.50% 7/25 #G13844                                           | CUSIP: 3128MCP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9372 | PA      | $9288.14      | 0.00%             | 2025-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 2006-45 OP 0 6/36                                                  | CUSIP: 31395NEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     195267 | PA      | $155116.12    | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 07/01/2047#Q49499                                       | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44247 | PA      | $44073.77     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNR 1997-41 J 7.5% 6/27                                                | CUSIP: 31359PQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       1200 | PA      | $1226.95      | 0.00%             | 2027-06-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745232                                                | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13873 | PA      | $13740.98     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/32 #646736                                                | CUSIP: 31390HPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        234 | PA      | $249.80       | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/39 #723339                                                | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3728 | PA      | $3759.21      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/40 #AE4923                                                | CUSIP: 31419FPH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1841 | PA      | $1778.91      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 1/36 #G03506                                                | CUSIP: 3128M5GP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38193 | PA      | $39952.05     | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AK1510                                                | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7101 | PA      | $6859.96      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 07/20/2043#635118                                         | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29266 | PA      | $27627.77     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 09/01/2046#G61420                                       | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1123247 | PA      | $1058190.10   | 0.03%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 01/01/2048#MA3240                                       | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53199 | PA      | $52658.97     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 05/01/2038#C91994                                         | CUSIP: 3128P8GB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     303813 | PA      | $297981.30    | 0.01%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 6.50% 5/26 #C90975                                           | CUSIP: 3128P7CL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        366 | PA      | $370.67       | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 01/01/2027#                                             | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $41.85        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                              | Fidelity Cash Central Fund                                             | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  473244402 | NS      | $473339051.23 | 13.76%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2274 ZM 6.5% 1/31                                                  | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2245 | PA      | $2276.37      | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 12/01/2042#Q13420                                       | CUSIP: 3132HPYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11504 | PA      | $11219.27     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 1/32 #C62372                                                | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4436 | PA      | $4658.02      | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-20 Z 6% 5/31                                                  | CUSIP: 31359SXB1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6814 | PA      | $6933.70      | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 3/42 #AL1521                                                | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56464 | PA      | $54547.25     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 12/33 #G04895                                               | CUSIP: 3128M6XY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        548 | PA      | $552.74       | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 07/20/2051#MA7472                                         | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     609615 | PA      | $537614.63    | 0.02%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/40 #545934                                                | CUSIP: 36212WPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3111 | PA      | $3081.20      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7.5% 11/01/2030#                                             | CUSIP: 31298C2P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $33.75        | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FNR 2010-15 FJ 1ML+93 6/36                                             | CUSIP: 31398MRG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1821774 | PA      | $1832345.59   | 0.05%             | 2036-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/40 #743665                                                | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2686 | PA      | $2711.39      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/40 #737559                                               | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22469 | PA      | $21715.83     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 10/40 #004833                                            | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21375 | PA      | $20698.81     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM 30YR 4.5% 10/01/2040#                                             | CUSIP: 3129424K8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1914 | PA      | $1902.23      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 1ML+ 06/25/2035                         | CUSIP: 31394D4V9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      28937 | PA      | $2517.10      | 0.00%             | 2035-06-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.501% 04/01/2044#AV5913                                      | CUSIP: 3138XHSB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42185 | PA      | $42090.96     | 0.00%             | 2044-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 10/42 #AP7882                                               | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60065 | PA      | $56357.78     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2520 BE 6% 11/32                                                   | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      10352 | PA      | $10683.00     | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2009-118 XZ 5% 12/39                    | CUSIP: 38376PLJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |   10460354 | PA      | $10608830.86  | 0.31%             | 2039-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 12/32 #735415                                               | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14009 | PA      | $14668.36     | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 05/01/2035#                                               | CUSIP: 31297P2R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        366 | PA      | $369.43       | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#QD3168                                         | CUSIP: 3133B0QV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2821000 | PA      | $2333820.40   | 0.07%             | 2051-12-01      | Fixed         | 0.02%                 | 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        |        850 | PA      | $891.96       | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 4% 06/01/2038#K94286                                         | CUSIP: 3132LQUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11200 | PA      | $10984.78     | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H16 BA 3.55% 07/60                                            | CUSIP: 38375BDK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     122096 | PA      | $118834.39    | 0.00%             | 2060-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2047#BJ0993                                         | CUSIP: 3140H2C71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4616 | PA      | $4446.56      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                         | CUSIP: 31394E3H9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1756632 | PA      | $1784926.87   | 0.05%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 4/39 #AB0043                                                | CUSIP: 31416VBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      82107 | PA      | $81203.96     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 10/39#004553                                            | CUSIP: 36202FBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4502 | PA      | $4437.98      | 0.00%             | 2039-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2011-136 WI 4.5% 5/40                                              | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      39390 | PA      | $2859.44      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP3391                                                | CUSIP: 3138M6XV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8941 | PA      | $8400.08      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 12/01/2042#Q15249                                       | CUSIP: 3132J6H31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17643 | PA      | $16194.79     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2039#G05645                                       | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3171 | PA      | $3153.84      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 02/01/2049#BM5577                                         | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     300548 | PA      | $306038.61    | 0.01%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.60% 2/35 #779905                                            | CUSIP: 31404VNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3919 | PA      | $3926.88      | 0.00%             | 2035-02-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2045#Q32124                                       | CUSIP: 3132QNLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9338 | PA      | $8802.90      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #677235                                                | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6312 | PA      | $6251.61      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2042#Q11138                                       | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14785 | PA      | $14321.46     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.5% 02/43 #Q15869                                                | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49482 | PA      | $46739.81     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 03/01/2044#Q25226                                       | CUSIP: 3132M5PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13629 | PA      | $13265.43     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 12/01/2042#Q13899                                       | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7637 | PA      | $7447.46      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55720                                         | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11866 | PA      | $11467.83     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3297 BI 1ML+676 4/37                                               | CUSIP: 31397GRY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      65069 | PA      | $8175.16      | 0.00%             | 2037-04-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/26 #256507                                               | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        663 | PA      | $673.58       | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 10/41 #005280                                            | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19463 | PA      | $18835.66     | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2.5% 12/01/2052 #TBA                                           | CUSIP: 21H0226C0<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -49800000 | PA      | $-43693354.68 | -1.27%            | 2052-12-01      | Fixed         | 0.03%                 | 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        |      31515 | PA      | $29042.45     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FGLMC 30YR 3.5% 09/46#Q43176                                           | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     120772 | PA      | $113513.11    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/45#AX3256                                         | CUSIP: 3138Y4TN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19068 | PA      | $17397.25     | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 06/15/2043#AC9654                                       | CUSIP: 36179KWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7823 | PA      | $7413.92      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/41 #AI9685                                                | CUSIP: 3138APXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1647 | PA      | $1593.13      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 1.5% 12/01/2040#RB5089                                       | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1166901 | PA      | $956582.04    | 0.03%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 1.5% 12/01/2052 #TBA                                         | CUSIP: 01F0126C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   26550000 | PA      | $20624071.86  | 0.60%             | 2052-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3110 OP PO 0% 9/35                                                 | CUSIP: 31396HU49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       6354 | PA      | $5788.98      | 0.00%             | 2035-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/25 #324193                                                | CUSIP: 31374UC61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $22.82        | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 01/01/2043#AQ9316                                       | CUSIP: 3138MRK67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119610 | PA      | $104857.02    | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2041#                                             | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7586 | PA      | $7546.45      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 04/15/2043#AC1092                                       | CUSIP: 36179AF92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16221 | PA      | $15753.88     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 03/01/2041#A97686                                       | CUSIP: 312946RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4880 | PA      | $4979.57      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 9/31 #564867                                                | CUSIP: 36213UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         17 | PA      | $18.34        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 02/01/2035#FM2502                                       | CUSIP: 3140X5X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     372142 | PA      | $346975.66    | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 01/01/2041#MA4231                                       | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1960498 | PA      | $1607143.74   | 0.05%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 12/20/44#MA2446                                           | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12084 | PA      | $11816.55     | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2007-59 FC 1ML+50 7/37                                             | CUSIP: 38375LQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      92912 | PA      | $92487.29     | 0.00%             | 2037-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 07/01/2044#G61831                                         | CUSIP: 31335CA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17725 | PA      | $17156.53     | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 11/15/2042#AB9211                                       | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62026 | PA      | $58423.53     | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 7/40 #004746                                             | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10020 | PA      | $9959.39      | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/27 #190289                                               | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $35.37        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 12/01/2040#MA4202                                       | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1940798 | PA      | $1590993.95   | 0.05%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2586 MJ 5.5 3/23                                                   | CUSIP: 31393MSV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        137 | PA      | $137.75       | 0.00%             | 2023-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/01/2034#CA4890                                         | CUSIP: 3140QCNG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241148 | PA      | $229679.28    | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 12/01/2032#MA3217                                       | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12436 | PA      | $11691.79     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/33 #C01614                                                | CUSIP: 31292HYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1551 | PA      | $1534.79      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | 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        |      38909 | PA      | $36973.64     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 04/15/2043#783836                                       | CUSIP: 3622A2HM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133808 | PA      | $126226.41    | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2018-H12 HA 3.25% 08/20/2068              | CUSIP: 38380LGR8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1241283 | PA      | $1196788.93   | 0.03%             | 2068-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2047#BH9459                                       | CUSIP: 3140GYQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8604 | PA      | $8522.11      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 12/46#BC9077                                            | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180091 | PA      | $168997.35    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/25 #322438                                                | CUSIP: 31374SEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         21 | PA      | $21.67        | 0.00%             | 2025-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #739184                                                | CUSIP: 3620ATFZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1237 | PA      | $1225.54      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 07/01/2033#                                               | CUSIP: 31283HYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1573 | PA      | $1629.88      | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2033#727139                                       | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11893 | PA      | $11759.12     | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/28 #457547                                               | CUSIP: 31381DHY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $220.04       | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 07/46#AS7533                                              | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1065847 | PA      | $969146.36    | 0.03%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 7/41 #Q02385                                                | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3871 | PA      | $3854.63      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2039#AB0051                                       | CUSIP: 31416VBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16154 | PA      | $15974.48     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 10/35 #835485                                               | CUSIP: 31407NF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        899 | PA      | $940.74       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 08/01/2031#BC2778                                       | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88669 | PA      | $83864.13     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.5% 03/43 #AR8173                                                | CUSIP: 3138W6CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32125 | PA      | $30317.30     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 11/01/2042#Q13653                                       | CUSIP: 3132HQBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11769 | PA      | $11477.04     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 10/01/2042#C04268                                       | CUSIP: 31292LW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6524 | PA      | $5923.08      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#RA6510                                         | CUSIP: 3133KNGT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5356432 | PA      | $4431390.49   | 0.13%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 12/01/2051#CB2350                                         | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5516400 | PA      | $4555112.85   | 0.13%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/47#Q48876                                            | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56974 | PA      | $56769.01     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 8/28 #251975                                                | CUSIP: 31371G2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $30.02        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 07/01/2046#Q43088                                       | CUSIP: 3132WGNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10509 | PA      | $9883.74      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.625% 05/31/2027                                            | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45180000 | PA      | $42880408.48  | 1.25%             | 2027-05-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR5858                                       | CUSIP: 3138W3QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22175 | PA      | $20336.71     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2007-57 SA 4062-6*1ML 6/37                                         | CUSIP: 31396WJV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       4511 | PA      | $5977.35      | 0.00%             | 2037-06-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 07/01/2029#                                               | CUSIP: 31292G4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         97 | PA      | $99.43        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 4.125% 10/31/2027                                            | CUSIP: 91282CFU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7600000 | PA      | $7696781.29   | 0.22%             | 2027-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 11/01/2032#G18665                                       | CUSIP: 3128MMW33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16473 | PA      | $15532.39     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745228                                                | CUSIP: 3620C04M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26891 | PA      | $26635.73     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2% 11/15/2041                              | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   49957700 | PA      | $36385207.55  | 1.06%             | 2041-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 09/01/2051#QC7496                                         | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     887509 | PA      | $788822.43    | 0.02%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2530 FE 1ML+60 2/32                                                | CUSIP: 31393FAU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      12309 | PA      | $12342.56     | 0.00%             | 2032-02-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21605                                       | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20985 | PA      | $20451.86     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 03/15/2045#777581                                       | CUSIP: 36176VUE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38676 | PA      | $35762.67     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.947% 07/01/2043#AL5652                                      | CUSIP: 3138ENH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26241 | PA      | $26457.09     | 0.00%             | 2043-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 3/38 #889219                                                | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6363 | PA      | $6695.41      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 06/01/2044#Q26541                                       | CUSIP: 3132M65A4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11402 | PA      | $11097.82     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 12/01/2047#G61305                                         | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     256207 | PA      | $247056.90    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/20/2046#AS4297                                         | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39033 | PA      | $36689.25     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 8/23 #352113                                                | CUSIP: 36203LDS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $3.10         | 0.00%             | 2023-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 8/39 #698474                                                | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      67583 | PA      | $66886.79     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 5.5% 08/01/2025#AL0517                                       | CUSIP: 3138EGSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1811 | PA      | $1806.82      | 0.00%             | 2025-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/40 #A92286                                                | CUSIP: 312940RF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        960 | PA      | $955.85       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/41 #Q02511                                                | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3398 | PA      | $3377.26      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/39 #G05457                                                | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21066 | PA      | $20942.50     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 9/25 #405143                                                | CUSIP: 36206ABL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        140 | PA      | $142.84       | 0.00%             | 2025-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2% 12/01/2052 #TBA                                           | CUSIP: 01F0206C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  133350000 | PA      | $109672040.63 | 3.19%             | 2052-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 4.5% 06/01/2039#FM1045                                       | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30371 | PA      | $30233.84     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/42 #AK2525                                                | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4456 | PA      | $4308.65      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 05/01/2047#Q47872                                         | CUSIP: 3132WMXA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13962 | PA      | $13489.83     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4.5% 12/01/2052 #TBA                                         | CUSIP: 01F0426C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   72800000 | PA      | $70866286.40  | 2.06%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 05/01/2052#CB3647                                         | CUSIP: 3140QPBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3400033 | PA      | $3441847.13   | 0.10%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2011-4 PZ 5% 2/41                                                  | CUSIP: 31397QKY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      46100 | PA      | $44527.67     | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 02/15/2045#AK7288                                       | CUSIP: 36183RCZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27081 | PA      | $25041.66     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/41 #AJ3485                                               | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5412 | PA      | $5227.33      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/46#BC0287                                            | CUSIP: 3140EUJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14676 | PA      | $14604.87     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5.0% 07/01/2041#Q02130                                       | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5031 | PA      | $5130.92      | 0.00%             | 2041-07-01      | 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        |      58385 | PA      | $56934.58     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3336 LI 1ML+658 6/37                                               | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      21066 | PA      | $2340.75      | 0.00%             | 2037-06-15      | Variable      | 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        |       5128 | PA      | $5097.49      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/27 #313687                                                | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         77 | PA      | $78.91        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/28 #433689                                                | CUSIP: 36207JXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         32 | PA      | $32.35        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2039#AC6492                                       | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1933 | PA      | $1921.55      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 8/32 #C70220                                                | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        744 | PA      | $782.31       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 06/01/2035#                                               | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        742 | PA      | $750.41       | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 06/47#MA4511                                                | CUSIP: 36179TAL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169963 | PA      | $164666.47    | 0.00%             | 2047-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 4.50% 7/26 #AB3303                                           | CUSIP: 31416YU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1667 | PA      | $1649.34      | 0.00%             | 2026-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2432 FE 1ML+90 6/31                                                | CUSIP: 31339NNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1102 | PA      | $1110.46      | 0.00%             | 2031-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 5/39 #713327                                                | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5501 | PA      | $5543.15      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 7/29 #C47273                                                | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5025 | PA      | $5266.57      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNMA 13-149 MA 2.5% 5/20/40                                            | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     214359 | PA      | $204659.27    | 0.01%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2996 MK 5.5% 6/35                                                  | CUSIP: 31395UYX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       6869 | PA      | $6981.09      | 0.00%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 08/20/2045#MA3035                                         | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     667406 | PA      | $652028.85    | 0.02%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/40#AE6588                                              | CUSIP: 31419HKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10445 | PA      | $10103.99     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 7/26 #256310                                                | CUSIP: 31371MVB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9132 | PA      | $9227.97      | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 4.25% 03/25/2042                        | CUSIP: 3136A4CM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    2317271 | PA      | $2223078.71   | 0.06%             | 2042-03-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 8/37 #G06089                                                | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8804 | PA      | $9233.70      | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 07/01/2033#709470                                         | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14371 | PA      | $14472.34     | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 04/01/2043#G07345                                       | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208091 | PA      | $203780.83    | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 15YR 2.5% 12/01/2037 #TBA                                         | CUSIP: 01F0224C6<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -9600000 | PA      | $-8866500.48  | -0.26%            | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.80% 5/37 #1N1474                                            | CUSIP: 3128QHT75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5805 | PA      | $5955.75      | 0.00%             | 2037-05-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 10/46#AL9397                                              | CUSIP: 3138ERNP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67383 | PA      | $61185.18     | 0.00%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2682 LD 4.5% 10/33                                                 | CUSIP: 31394KK78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     152800 | PA      | $150031.42    | 0.00%             | 2033-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.0% 02/01/2045#AX6813                                            | CUSIP: 3138Y8SB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15519 | PA      | $15072.45     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2046#Q45028                                       | CUSIP: 3132WJSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15317 | PA      | $15242.68     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 11/41 #489862                                               | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39282 | PA      | $37942.88     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/47#Q48877                                              | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69181 | PA      | $67251.01     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 07/01/2040#FM7867                                         | CUSIP: 3140XBW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     143002 | PA      | $132172.76    | 0.00%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.0% 3/45#AY0609                                                  | CUSIP: 3138YDVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23856 | PA      | $21766.27     | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 11/01/2042#AQ1978                                       | CUSIP: 3138MHFU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8633 | PA      | $7916.99      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2043#Q20763                                       | CUSIP: 3132JMZ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11419 | PA      | $11129.10     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | 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        |      16107 | PA      | $15954.34     | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 4/26 #313275                                                | CUSIP: 31374F6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $72.05        | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745196                                                | CUSIP: 3620C03D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10727 | PA      | $10625.24     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.625% 10/15/2024                                            | CUSIP: 91282CDB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25100000 | PA      | $23412613.34  | 0.68%             | 2024-10-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 02/01/2043#AR2626                                       | CUSIP: 3138NY4L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68572 | PA      | $60114.52     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 03/01/2033#G18683                                       | CUSIP: 3128MMXM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45937 | PA      | $43226.92     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 8/30 #549602                                                | CUSIP: 31385QRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         44 | PA      | $46.45        | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 1/29 #323500                                                | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $49.67        | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 8/27 #780622                                                | CUSIP: 36225AVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $29.45        | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/25 #329280                                               | CUSIP: 31375AXH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.92        | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 7/32 #254379                                                | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $194.75       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/41 #AJ4198                                               | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16547 | PA      | $15995.38     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 4.50% 6/25 #MA0442                                           | CUSIP: 31417YP43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1101 | PA      | $1089.67      | 0.00%             | 2025-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2047#BE5550                                       | CUSIP: 3140FREY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17154 | PA      | $17017.47     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 2/28 #433616                                                | CUSIP: 36207JVH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         71 | PA      | $72.15        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 03/01/2033#ZS8690                                         | CUSIP: 3132A9UP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95123 | PA      | $90747.32     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/33 #A12833                                                | CUSIP: 31296MEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        875 | PA      | $883.02       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/46#Q39901                                            | CUSIP: 3132QXAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9939 | PA      | $9360.67      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 01/01/2052#RA6622                                       | CUSIP: 3133KNLB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9832455 | PA      | $8452238.67   | 0.25%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 02/20/2041#004948                                       | CUSIP: 36202FP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1122 | PA      | $1106.39      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                  | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     288241 | PA      | $265656.29    | 0.01%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 11/01/2051#QD0399                                         | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     216997 | PA      | $179590.27    | 0.01%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE8135                                         | CUSIP: 31419KBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5459 | PA      | $5273.68      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/41 #AH4609                                                | CUSIP: 3138A6DP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2097 | PA      | $2027.76      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2016-H13 FB T1Y+50 05/20/2066                                      | CUSIP: 38376RUU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    7203819 | PA      | $7180620.94   | 0.21%             | 2066-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/27 #368817                                                | CUSIP: 31376XVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        240 | PA      | $247.62       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2041#A96822                                         | CUSIP: 312945SK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2126 | PA      | $2056.85      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/33 #G01584                                                | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $321.70       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 7.00% 8/26 #256430                                           | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        585 | PA      | $595.64       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/48#CA1564                                            | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21400 | PA      | $21168.91     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 6/40 #704995                                                | CUSIP: 36296YGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2770 | PA      | $2796.68      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 6/41 #768770                                                | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3720 | PA      | $3592.34      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 5% 12/01/2052 #TBA                                           | CUSIP: 01F0506C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   41750000 | PA      | $41567322.88  | 1.21%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 9/37 #942981                                                | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1604 | PA      | $1686.36      | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 08/01/2035#G02836                                       | CUSIP: 3128M4PV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        480 | PA      | $475.61       | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2046#BE2414                                         | CUSIP: 3140FMVG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9718 | PA      | $9429.00      | 0.00%             | 2046-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-18 FD 1ML+80 2/32                                             | CUSIP: 31392CHM9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        570 | PA      | $573.36       | 0.00%             | 2032-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 6% 05/01/2029#                                               | CUSIP: 31293PXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        112 | PA      | $114.37       | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 4/41 #A97942                                                | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73428 | PA      | $73122.94     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55141                                         | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2259 | PA      | $2183.58      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 7/29 #323819                                                | CUSIP: 31374TVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $69.28        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2033#727060                                       | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4724 | PA      | $4670.12      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 04/01/2046#Q39717                                         | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18922 | PA      | $17221.57     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                | FNS 384 6 5% 7/37                                                      | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      20426 | PA      | $3532.07      | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2051#FM9633                                         | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     669074 | PA      | $596140.22    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1ML+ 06/20/2064                           | CUSIP: 38375UKG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     161802 | PA      | $160360.97    | 0.00%             | 2064-06-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 0.0% 10/01/2041#AI6819                                        | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17262 | PA      | $17114.29     | 0.00%             | 2041-10-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 01/01/2043#AL7626                                         | CUSIP: 3138EQPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28546 | PA      | $27581.55     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 06/01/2031#J34584                                         | CUSIP: 31307RCV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7611 | PA      | $7302.67      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 08/01/2045#AZ3728                                       | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14613 | PA      | $13319.45     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 7/38 #711379                                                | CUSIP: 36297GJY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        628 | PA      | $642.40       | 0.00%             | 2038-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 7.00% 1/36 #A54473                                                | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2709 | PA      | $2882.08      | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044                 | CUSIP: 38378YG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     529443 | PA      | $487654.82    | 0.01%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                  | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      20112 | PA      | $19635.10     | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 04/01/2041#                                               | CUSIP: 31418DYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21140 | PA      | $18063.68     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/35 #830989                                                | CUSIP: 31407HF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        794 | PA      | $828.26       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT0668                                          | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10306 | PA      | $9726.14      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK6409                                                | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7267 | PA      | $7017.75      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #745094                                                | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30676 | PA      | $30380.51     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FGLMC 3871 KB 5.5% 06/41                                               | CUSIP: 3137AC7K9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    5176610 | PA      | $5384730.81   | 0.16%             | 2041-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #735358                                                | CUSIP: 3620AN5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7064 | PA      | $6996.35      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 15YR 2.5% 12/01/2037 #TBA                                         | CUSIP: 01F0224C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    9600000 | PA      | $8866500.48   | 0.26%             | 2037-12-01      | Fixed         | 0.03%                 | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2043#Q20785                                       | CUSIP: 3132JM2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9866 | PA      | $9615.34      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 01/01/2041#                                             | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2979 | PA      | $2961.62      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 04/01/2033#BJ8594                                         | CUSIP: 3140HARQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5427 | PA      | $5180.84      | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 6.36% 7/36 #1B7105                                            | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148416 | PA      | $150193.29    | 0.00%             | 2036-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 5% 12/01/2052 #TBA                                           | CUSIP: 01F0506C5<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -29050000 | PA      | $-28922891.73 | -0.84%            | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/39 #710848                                                | CUSIP: 36297FWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4865 | PA      | $4906.16      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2004-91 Z 5 12/34                                                  | CUSIP: 31394BZJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1621868 | PA      | $1614272.56   | 0.05%             | 2034-12-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2004-22 AZ 5.5% 04/20/2034              | CUSIP: 38374GDS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     778775 | PA      | $835379.75    | 0.02%             | 2034-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 348 14 6.5% 8/34                                                   | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       3309 | PA      | $665.13       | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 08/01/2033#729380                                       | CUSIP: 31402HJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5599 | PA      | $5536.89      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 10/34 #357634                                               | CUSIP: 31376KHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6359 | PA      | $6613.77      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 01/01/2052#SD8190                                         | CUSIP: 3132DWC35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73140 | PA      | $64879.03     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 9/24 #403965                                                | CUSIP: 36205XW26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         20 | PA      | $20.36        | 0.00%             | 2024-09-15      | Fixed         | 0.08%                 | 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        |         42 | PA      | $42.90        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.0% 05/01/2045#Q33468                                       | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12573 | PA      | $11470.54     | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 4.87% 10/35 #1M1052                                           | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18525 | PA      | $18568.39     | 0.00%             | 2035-10-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 4/42 #AK6572                                                | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12060 | PA      | $11318.18     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 10/41 #Q03643                                               | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35912 | PA      | $36051.64     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/42#AB6934                                            | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16819 | PA      | $15779.28     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2003-70 BJ 5% 7/33                                                 | CUSIP: 31393DAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      33682 | PA      | $33518.24     | 0.00%             | 2033-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21526                                       | CUSIP: 3132JNVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11316 | PA      | $11021.25     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2154 PT 6% 5/29                                                    | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       6013 | PA      | $6116.78      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/41 #AB3687                                               | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108157 | PA      | $104505.52    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2045#G61796                                       | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29939 | PA      | $29775.08     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 4/35 #A54855                                                | CUSIP: 3128KHMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9687 | PA      | $9774.62      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.75% 04/30/2027                                             | CUSIP: 91282CEN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47200000 | PA      | $45031750.00  | 1.31%             | 2027-04-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 7/40#V81831                                             | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13482 | PA      | $12701.45     | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55504                                         | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30409 | PA      | $29389.49     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 3.5% 06/01/2032#C91456                                       | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     344235 | PA      | $333113.40    | 0.01%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035              | CUSIP: 31394FGT6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      47152 | PA      | $47847.26     | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                    | US LONG BOND(CBT) FUT MAR23 USH3                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |       -169 | NC      | $-208865.33   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/25 #303555                                               | CUSIP: 31373UE45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $32.09        | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 4.5% 11/01/2025#AL8242                                       | CUSIP: 3138ETEQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     269216 | PA      | $267037.60    | 0.01%             | 2025-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 04/01/2035#                                               | CUSIP: 3128MJBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2260 | PA      | $2287.00      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4% 12/01/2052 #TBA                                           | CUSIP: 01F0406C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   52700000 | PA      | $49867375.00  | 1.45%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 07/01/2050#SD7521                                       | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217352 | PA      | $188845.10    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 07/01/2051#RA5574                                       | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2238034 | PA      | $1927720.43   | 0.06%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2007-37 TS -1ML+669 6/37                                           | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      12847 | PA      | $1450.45      | 0.00%             | 2037-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 7/23 #184077                                                | CUSIP: 362165M25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.64         | 0.00%             | 2023-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/45#AZ9583                                              | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29788 | PA      | $28873.99     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 11/01/2044#AX6493                                       | CUSIP: 3138Y8GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2729 | PA      | $2727.39      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 10/40 #AE3832                                               | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4394 | PA      | $4370.29      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 06/15/2043#AD3626                                       | CUSIP: 36180FA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7976 | PA      | $7390.09      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 11/47#V84700                                            | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71332 | PA      | $67066.86     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 09/01/2041#G60405                                       | CUSIP: 31335ANW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70442 | PA      | $70086.94     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/01/2051#                                             | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106699 | PA      | $98217.24     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/28 #190294                                                | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $105.07       | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 0.0% 07/01/2041#1B8505                                        | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8396 | PA      | $8457.13      | 0.00%             | 2041-07-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 1ML+595 02/16/2040                      | CUSIP: 38376WKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      49762 | PA      | $3300.06      | 0.00%             | 2040-02-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 3% 02/01/2037#MA2897                                         | CUSIP: 31418CGF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     190461 | PA      | $179728.56    | 0.01%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8% 08/01/2030#                                               | CUSIP: 31297YK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        249 | PA      | $265.02       | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 3/26 #250495                                                | CUSIP: 31371FGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.42        | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/40 #711223                                                | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29718 | PA      | $29423.98     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 11/39 #722699                                               | CUSIP: 3620A83G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2326 | PA      | $2303.96      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 01/01/2052#FS0286                                         | CUSIP: 3140XFJ85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4674630 | PA      | $3867333.24   | 0.11%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/28 #432548                                                | CUSIP: 31379XP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        388 | PA      | $404.05       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 4% 05/20/2049#BN2615                                           | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36281 | PA      | $34934.61     | 0.00%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 9/25 #415993                                                | CUSIP: 36206NC60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        181 | PA      | $183.96       | 0.00%             | 2025-09-15      | Fixed         | 0.07%                 | 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        |     203008 | PA      | $178586.93    | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2.5% 12/01/2052 #TBA                                         | CUSIP: 01F0226C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   89550000 | PA      | $76523268.96  | 2.22%             | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 11/01/2045#Q37070                                       | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7321 | PA      | $6897.10      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/37 #AE0265                                                | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53682 | PA      | $55704.28     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 7/39 #931504                                                | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41145 | PA      | $40872.16     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 04/01/2051#FM6944                                         | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     855883 | PA      | $709946.07    | 0.02%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H17 FA 1ML+33 7/60                                            | CUSIP: 38375BDY5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |    1011992 | PA      | $998294.66    | 0.03%             | 2060-07-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/32 #579242                                                | CUSIP: 36201CP32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        443 | PA      | $465.11       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 12/01/2051#CB2349                                         | CUSIP: 3140QMTF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1713559 | PA      | $1417632.21   | 0.04%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.875% 09/30/2026                                            | CUSIP: 91282CCZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   93224000 | PA      | $83045832.58  | 2.41%             | 2026-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-33 PK 6% 7/29                                                 | CUSIP: 31359WKN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       5292 | PA      | $5370.16      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/24 #190257                                                | CUSIP: 31368HJA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.81         | 0.00%             | 2024-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 07/01/2047#AS9968                                         | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105643 | PA      | $102237.97    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 07/47#MA4587                                                | CUSIP: 36179TCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     192916 | PA      | $186903.53    | 0.01%             | 2047-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 10/01/2051#QD0109                                         | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229667 | PA      | $190076.14    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | 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        |     114533 | PA      | $109216.95    | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 07/01/2032#J37270                                         | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10618 | PA      | $10161.36     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 6.50% 6/27 #256789                                           | CUSIP: 31371NF67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2018 | PA      | $2049.97      | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2045#Q33791                                       | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42977 | PA      | $40515.00     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.0% 07/20/2043#MA1374                                         | CUSIP: 36179NQ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28610 | PA      | $26365.65     | 0.00%             | 2043-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3% 2/1/43 #Q15788                                                 | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10171 | PA      | $9336.50      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 8/34 #G02758                                                | CUSIP: 3128M4MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13561 | PA      | $13692.28     | 0.00%             | 2034-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2040#                                             | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7158 | PA      | $7129.32      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 04/01/2043#AR8236                                       | CUSIP: 3138W6EJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13383 | PA      | $11732.55     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 02/01/2051#SD7532                                         | CUSIP: 3132DVLM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7269359 | PA      | $6050306.03   | 0.18%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 08/01/2035#                                               | CUSIP: 31297SPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        961 | PA      | $970.58       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 04/01/2033#ZS8087                                       | CUSIP: 3132A86Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      91622 | PA      | $86142.06     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-32 PL 6% 7/29                                                 | CUSIP: 31359WHX2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       7183 | PA      | $7292.94      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/25 #250383                                               | CUSIP: 31371FCU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.02        | 0.00%             | 2025-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 2017-PANW D 1ML+1000 12/20/2040         | CUSIP: 38377RBW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     127943 | PA      | $110867.20    | 0.00%             | 2040-12-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A97151                                                | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3278 | PA      | $3262.68      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 08/01/2041#AI5189                                       | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1748 | PA      | $1795.27      | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 12/30 #563583                                               | CUSIP: 31386HCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $180.69       | 0.00%             | 2030-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #404745                                               | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $38.53        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 07/01/2047#MA3058                                         | CUSIP: 31418CMG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1012599 | PA      | $976798.39    | 0.03%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 8/25 #303505                                                | CUSIP: 31373UDJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.81         | 0.00%             | 2025-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/27 #399824                                                | CUSIP: 31378JD53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         21 | PA      | $21.80        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/29 #252806                                               | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $66.71        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 10/01/2033#                                               | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3500 | PA      | $3532.04      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 10/01/2049#QA3907                                         | CUSIP: 31339UKU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     166645 | PA      | $149677.57    | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 10/01/2040#V81966                                       | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18669 | PA      | $17587.97     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/27 #251298                                               | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         84 | PA      | $87.06        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 11/40 #749953                                               | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6418 | PA      | $6204.50      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.25% 11/01/2041#AJ7445                                      | CUSIP: 3138E0HX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5697 | PA      | $5549.24      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 04/01/2046#Q40165                                         | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25381 | PA      | $23099.97     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/01/2042#G07368                                         | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218877 | PA      | $211753.21    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 04/20/2040#004673                                       | CUSIP: 36202FFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7963 | PA      | $7849.70      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 08/01/2051#CB1384                                       | CUSIP: 3140QLRE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3441186 | PA      | $2962973.66   | 0.09%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 7/40 #A92914                                                | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2462 | PA      | $2505.16      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 06/01/2040#                                             | CUSIP: 3129404Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2207 | PA      | $2195.94      | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 10/01/2041#                                               | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22505 | PA      | $19110.65     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5.0% 07/01/2035#843431                                       | CUSIP: 31407XA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78955 | PA      | $79693.95     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/01/2047#BH3646                                       | CUSIP: 3140GSBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6396 | PA      | $6339.53      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2044#AW3982                                       | CUSIP: 3138XTM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2842 | PA      | $2842.56      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 3/36 #003828                                             | CUSIP: 36202EHD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1666 | PA      | $1650.15      | 0.00%             | 2036-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 2/29 #323542                                                | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        419 | PA      | $432.79       | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 02/01/2052#                                               | CUSIP: 3140XFW98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309704 | PA      | $274589.32    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 11/01/2049#CA4557                                       | CUSIP: 3140QCB39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     441878 | PA      | $412208.05    | 0.01%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 6/38 #G05299                                                | CUSIP: 3128M7GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3541 | PA      | $3510.26      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/45#AZ0560                                              | CUSIP: 3138YRTS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13032 | PA      | $12632.45     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3% 03/20/2043#AD8812                                           | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18770 | PA      | $17221.78     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 5/34 #A21977                                                | CUSIP: 31296YFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1829 | PA      | $1846.66      | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 09/01/2043#Q21900                                       | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8524 | PA      | $8302.28      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 10/01/2045#AZ4750                                       | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72599 | PA      | $68285.59     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 1/27 #368821                                                | CUSIP: 31376XVN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        187 | PA      | $193.15       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 9/41 #Q03210                                                | CUSIP: 3132GJGT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4638 | PA      | $4489.84      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 12/40 #AB1887                                               | CUSIP: 31416XCZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1570 | PA      | $1561.93      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 11/29 #C46106                                               | CUSIP: 31298EYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $62.26        | 0.00%             | 2029-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 04/01/2046#BC0824                                       | CUSIP: 3140EU4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132695 | PA      | $124852.77    | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 10/42#AP9654                                            | CUSIP: 3138MDWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6902 | PA      | $6483.44      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE4058                                         | CUSIP: 31419EQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13565 | PA      | $13112.52     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE7386                                         | CUSIP: 31419JF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11664 | PA      | $11270.70     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/40#AE8996                                              | CUSIP: 31419K7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16710 | PA      | $16150.49     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 07/01/2051#                                             | CUSIP: 3132DWB93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3212510 | PA      | $2961418.81   | 0.09%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 5.0% 09/15/2024                         | CUSIP: 31395FLJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      19779 | PA      | $19880.81     | 0.00%             | 2024-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 11/32#BJ6650                                              | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37387 | PA      | $35713.85     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | 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        |        828 | PA      | $865.12       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 12/27 #452821                                               | CUSIP: 36208KAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         99 | PA      | $103.15       | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.54% 4/37 #918912                                            | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1392 | PA      | $1385.76      | 0.00%             | 2037-04-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 4/40 #737177                                                | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31492 | PA      | $31762.23     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2043#Q15992                                       | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19467 | PA      | $18984.79     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 0.5% 11/30/2023                                              | CUSIP: 91282CDM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   63200000 | PA      | $60590531.41  | 1.76%             | 2023-11-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 6/46#V82414                                               | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     357684 | PA      | $325536.52    | 0.01%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 11/20/2047#784391                                         | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     353189 | PA      | $331980.55    | 0.01%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2039#A89270                                       | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7740 | PA      | $7699.81      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2009-116 KF 1ML+53 12/39                                           | CUSIP: 38376PA42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      74801 | PA      | $74489.26     | 0.00%             | 2039-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/41 #Q02387                                                | CUSIP: 3132GFUL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4914 | PA      | $4893.43      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 9/40 #004800                                             | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      96980 | PA      | $93915.31     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2045#Q33547                                       | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     200297 | PA      | $188821.74    | 0.01%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 08/01/2047#CA0181                                         | CUSIP: 3140Q7FX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     495833 | PA      | $478303.02    | 0.01%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 2% 01/01/2053 #TBA                                             | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   77750000 | PA      | $66078861.98  | 1.92%             | 2053-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 04/20/2050#MA6600                                         | CUSIP: 36179VKM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     684704 | PA      | $642518.44    | 0.02%             | 2050-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 6.50% 10/27 #C91134                                          | CUSIP: 3128P7HK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        318 | PA      | $324.21       | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 2.5% 12/01/2052 #TBA                                         | CUSIP: 01F0226C4<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -49600000 | PA      | $-42384747.52 | -1.23%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2502 ZC 6 9/32                                                     | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       4200 | PA      | $4331.62      | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2046#BC9079                                       | CUSIP: 3140F5CR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18128 | PA      | $18023.18     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 10/27 #256946                                               | CUSIP: 31371NL37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        988 | PA      | $1004.98      | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2009-59 HB 5% 8/25/39                                              | CUSIP: 31396QRH4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     773752 | PA      | $775445.60    | 0.02%             | 2039-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2052#SD1924                                         | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9348183 | PA      | $9422251.46   | 0.27%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT 3857 ZP 5% 05/15/2041                          | CUSIP: 3137AAL35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3685130 | PA      | $3750304.77   | 0.11%             | 2041-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 6.34% 9/36 #893580                                            | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        962 | PA      | $966.80       | 0.00%             | 2036-09-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 06/01/2048#BM4426                                       | CUSIP: 3140J84L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     709408 | PA      | $665266.62    | 0.02%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 12/01/2049#QA5521                                         | CUSIP: 3133A0D27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269224 | PA      | $241811.48    | 0.01%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 06/01/2031#J34653                                         | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49090 | PA      | $47102.76     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2033#727221                                       | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4316 | PA      | $4266.91      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 02/20/2043#MA0783                                         | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28689 | PA      | $27262.42     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 9/26 #256469                                                | CUSIP: 31371M2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        535 | PA      | $545.17       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.75% 07/31/2027                                             | CUSIP: 91282CFB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   52600000 | PA      | $50117937.50  | 1.46%             | 2027-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 3.464% 5/1/41#1B8304                                          | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56453 | PA      | $56995.39     | 0.00%             | 2041-05-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 11/35 #843132                                               | CUSIP: 31407WVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7133 | PA      | $7444.47      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #735365                                                | CUSIP: 3620AN6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3418 | PA      | $3385.63      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 8/39 #710776                                                | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3624 | PA      | $3654.00      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 07/01/2045#AZ1783                                       | CUSIP: 3138YS6V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43911 | PA      | $42605.36     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 9/39 #726323                                                | CUSIP: 3620AC4G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1717 | PA      | $1731.17      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.0% 04/01/2045#AY7471                                            | CUSIP: 3138YMJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27587 | PA      | $26792.21     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 03/01/2050#BP2187                                         | CUSIP: 3140K9ND7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216599 | PA      | $194882.84    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP4410                                                | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33822 | PA      | $31738.10     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/01/2045#Q38812                                         | CUSIP: 3132QVYJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9720 | PA      | $9430.91      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2432 FG 1ML+90 3/32                                                | CUSIP: 31339NNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        355 | PA      | $358.24       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 02/20/2043#AD1755                                         | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36608 | PA      | $34500.88     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/28 #433685                                                | CUSIP: 36207JXN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         93 | PA      | $95.58        | 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        |      21796 | PA      | $21046.16     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | 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        |       7849 | PA      | $7735.71      | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 02/01/2042#AJ5602                                       | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     132464 | PA      | $127973.35    | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #737015                                                | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11793 | PA      | $11676.37     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 2/40 #735359                                                | CUSIP: 3620AN5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3777 | PA      | $3740.97      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2145 MZ 6.5% 4/29                                                  | CUSIP: 3133TKE22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      22504 | PA      | $22875.54     | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR0015                                       | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23337 | PA      | $21402.36     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 09/01/2035#AB8197                                       | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23736 | PA      | $23496.55     | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 12/01/2051#BT9503                                         | CUSIP: 3140LYRZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     762533 | PA      | $677027.69    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1ML+ 12/20/2063                           | CUSIP: 38375UCK4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |   13442860 | PA      | $13369791.13  | 0.39%             | 2063-12-20      | Variable      | 0.04%                 | 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        |      17430 | PA      | $16454.21     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                     | LCH OIS SOFRV2.5% MAC 12/21/52                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DO               | CORP              | GB        |    1251000 | NC      | $-37641.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 4/27 #440301                                                | CUSIP: 36207SDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         19 | PA      | $19.46        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2010-160 DY 4% 12/20/2040                                          | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     262755 | PA      | $256227.86    | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 4.5% 12/01/2052 #TBA                                         | CUSIP: 01F0426C2<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -32550000 | PA      | $-31685406.90 | -0.92%            | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 1.75% 07/31/2024                                             | CUSIP: 912828Y87<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1719600 | PA      | $1643494.27   | 0.05%             | 2024-07-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.50% 9/39 #G06670                                                | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35947 | PA      | $38675.65     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 03/01/2033#G18680                                       | CUSIP: 3128MMXJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106590 | PA      | $100302.57    | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.58% 7/35 #995273                                            | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28809 | PA      | $28857.62     | 0.00%             | 2035-07-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2032#C91403                                       | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     504013 | PA      | $487729.55    | 0.01%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2.5% 02/01/2051#SD7535                                       | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2033497 | PA      | $1762981.39   | 0.05%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.50% 10/35 #612663                                               | CUSIP: 36202XTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2992 | PA      | $3079.21      | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 11/39 #726095                                               | CUSIP: 3620ACUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3809 | PA      | $3843.25      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 1.5% 11/01/2040#MA4175                                       | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1917809 | PA      | $1572148.60   | 0.05%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 08/01/2043#AS9172                                         | CUSIP: 3138WKFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4179 | PA      | $4034.12      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-74 SV -1ML+755 11/32                                          | CUSIP: 31392FRK5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6942 | PA      | $288.22       | 0.00%             | 2032-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 07/01/2033#729327                                       | CUSIP: 31402HHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        868 | PA      | $856.50       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 1929 EZ 7.5 2/2027                                                 | CUSIP: 3133T9A39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       9110 | PA      | $9423.64      | 0.00%             | 2027-02-17      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 11/23 #370889                                               | CUSIP: 36204H7A2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          6 | PA      | $6.38         | 0.00%             | 2023-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 02/01/2043#Q15400                                       | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13204 | PA      | $12876.80     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 01/01/2043#Q15372                                       | CUSIP: 3132J6MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3825 | PA      | $3730.50      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/40 #A93505                                                | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3877 | PA      | $3859.87      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 06/01/2042#AO2244                                             | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54772 | PA      | $55411.52     | 0.00%             | 2042-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 04/01/2043#Q17518                                       | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9340 | PA      | $9102.69      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 02/01/2042#MA4540                                         | CUSIP: 31418EBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     911679 | PA      | $772183.16    | 0.02%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 02/01/2035#AB0067                                         | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     239725 | PA      | $241365.00    | 0.01%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 06/47#BE9387                                            | CUSIP: 3140FVND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10208 | PA      | $10139.08     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR7033                                       | CUSIP: 3138W4Y70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14862 | PA      | $13629.64     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 4/28 #462669                                                | CUSIP: 36208V6E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $94.26        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/24 #284385                                                | CUSIP: 31372V2S4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         80 | PA      | $80.13        | 0.00%             | 2024-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR3493                                       | CUSIP: 3138W03B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13765 | PA      | $12623.24     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 9/40#V81958                                             | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33922 | PA      | $31957.03     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 4/40 #739091                                                | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10924 | PA      | $10811.52     | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 09/01/2049#                                               | CUSIP: 31418DFQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53566 | PA      | $48095.56     | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 12/37 #A69815                                               | CUSIP: 3128L13Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3555 | PA      | $3736.78      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 6.00% 5/33 #G01785                                                | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13103 | PA      | $13499.94     | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 11/01/2047#Q52086                                       | CUSIP: 3132XUJ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24496 | PA      | $22893.55     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 3% 12/34#FM0045                                              | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98355 | PA      | $93647.00     | 0.00%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2156 TC 6.25% 5/29                                                 | CUSIP: 3133TKZ78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2904 | PA      | $2984.35      | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 2/41 #004945                                             | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5745 | PA      | $5562.71      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 11/35 #A47571                                               | CUSIP: 3128K8MU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2093 | PA      | $2117.50      | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 01/20/2044#MA1600                                         | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4907 | PA      | $4662.91      | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 01/01/2031#ZS8593                                       | CUSIP: 3132A9RN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14889 | PA      | $14147.37     | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 1.5% 09/30/2024                                              | CUSIP: 912828YH7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13631100 | PA      | $12930908.70  | 0.38%             | 2024-09-30      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 03/01/2052#RA6988                                         | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4397534 | PA      | $3897555.27   | 0.11%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 1999-25 Z 6% 6/29                                                  | CUSIP: 31359VU27<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       5962 | PA      | $5988.79      | 0.00%             | 2029-06-25      | Fixed         | 0.06%                 | 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        |      65048 | PA      | $61389.01     | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 2/40 #706789                                                | CUSIP: 36297BF63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10920 | PA      | $10561.95     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 05/46#MA3664                                                | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63376 | PA      | $61777.46     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AB8529                                       | CUSIP: 31417FPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109244 | PA      | $100185.83    | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 12/01/2051#CB2347                                         | CUSIP: 3140QMTD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4394611 | PA      | $3639792.71   | 0.11%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 12/01/2041#MA4501                                         | CUSIP: 31418EAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23284456 | PA      | $19772638.68  | 0.57%             | 2041-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 5% 06/01/2052#BU8753                                         | CUSIP: 3140MAWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1222192 | PA      | $1236841.42   | 0.04%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/26 #303890                                                | CUSIP: 31373URK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $19.93        | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 07/01/2041#                                               | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21708 | PA      | $18549.13     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2044#AW1064                                       | CUSIP: 3138XQFE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4968 | PA      | $4968.58      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/41#A97555                                            | CUSIP: 312946MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7524 | PA      | $7493.18      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 12/01/2052 #TBA                                             | CUSIP: 21H0306C3<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -37200000 | PA      | $-33552004.32 | -0.98%            | 2052-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2009-108 CF 1ML+60 11/39                                           | CUSIP: 38376ENU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     446045 | PA      | $445231.79    | 0.01%             | 2039-11-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 10/01/2051#QC9114                                         | CUSIP: 3133AUDT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     600642 | PA      | $497100.00    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 05/01/2034#                                               | CUSIP: 31296XSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        920 | PA      | $929.24       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 1/34 #255070                                                | CUSIP: 31371LJP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     135400 | PA      | $140587.13    | 0.00%             | 2034-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 3/42 #783550                                                | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2533 | PA      | $2387.50      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 1.5% 02/01/2041#RB5099                                       | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1992189 | PA      | $1633122.58   | 0.05%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 5/28 #471508                                                | CUSIP: 36209GYD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133 | PA      | $137.35       | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 03/20/2043 #MA1090                                        | CUSIP: 36179NF78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72531 | PA      | $68923.17     | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GNR 2010-H19 FG 1ML+30 8/60                                            | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     988221 | PA      | $975370.35    | 0.03%             | 2060-08-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 8/35 #357953                                                | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1518 | PA      | $1582.95      | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 1ML+ 12/20/2063                           | CUSIP: 38375UDY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     234063 | PA      | $232768.06    | 0.01%             | 2063-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 12/01/2033#                                               | CUSIP: 31296RHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1425 | PA      | $1436.57      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/45#G60179                                              | CUSIP: 31335AFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     331312 | PA      | $322067.50    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-31 ZC 6.5% 7/31                                               | CUSIP: 313920CW8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       3647 | PA      | $3700.23      | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.0% 08/01/2044#Q27808                                       | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5015 | PA      | $4884.05      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 5.00% 10/29 #MA0214                                               | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        912 | PA      | $932.76       | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 01/01/2049#BN4472                                         | CUSIP: 3140JL6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13326 | PA      | $12792.22     | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 05/01/2043#AB9341                                       | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9714 | PA      | $8899.86      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 6/40 #783008                                                | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52042 | PA      | $51547.79     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 07/01/2050#CA6399                                       | CUSIP: 3140QEDD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6941206 | PA      | $6011311.66   | 0.17%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 2/42 #AK3455                                                | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9352 | PA      | $9036.94      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.875% 05/15/2032                                            | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   34392300 | PA      | $32237407.45  | 0.94%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 01/01/2043#AR1276                                       | CUSIP: 3138NXM20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8608 | PA      | $7894.11      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 12/26 #365832                                               | CUSIP: 31376ULM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.43        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #713686                                                | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2416 | PA      | $2387.92      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 10/41 #Q04092                                               | CUSIP: 3132GKF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126687 | PA      | $122601.41    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 10/26 #250701                                               | CUSIP: 31371FNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.47        | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 12/45#BA6404                                              | CUSIP: 3140EBDJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57598 | PA      | $55831.49     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | 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        |        352 | PA      | $364.12       | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.60% 8/35 #735810                                            | CUSIP: 31402RN39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18859 | PA      | $19029.87     | 0.00%             | 2035-08-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 4/1/43 #AT1745                                          | CUSIP: 3138WN5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63415 | PA      | $59845.94     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNMA 2004-24 ZM 5% 04/34                                               | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      36199 | PA      | $35781.38     | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 12ML+187.9 10/42#849255                                       | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122112 | PA      | $122848.22    | 0.00%             | 2042-10-01      | Variable      | 0.04%                 | 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        |      22123 | PA      | $20844.93     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 7/42 #AO9368                                                | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5563 | PA      | $5219.41      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 7/39 #704628                                                | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4219 | PA      | $4252.14      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AB7767                                       | CUSIP: 31417ETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128006 | PA      | $117392.38    | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 1/29 #434145                                                | CUSIP: 36207KHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $27.88        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2002-16 ZD 6.50% 4/32                                              | CUSIP: 31392CVK7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       2646 | PA      | $2736.94      | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 02/01/2048#CA1218                                       | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27481 | PA      | $27202.30     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.64% 1/35 #813730                                            | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4345 | PA      | $4348.41      | 0.00%             | 2035-01-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 03/01/2045#Q32008                                       | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134559 | PA      | $126850.00    | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 09/46#BC2843                                              | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219941 | PA      | $214501.70    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 12/01/2042#AL2860                                       | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9606 | PA      | $8809.40      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 8/41 #Q02592                                                | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27442 | PA      | $27327.56     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 12/27 #423188                                               | CUSIP: 36206WCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $17.94        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 01/46#MA3377                                              | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4128 | PA      | $4023.79      | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 01/01/2052#RA6604                                         | CUSIP: 3133KNKR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37018 | PA      | $32867.29     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55725                                         | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65270 | PA      | $63101.69     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 12/41 #AJ7472                                               | CUSIP: 3138E0JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3554 | PA      | $3438.78      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 11/23 #352026                                               | CUSIP: 36203LA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.00         | 0.00%             | 2023-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 3/41 #A97528                                                | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3689 | PA      | $3674.08      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #729713                                                | CUSIP: 31402HVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1020 | PA      | $1007.42      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 12/39 #AC6795                                               | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33392 | PA      | $33181.97     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 09/01/2035#                                               | CUSIP: 31297S6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.33        | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 4683 LM 3% 05/15/2047                                              | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     211147 | PA      | $200009.31    | 0.01%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 7/23 #124920                                                | CUSIP: 31365DVM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.31         | 0.00%             | 2023-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                           | CUSIP: 3136ANY68<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     147095 | PA      | $26028.21     | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.25% 04/30/2024                                             | CUSIP: 9128286R6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   87730900 | PA      | $84889926.93  | 2.47%             | 2024-04-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2042#AL2266                                       | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63934 | PA      | $60003.27     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 06/01/2052#QE4073                                         | CUSIP: 3133BDQ24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1499119 | PA      | $1517087.57   | 0.04%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 10/40 #AE4428                                               | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6977 | PA      | $6747.70      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2008-2 FD 1ML+48 1/38                                              | CUSIP: 38374DMX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      93511 | PA      | $92984.86     | 0.00%             | 2038-01-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 2/34 #725162                                                | CUSIP: 31402CTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10102 | PA      | $10479.78     | 0.00%             | 2034-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 11/01/2044#Q29663                                       | CUSIP: 3132MAML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34508 | PA      | $34522.07     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 05/01/2030#ZK7367                                       | CUSIP: 3131XBFG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7433 | PA      | $7099.99      | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 11/42#G60488                                              | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     267650 | PA      | $258985.18    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                           | CUSIP: 38380HC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     281922 | PA      | $259525.61    | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 05/20/2047#MA4452                                           | CUSIP: 36179S5M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     356089 | PA      | $344990.81    | 0.01%             | 2047-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 7/27 #190284                                                | CUSIP: 31368HJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $75.86        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 2.625% 07/31/2029                                            | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60609000 | PA      | $56546302.97  | 1.64%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 11/01/2040#AB1801                                       | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201260 | PA      | $194598.30    | 0.01%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 5/27 #379801                                                | CUSIP: 31377K3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        226 | PA      | $234.53       | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 3.50% 10/42 #Q11886                                               | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11027 | PA      | $10360.03     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 08/01/2032#G18654                                       | CUSIP: 3128MMWQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11607 | PA      | $10944.55     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 2% 10/01/2041#                                               | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22711 | PA      | $19285.83     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 12/39 #704808                                               | CUSIP: 36296YAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6344 | PA      | $6275.26      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 04/01/2050#MA3991                                         | CUSIP: 31418DNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98960 | PA      | $88636.84     | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/28 #572167                                               | CUSIP: 31386STY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $53.40        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 06/01/2040#V81792                                       | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92091 | PA      | $86756.95     | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.472% 12/01/2040#AE0653                                      | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86747 | PA      | $87563.60     | 0.00%             | 2040-12-01      | Variable      | 0.04%                 | 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        |      27706 | PA      | $27905.30     | 0.00%             | 2033-06-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 3.25% 05/15/2042                           | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   50665600 | PA      | $45511958.50  | 1.32%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 10/23 #352051                                               | CUSIP: 36203LBU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11 | PA      | $11.12        | 0.00%             | 2023-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 5/29 #252492                                                | CUSIP: 31371HNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $97.40        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 4.801% 2/33 #695019                                           | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12788 | PA      | $12978.13     | 0.00%             | 2033-02-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #719216                                                | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16167 | PA      | $16006.41     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3.5% 06/46#AS7009                                              | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9676 | PA      | $9095.41      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 02/01/2043#AR2943                                       | CUSIP: 3138W0HV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12648 | PA      | $11598.94     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 01/01/2042#AJ5572                                       | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207862 | PA      | $200901.90    | 0.01%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/32 #646414                                                | CUSIP: 31390HDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        105 | PA      | $111.41       | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 3/27 #256708                                                | CUSIP: 31371NDM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2644 | PA      | $2678.19      | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHR 2162 PH 6 6/29                                                     | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       1210 | PA      | $1227.79      | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 9/40 #AE3950                                                | CUSIP: 31419EL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2880 | PA      | $2783.53      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 12/20/2045#MA3311                                           | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4590 | PA      | $4484.52      | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 08/01/2032#J37452                                         | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9927 | PA      | $9500.44      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 2998 LY 5.5 7/25                                                   | CUSIP: 31395VV55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       6783 | PA      | $6940.54      | 0.00%             | 2025-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2012-76 GS -1ML+670 6/42                                           | CUSIP: 38375C5E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      28269 | PA      | $2929.97      | 0.00%             | 2042-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 11/01/2042#AQ4673                                       | CUSIP: 3138MLFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11166 | PA      | $10239.93     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2046#V82292                                         | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57104 | PA      | $55492.80     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 28YR 6.00% 6/36 #889046                                           | CUSIP: 31410GWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     543469 | PA      | $566192.59    | 0.02%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 7/27 #451326                                                | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $42.62        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 6.50% 8/27 #256856                                           | CUSIP: 31371NH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1052 | PA      | $1070.72      | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4.0% 02/15/2045#AL4767                                       | CUSIP: 36184BJL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16533 | PA      | $15994.91     | 0.00%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-14 ZB 5% 3/35                                                 | CUSIP: 31394CXY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     498887 | PA      | $496600.08    | 0.01%             | 2035-03-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 02/01/2044#Q24572                                       | CUSIP: 3132M4W92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3266 | PA      | $3273.01      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4% 04/20/2047#MA4383                                           | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     937110 | PA      | $908782.47    | 0.03%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3258 PM 5.5 12/36                                                  | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       9048 | PA      | $9270.85      | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 01/01/2053 #TBA                                           | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10400000 | PA      | $9653108.40   | 0.28%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3287 SD -1ML+675 3/37                                              | CUSIP: 31397G6Z8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      46440 | PA      | $6380.86      | 0.00%             | 2037-03-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2015-H30 HA VAR 11/20/2065                | CUSIP: 38376RLC8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     152617 | PA      | $146265.21    | 0.00%             | 2062-09-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/01/2047#AS9459                                       | CUSIP: 3138WKQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5482 | PA      | $5438.21      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 10/01/2042#AP3667                                       | CUSIP: 3138M7CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41031 | PA      | $38601.29     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-102 CO 0% 11/35                                               | CUSIP: 31394UHV7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       4215 | PA      | $3585.25      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 2/41 #738002                                                | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5294 | PA      | $5116.31      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 01/15/2047#AX5855                                         | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4282 | PA      | $4129.79      | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 3.50% 12/41 #739352                                               | CUSIP: 3620ATL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18915 | PA      | $17816.11     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 4% 07/15/2046#AT7623                                         | CUSIP: 36194GPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6640 | PA      | $6409.44      | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2% 07/01/2050#CA6275                                         | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     457640 | PA      | $379179.15    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2005-73 SA -1ML+1755 8/35                                          | CUSIP: 31394EB64<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        853 | PA      | $882.58       | 0.00%             | 2035-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 11/28 #457257                                               | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        233 | PA      | $238.10       | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 4/39 #AB0042                                                | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     266069 | PA      | $263176.65    | 0.01%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/30 #590851                                                | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3154 | PA      | $3288.86      | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 10/25 #250359                                               | CUSIP: 31371FB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.26        | 0.00%             | 2025-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3% 05/01/2051#QC1881                                         | CUSIP: 3133ALCS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36663 | PA      | $32660.70     | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE4056                                         | CUSIP: 31419EQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18277 | PA      | $17664.52     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA II 3% 03/20/2043#AA6146                                           | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43262 | PA      | $39692.11     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS         | GNR 2014-25 HC 3% 2/44                                                 | CUSIP: 38379AEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     331807 | PA      | $305971.43    | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #726923                                                | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4784 | PA      | $4728.01      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 1/41 #AH1256                                                | CUSIP: 3138A2ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13630 | PA      | $13172.57     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LN MTG CORP MTN                                  | FED HOME LN MTG CORP 4% 11/25/2024                                     | CUSIP: 3134GXR71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   18000000 | PA      | $17747735.94  | 0.52%             | 2024-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 11/23 #050930                                               | CUSIP: 313615ST4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.49         | 0.00%             | 2023-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4763 SC 1ML+620 08/15/2047              | CUSIP: 3137F3MN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     329366 | PA      | $37503.84     | 0.00%             | 2047-08-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 04/01/2043#MA1412                                       | CUSIP: 31418ASA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8873 | PA      | $7778.67      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/01/2046#G60824                                         | CUSIP: 31335A4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64816 | PA      | $63047.65     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2.75% 05/20/2064                          | CUSIP: 38375UJP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     206407 | PA      | $205776.71    | 0.01%             | 2064-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 3.50% 9/42 #AP6523                                                | CUSIP: 3138MAG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4058 | PA      | $3812.45      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                               | UNITED STATES TREASURY BOND 2.375% 02/15/2042                          | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     353100 | PA      | $275207.87    | 0.01%             | 2042-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 4/35 #735503                                                | CUSIP: 31402RDG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340292 | PA      | $353656.35    | 0.01%             | 2035-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 9/33 #727147                                                | CUSIP: 31402EZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4837 | PA      | $4782.14      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 7/35 #G01838                                                | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      55386 | PA      | $55961.64     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2040#AE0675                                       | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6211 | PA      | $6177.50      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 09/20/2043#MA1285                                         | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     429272 | PA      | $407921.65    | 0.01%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 02/01/2048#G61896                                       | CUSIP: 31335CC93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49238 | PA      | $45985.79     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 08/01/2042#AP0495                                       | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9905 | PA      | $9292.20      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 01/01/2046#Q38296                                         | CUSIP: 3132QVGE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35449 | PA      | $34393.46     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                           | CUSIP: 3136A8PY0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      74126 | PA      | $3436.52      | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 11/34 #605771                                               | CUSIP: 36200N6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        648 | PA      | $673.87       | 0.00%             | 2034-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.87% 7/36 #1B7380                                            | CUSIP: 3128QPSU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20466 | PA      | $20322.28     | 0.00%             | 2036-07-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 5/35 #G01818                                                | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8595 | PA      | $8694.08      | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 2/41 #A96876                                                | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3972 | PA      | $3955.14      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 10/39 #723228                                               | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1857 | PA      | $1871.43      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 11/01/2051#FM9632                                         | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2730007 | PA      | $2437534.01   | 0.07%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 5% 05/01/2052#QE2376                                         | CUSIP: 3133BBT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     537318 | PA      | $543758.04    | 0.02%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 12/01/2032#G18669                                       | CUSIP: 3128MMW74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     491195 | PA      | $463140.67    | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 3/41 #A97620                                                | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1393 | PA      | $1387.22      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FEDERAL NAT MTG ASN GTD REM PA 4% 06/25/2048                           | CUSIP: 3136B2EX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     892997 | PA      | $167766.17    | 0.00%             | 2048-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 10/01/2051#RA6076                                         | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2142946 | PA      | $1770185.74   | 0.05%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 08/01/2051#FM9973                                         | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1622586 | PA      | $1452050.12   | 0.04%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 7/40 #745231                                                | CUSIP: 3620C04Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20048 | PA      | $19856.82     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 2.967% 8/41#AI8879                                            | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4234 | PA      | $4276.59      | 0.00%             | 2041-08-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 02/01/2046#BC0214                                         | CUSIP: 3140EUGY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113431 | PA      | $109951.87    | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 01/01/2048#V83906                                         | CUSIP: 3132L9KT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69530 | PA      | $67002.92     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                   | FHLM ARM 5.12% 10/36 #1A1201                                           | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36523 | PA      | $36503.71     | 0.00%             | 2036-10-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3189 PD 6% 7/36                                                    | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      20310 | PA      | $21103.81     | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 10/41 #479430                                               | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24645 | PA      | $23806.88     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                            | FHR 2043 ZH 6% 4/28                                                    | CUSIP: 3133TDPN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       2552 | PA      | $2588.01      | 0.00%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/40#AE7390                                              | CUSIP: 31419JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21770 | PA      | $21063.25     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                  | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37076 | PA      | $35765.13     | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 20YR 1.5% 04/01/2041#RB5107                                       | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2068440 | PA      | $1690459.02   | 0.05%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2001-52 YZ 6.5% 10/31                                              | CUSIP: 313921MN5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |        950 | PA      | $980.41       | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3% 07/01/2050#CA6312                                         | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1316904 | PA      | $1183639.69   | 0.03%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.50% 8/36 #888034                                                | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23623 | PA      | $24713.80     | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.50% 5/41 #Q00736                                                | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7099 | PA      | $7062.11      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.0% 08/20/2044#MA2149                                         | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29259 | PA      | $28612.73     | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 02/01/2041#AH3520                                       | CUSIP: 3138A44E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15992 | PA      | $15460.04     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 8.00% 7/25 #780195                                                | CUSIP: 36225AGC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.00        | 0.00%             | 2025-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7% 04/01/2032#                                               | CUSIP: 31287RQL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        373 | PA      | $398.24       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 06/01/2031#J34598                                         | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11261 | PA      | $10805.12     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.50% 3/41 #783276                                                | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1822 | PA      | $1804.37      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 06/01/2047#Q48754                                         | CUSIP: 3132WNWQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     947851 | PA      | $918738.29    | 0.03%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 4/42 #AK8237                                                | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48558 | PA      | $46916.86     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 5.00% 6/41 #738418                                                | CUSIP: 3620ASK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1314 | PA      | $1326.09      | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 12/01/2033#AL5321                                       | CUSIP: 3138EM4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8818 | PA      | $8718.72      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 10/01/2040#A94586                                       | CUSIP: 312943CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17512 | PA      | $17439.65     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 05/15/2043#AD9112                                       | CUSIP: 36180NDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5073 | PA      | $4807.90      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 4.00% 4/42 #Q07573                                                | CUSIP: 3132GSXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5693 | PA      | $5518.55      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA 1ML+20 04/63                  | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      44043 | PA      | $43223.00     | 0.00%             | 2063-04-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 7% 04/01/2032#                                               | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1267 | PA      | $1341.08      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.50% 4/41 #005017                                             | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54030 | PA      | $53706.18     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 09/01/2043#AS0961                                       | CUSIP: 3138WAB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12995 | PA      | $11905.47     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 04/47#AS9614                                            | CUSIP: 3138WKVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9906 | PA      | $9820.47      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 11/01/2040#AE7374                                         | CUSIP: 31419JFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16657 | PA      | $16105.08     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 6/30 #538847                                                | CUSIP: 31385ATC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $22.58        | 0.00%             | 2030-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/01/2051#                                             | CUSIP: 3140XCYJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69062 | PA      | $63707.45     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 2.5% 07/01/2033#G16661                                       | CUSIP: 3128MFTS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     393167 | PA      | $370711.44    | 0.01%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.50% 12/23 #780863                                               | CUSIP: 36225A5Y2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $15.05        | 0.00%             | 2023-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4% 03/01/2046#AL8321                                         | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214827 | PA      | $209312.76    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA ARM 3.54% 12/39 #AC8301                                           | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2377 | PA      | $2390.53      | 0.00%             | 2039-12-01      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                 | UST NOTES 3.125% 11/15/2028                                            | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12149200 | PA      | $11696927.08  | 0.34%             | 2028-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 06/01/2043#AB9671                                       | CUSIP: 31417GW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70526 | PA      | $66556.33     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 2.4% 03/25/2032                         | CUSIP: 3137H73P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6700000 | PA      | $5692527.70   | 0.17%             | 2032-03-25      | Fixed         | 0.02%                 | 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        |         74 | PA      | $75.58        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 05/01/2035#A38837                                       | CUSIP: 31297UZA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2849 | PA      | $2824.81      | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 20YR 2% 11/01/2040#                                               | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18263 | PA      | $15668.48     | 0.00%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 09/01/2047#Q50433                                         | CUSIP: 3132XSPT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10155 | PA      | $9830.66      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3% 01/01/2053 #TBA                                             | CUSIP: 21H030617<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37200000 | PA      | $33575254.32  | 0.98%             | 2053-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 15YR 2.5% 11/01/2031#AS8387                                       | CUSIP: 3138WJJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17493 | PA      | $16545.13     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 4.00% 11/41 #005233                                            | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11721 | PA      | $11343.87     | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 04/01/2048#Q55661                                         | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39252 | PA      | $37935.90     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.00% 6/41 #AB3143                                                | CUSIP: 31416YP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21580 | PA      | $20878.73     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.0% 5/1/43 #AT2720                                          | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112661 | PA      | $103214.45    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                            | FNR 2008-12 SG -1ML+635 3/38                                           | CUSIP: 31396YMM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      34396 | PA      | $3662.18      | 0.00%             | 2038-03-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES | FNS 359 19 6% 7/35                                                     | CUSIP: 3136FCUL8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       2014 | PA      | $387.07       | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 3.5% 09/01/2051#                                             | CUSIP: 3140XCWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5448970 | PA      | $5017967.95   | 0.15%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 2.5% 12/01/2051#CB2289                                       | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1759383 | PA      | $1510212.74   | 0.04%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 12/01/2046#Q45023                                       | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      81628 | PA      | $76670.55     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 5/26 #303913                                                | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $19.93        | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 6/35 #G01839                                                | CUSIP: 3128LXBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1585 | PA      | $1600.94      | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.00% 6/32 #648542                                                | CUSIP: 31390KP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        386 | PA      | $413.55       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.5% 03/01/2045#AY5719                                       | CUSIP: 3138YKK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19741 | PA      | $19701.46     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 7.00% 3/28 #465988                                                | CUSIP: 36209AUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         66 | PA      | $67.47        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRIVATE EXPORT FUNDING CORP                               | PRIVATE EXPORT FUNDING CORP 1.75% 11/15/2024                           | CUSIP: 742651DX7<br>LEI: CYQE6SAYPFKNQJ6FMH60 | Long             | DBT              | USGSE             | US        |    8660000 | PA      | $8150134.45   | 0.24%             | 2024-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.5% 07/15/2043#AF1083                                       | CUSIP: 36181GFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3037 | PA      | $2878.11      | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII II 3.5% 11/20/2050#MA6997                                         | CUSIP: 36179VX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2360794 | PA      | $2212021.42   | 0.06%             | 2050-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 11/40 #AE3874                                               | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14170 | PA      | $14093.03     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 05/01/2046#G60553                                       | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     935133 | PA      | $882432.34    | 0.03%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 07/20/2040#004737                                       | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        690 | PA      | $680.28       | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 09/01/2034#SB0072                                         | CUSIP: 3132CWCH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3616123 | PA      | $3441887.71   | 0.10%             | 2034-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 30YR 4.0% 03/01/2041#AE1147                                       | CUSIP: 31419BHZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7550 | PA      | $7294.95      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 11/40 #A95028                                               | CUSIP: 312943SR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1795 | PA      | $1828.00      | 0.00%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                 | GNII 30YR 4.5% 11/20/2040#004850                                       | CUSIP: 36202FL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17689 | PA      | $17440.77     | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 6.50% 10/34 #635855                                               | CUSIP: 36291RMC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2044 | PA      | $2153.94      | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 02/01/2048#Q54334                                       | CUSIP: 3132XWY88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293302 | PA      | $273747.90    | 0.01%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 7/35 #826613                                                | CUSIP: 31407CK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        841 | PA      | $878.69       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #726928                                                | CUSIP: 31402ESR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3207 | PA      | $3171.57      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 10/01/2047#Q51189                                         | CUSIP: 3132XTKB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21059 | PA      | $20385.98     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 2% 12/01/2051#QD3434                                         | CUSIP: 3133B0Y72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1262118 | PA      | $1042181.59   | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 9/26 #358464                                                | CUSIP: 31376LFD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $187.36       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 6/41 #G06596                                                | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     293504 | PA      | $299258.05    | 0.01%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     280545 | PA      | $255320.47    | 0.01%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 30YR 3.0% 06/15/2043#AD2454                                       | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8661 | PA      | $8025.27      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD     | FHR 3806 UP 4.5% 2/41                                                  | CUSIP: 3137A6ZL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      45863 | PA      | $45592.23     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 15YR 3% 06/01/2031#J34571                                         | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16667 | PA      | $15992.61     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 03/01/2044#V81065                                       | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3030 | PA      | $3032.86      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4% 02/46#Q38783                                              | CUSIP: 3132QVXM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26809 | PA      | $26011.10     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 7.50% 12/28 #323424                                               | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        164 | PA      | $170.08       | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                            | GNMA 4.00% 8/39 #698479                                                | CUSIP: 36296Q6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3698 | PA      | $3576.94      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 11/01/2040#V82091                                       | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42559 | PA      | $40067.52     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 4.5% 12/01/2040#A95413                                       | CUSIP: 312944AN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4483 | PA      | $4465.30      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 8.5% 05/01/2027#                                             | CUSIP: 31283GYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.19        | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                      | UMBS 30YR 3.5% 01/01/2053 #TBA                                         | CUSIP: 01F032617<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    6000000 | PA      | $5500312.80   | 0.16%             | 2053-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 4.50% 8/33 #726949                                                | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11833 | PA      | $11695.72     | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS     | GOVERNMENT NAT MA 2016-H20 FM 1ML+40 12/20/2062                        | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      42894 | PA      | $42010.88     | 0.00%             | 2062-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                | FNMA 6.00% 10/34 #AL2130                                               | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15169 | PA      | $15755.16     | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                    | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     351396 | PA      | $355816.86    | 0.01%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 5.00% 1/40 #A90893                                                | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14799 | PA      | $15063.93     | 0.00%             | 2040-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                             | FHLG 30YR 3.5% 04/01/2043#Q17578                                       | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24499 | PA      | $23140.87     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2022-12-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer