# EDGAR Filing Document

**Accession Number:** 0001401097
**File Stem:** 0001401097-25-000047
**Filing Date:** 2025-11
**Character Count:** 530430
**Document Hash:** 4f9c34a33e988767e6546aba18412869
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001401097-25-000047.hdr.sgml**: 20251120

**ACCESSION NUMBER**: 0001401097-25-000047

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 33

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251120

**DATE AS OF CHANGE**: 20251120

**EFFECTIVENESS DATE**: 20251120

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Central Investment Portfolios II LLC
- **CENTRAL INDEX KEY:** 0001401097

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22083
- **FILM NUMBER:** 251501652

**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

## Series and Classes Contracts Data

### Fidelity Investment Grade Bond Central Fund (Series ID: S000018830)

| Class ID   | Class Name                                  | Ticker Symbol   |
|:---|:---|:---|
| C000052072 | Fidelity Investment Grade Bond Central Fund |  |

### Fidelity Inflation-Protected Bond Index Central Fund (Series ID: S000036933)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000113010 | Fidelity Inflation-Protected Bond Index Central Fund |  |

?xml version='1.0' encoding='ASCII'? Prospectus - Investment Objective

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

Investment Company Act file number <u>811-22083</u>

<u>Fidelity Central Investment Portfolios II LLC</u>

(Exact name of registrant as specified in charter)

<u>245 Summer St., Boston, Massachusetts 02210</u>

(Address of principal executive offices) &nbsp;&nbsp;&nbsp;&nbsp; (Zip code)

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

<u>617-563-7000</u>

---

| | |
|:---|:---|
| &nbsp;&nbsp;Date of fiscal year end: | &nbsp;&nbsp;September 30 |
| &nbsp;&nbsp;Date of reporting period: | &nbsp;&nbsp;September 30, 2025 |

---

Item 1.

<u>Reports to Stockholders</u>

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF SEPTEMBER 30, 2025 |
| Fidelity® Investment Grade Bond Central Fund<br> **Fidelity® Investment Grade Bond Central Fund true** <br>|

---

This annual shareholder report contains information about Fidelity® Investment Grade Bond Central Fund for the period October 1, 2024 to September 30, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Investment Grade Bond Central Fund  | $0 A | 0.00%B |

---

A Amount represents less than $.50

B Amount represents less than 0.005%

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds advanced for the 12 months ending September 30, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the resumption of policy interest-rate cuts by the U.S. Federal Reserve in September.

• Against this backdrop, the fund also benefited from an overweight in credit risk as credit spreads approached historically tight levels.

• Duration positioning modestly contributed to the fund's performance versus the benchmark Bloomberg U.S. Aggregate Bond Index for the fiscal year, as the fund had a longer-than-benchmark duration and so was more sensitive to interest rates. As the yield curve steepened during the period, the fund's curve positioning also helped.

• Other notable contributors included allocations to securitized products, including outperforming stakes in asset-backed securities and collateralized loan obligations.

• Security selection among investment-grade corporate bonds helped further, with positioning in financial institutions contributing most.

• In contrast, underweight allocations to the industrials and utilities sectors within corporates detracted versus the benchmark.

• Notable changes in positioning included increased exposure to pass-through mortgage-backed securities and other securitized products, and reduced exposure to U.S Treasury debt.

**How did the Fund perform over the past 10 years?**

**CUMULATIVE PERFORMANCE**

September 30, 2015 through September 30, 2025.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Fidelity® Investment Grade Bond Central Fund<br>| $10000 | $10731<br>| $10894<br>| $10843<br>| $12008<br>| $12998<br>| $13151<br>| $11291<br>| $11453<br>| $12870<br>| $13306<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10519<br>| $10527<br>| $10399<br>| $11470<br>| $12271<br>| $12161<br>| $10385<br>| $10452<br>| $11661<br>| $11998<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img116216_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Fidelity® Investment Grade Bond Central Fund | 3.39% | 0.47% | 2.90% |
| Bloomberg U.S. Aggregate Bond Index | 2.88%<br>| -0.45%<br>| 1.84% |

---

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of September 30, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $42068535545<br>|
| Number of Holdings | 4465<br>|
| Total Advisory Fee | $0<br>|
| Portfolio Turnover | 175%<br>|

---

**What did the Fund invest in?** (as of September 30, 2025)

---

| | |
|:---|:---|
| U.S. Government and U.S. Government Agency Obligations | 63.6 |
| AAA | 7.4 |
| AA | 1.0 |
| A | 7.4 |
| BBB | 16.1 |
| BB | 1.6 |
| B | 0.8 |
| Not Rated | 5.2 |

---

---

| |
|:---|
| **QUALITY DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1374_20250930_QD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;U.S. Government and U.S. Government Agency Obligations - 63.6 |
| &nbsp;&nbsp;AAA - 7.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;AA - 1.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;A - 7.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BBB - 16.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;BB - 1.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;B - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Not Rated - 5.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (3.1)%  |
| We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |

---

---

| | |
|:---|:---|
| U.S. Treasury Obligations | 49.9 |
| Corporate Bonds | 23.4 |
| U.S. Government Agency - Mortgage Securities | 13.7 |
| Asset-Backed Securities | 9.5 |
| CMOs and Other Mortgage Related Securities | 6.3 |
| Other Investments | 0.1 |
| Municipal Securities | 0.1 |
| Foreign Government and Government Agency Obligations | 0.1 |
| Options | 0.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img1374_20250930_AA.jpg) <br>|

---

---

| |
|:---|
| U.S. Treasury Obligations - 49.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 23.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Government Agency - Mortgage Securities - 13.7 |
| Asset-Backed Securities - 9.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| CMOs and Other Mortgage Related Securities - 6.3 |
| Other Investments - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Municipal Securities - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Foreign Government and Government Agency Obligations - 0.1 |
| Options - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - (3.1)% |

---

---

| | |
|:---|:---|
| United States | 90.3 |
| Grand Cayman (UK Overseas Ter) | 5.2 |
| Bailiwick Of Jersey | 0.8 |
| Mexico | 0.7 |
| Ireland | 0.6 |
| United Kingdom | 0.6 |
| France | 0.3 |
| Switzerland | 0.3 |
| Germany | 0.3 |
| Others | 0.9 |

---

---

| |
|:---|
| **GEOGRAPHIC DIVERSIFICATION (% of Fund's net assets)** |
| ![](img1374_20250930_GD.jpg) <br>|

---

---

| |
|:---|
| &nbsp;&nbsp;United States - 90.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Grand Cayman (UK Overseas Ter) - 5.2&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Bailiwick Of Jersey - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Mexico - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Ireland - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;United Kingdom - 0.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;France - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| &nbsp;&nbsp;Switzerland - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Germany - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| &nbsp;&nbsp;Others - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 38.2<br>|
| US Treasury Bonds | 11.7<br>|
| Fannie Mae Mortgage pass-thru certificates | 4.3<br>|
| Freddie Mac Gold Pool | 3.6<br>|
| Ginnie Mae II Pool | 3.0<br>|
| Uniform Mortgage Backed Securities | 2.2<br>|
| JPMorgan Chase & Co | 1.1<br>|
| Morgan Stanley | 1.0<br>|
| Freddie Mac Multifamily Structured pass-thru certificates | 1.0<br>|
| Bank of America Corp | 0.9<br>|
|  | 67.0 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img1374_20250930_2.jpg)<br>| ![](img116216_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913751.101 1374-TSRA-1125 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF SEPTEMBER 30, 2025 |
| Fidelity® Inflation-Protected Bond Index Central Fund<br> **Fidelity® Inflation-Protected Bond Index Central Fund true** <br>|

---

This annual shareholder report contains information about Fidelity® Inflation-Protected Bond Index Central Fund for the period October 1, 2024 to September 30, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Inflation-Protected Bond Index Central Fund  | $0 A | 0.00%B |

---

A Amount represents less than $.50

B Amount represents less than 0.005%

**What affected the Fund's performance this period?**

• U.S. taxable investment-grade bonds advanced for the 12 months ending September 30, 2025, navigating tariff-related uncertainty since late 2024 but buoyed by relatively stable consumer inflation, a resilient economy and the resumption of policy interest-rate cuts by the U.S. Federal Reserve in September. Within this environment, U.S. Treasury Inflation-Protected Securities outperformed investment-grade securities.

• Against that backdrop, we constructed the portfolio using optimization. This approach minimizes the differences between risk exposures of the fund relative to the index. We attempt to hold all positions held by the index in the same relative proportions.

• Exposures include duration, key-rate durations and other factors.

**How did the Fund perform over the past 10 years?**

**CUMULATIVE PERFORMANCE**

September 30, 2015 through September 30, 2025.

Initial investment of $10,000.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Fidelity® Inflation-Protected Bond Index Central Fund<br>| $10000 | $10492<br>| $10464<br>| $10504<br>| $11118<br>| $11956<br>| $12643<br>| $11699<br>| $11950<br>| $13027<br>| $13716<br>|
| Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 1-10 Year Index<br>| $10000 | $10483<br>| $10469<br>| $10503<br>| $11106<br>| $11967<br>| $12655<br>| $11713<br>| $11960<br>| $13038<br>| $13724<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10519<br>| $10527<br>| $10399<br>| $11470<br>| $12271<br>| $12161<br>| $10385<br>| $10452<br>| $11661<br>| $11998<br>|
|  | 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 |

---

![](img116218_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | | |
|:---|:---|:---|:---|
|  | **1 Year** | **5 Year** | **10 Year** |
| Fidelity® Inflation-Protected Bond Index Central Fund | 5.29% | 2.78% | 3.21% |
| Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 1-10 Year Index | 5.27%<br>| 2.78%<br>| 3.22% |
| Bloomberg U.S. Aggregate Bond Index | 2.88%<br>| -0.45%<br>| 1.84% |

---

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of September 30, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $748035784<br>|
| Number of Holdings | 33<br>|
| Total Advisory Fee | $0<br>|
| Portfolio Turnover | 56%<br>|

---

**What did the Fund invest in?** (as of September 30, 2025)

---

| | |
|:---|:---|
| **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** | **COUPON DISTRIBUTION** <br> **(% of Fund's net assets)** |
| 0.01 - 0.99% | 45.8 |
| 1 - 1.99% | 35.2 |
| 2 - 2.99% | 16.1 |
| 3 - 3.99% | 2.4 |

---

U.S. Treasury Obligations 99.5 <br> Short-Term Investments and Net Other Assets (Liabilities) 0.5

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's net assets)** |
| ![](img2398_20250930_AA.jpg) <br>|

---

U.S. Treasury Obligations - 99.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> Short-Term Investments and Net Other Assets (Liabilities) - 0.5 <br>

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Notes | 93.0<br>|
| US Treasury Bonds | 6.5<br>|
|  | 99.5 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. |
| ![](img2398_20250930_2.jpg)<br>| ![](img116218_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9913781.101 2398-TSRA-1125 <br>|

---

Item 2.

<u>Code of Ethics</u>

As of the end of the period, September 30, 2025, Fidelity Central Investment Portfolios II LLC (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3.

<u>Audit Committee Financial Expert</u>

The Board of Trustees of the trust has determined that Laura M. Bishop is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Bishop is independent for purposes of Item 3 of Form N-CSR.

Item 4.

<u>Principal Accountant Fees and Services</u>

<u>Fees and Services</u>

The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") in each of the last two fiscal years for services rendered to Fidelity Inflation-Protected Bond Index Central Fund and Fidelity Investment Grade Bond Central Fund (the "Fund(s)"):

**<u>Services Billed by Deloitte Entities</u>**

**<u>September 30, 2025 Fees</u><sup>A</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;**Audit Fees** | &nbsp;&nbsp;**Audit-Related Fees** | &nbsp;&nbsp;**Tax Fees** | &nbsp;&nbsp;**All Other Fees** |
| &nbsp;&nbsp;Fidelity Inflation-Protected Bond Index Central Fund | &nbsp;&nbsp;$45600  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$10300  | &nbsp;&nbsp;$700  |
| &nbsp;&nbsp;Fidelity Investment Grade Bond Central Fund | &nbsp;&nbsp;$76100  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$9500  | &nbsp;&nbsp;$1100  |

---

**<u>September 30, 2024 Fees</u><sup>A</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;**Audit Fees** | &nbsp;&nbsp;**Audit-Related Fees** | &nbsp;&nbsp;**Tax Fees** | &nbsp;&nbsp;**All Other Fees** |
| &nbsp;&nbsp;Fidelity Inflation-Protected Bond Index Central Fund | &nbsp;&nbsp;$43700  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$10500  | &nbsp;&nbsp;$1100  |
| &nbsp;&nbsp;Fidelity Investment Grade Bond Central Fund | &nbsp;&nbsp;$73600  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$9700  | &nbsp;&nbsp;$1700  |

---

<sup>A</sup> Amounts may reflect rounding.

The following table(s) present(s) fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Management & Research Company LLC ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) ("Fund Service Providers"):

**<u>Services Billed by Deloitte Entities</u>**

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp;**<u>September 30, 2025</u><sup>A</sup>** | &nbsp;&nbsp;**<u>September 30, 2024</u><sup>A</sup>** |
| &nbsp;&nbsp;Audit-Related Fees | &nbsp;&nbsp;$125000 | &nbsp;&nbsp;$125000 |
| &nbsp;&nbsp;Tax Fees | &nbsp;&nbsp;$- | &nbsp;&nbsp;$- |
| &nbsp;&nbsp;All Other Fees | &nbsp;&nbsp;$1970400 | &nbsp;&nbsp;$2929500 |

---

<sup>A</sup> Amounts may reflect rounding.

"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.

"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.

"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.

Assurance services must be performed by an independent public accountant.

\* \* \*

The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund(s), FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**<u>Billed By</u>** | &nbsp;&nbsp;**<u>September 30, 2025</u><sup>A</sup>** | &nbsp;&nbsp;**<u>September 30, 2024</u><sup>A</sup>** |
| &nbsp;&nbsp;Deloitte Entities | &nbsp;&nbsp;$2453800  | &nbsp;&nbsp;$5208000  |

---

<sup>A</sup> Amounts may reflect rounding.

The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.

<u>Audit Committee Pre-Approval Policies and Procedures</u>

The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.

All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.

Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.

<u>Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")</u>

There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's(s') last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).

The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the "PCAOB") has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.

The Registrant is not a "foreign issuer," as defined in 17 CFR 240.3b-4.

Item 5.

<u>Audit Committee of Listed Registrants</u>

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable.

Item 7.

<u>Financial Statements and Financial Highlights for Open-End Management Investment Companies</u>

**Fidelity® Investment Grade Bond Central Fund**

**Annual Report**

**September 30, 2025**

![](img116050_1.jpg)

![](img116050_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_TP1-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Investment Grade Bond Central Fund](#Sub_Sec_Fund_1374_TP1-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements1374_TP1-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_TP1-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_TP1-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_TP1-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_TP1-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_TP1-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_TP1-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)**

**Fidelity® Investment Grade Bond Central Fund**

**Schedule of Investments September 30, 2025**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 9.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 9.5%** | &nbsp;&nbsp;**Asset-Backed Securities - 9.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.8%  |  |  |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.682% 7/20/2037 (b)(c)(d) | 28099438 | 28194667 |
| Aimco Clo 19 Ltd / Aimco Clo 19 LLC Series 2024-19A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6755% 10/20/2037 (b)(c)(d) | 10259000 | 10299287 |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.8255% 4/19/2037 (b)(c)(d) | 55620000 | 55846930 |
| Bain Cap Cr Clo Ltd / Bain Cap Cr Clo LLC Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.5543% 7/18/2038 (b)(c)(d) | 31507000 | 31614281 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.6755% 10/20/2037 (b)(c)(d) | 32753000 | 32850309 |
| Cedar Funding Series 2024-18A Class A, CME Term SOFR 3 month Index + 1.55%, 5.869% 4/23/2037 (b)(c)(d) | 60600000 | 60806405 |
| Dryden 108 Clo Ltd / Dryden 108 Clo LLC Series 2024-108A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.689% 7/18/2037 (b)(c)(d) | 51421000 | 51602310 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.6476% 1/15/2038 (b)(c)(d) | 27814000 | 27942389 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.6655% 10/20/2037 (b)(c)(d) | 28343000 | 28412412 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.8355% 7/20/2037 (b)(c)(d) | 24935000 | 25051646 |
| TOTAL BAILIWICK OF JERSEY |  | 352620636 |
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (b) | 4995535 | 5066859 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (b) | 8039741 | 8141366 |
| TOTAL CANADA |  | 13208225 |
| GRAND CAYMAN (UK OVERSEAS TER) - 5.2%  |  |  |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.6624% 7/17/2037 (b)(c)(d) | 18929000 | 18998318 |
| Aimco Clo 14 Ltd / Aimco Clo 14 LLC Series 2021-14A Class A, CME Term SOFR 3 month Index + 1.2516%, 5.5771% 4/20/2034 (b)(c)(d) | 46919000 | 46919000 |
| Aimco Clo 14 Ltd / Aimco Clo 14 LLC Series 2025-14A Class A1R, CME Term SOFR 3 month Index + 1.22%, 1.22% 10/20/2038 (b)(c)(d) | 46919000 | 46939505 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.8178% 4/16/2037 (b)(c)(d) | 35255000 | 35397536 |
| Allegro Clo Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.34%, 5.6577% 7/20/2038 (b)(c)(d) | 21007000 | 21060253 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 5.6215% 7/15/2038 (b)(c)(d) | 36024000 | 36185640 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.6876% 10/15/2037 (b)(c)(d) | 19036000 | 19148750 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 5.5576% 4/15/2038 (b)(c)(d) | 28873000 | 28912787 |
| Ares XLI Clo Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.6492% 4/15/2034 (b)(c)(d) | 29947000 | 29970059 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 5.5776% 1/15/2038 (b)(c)(d) | 17946000 | 17975055 |
| Barings Clo Ltd Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.75%, 6.0755% 1/20/2037 (b)(c)(d) | 42652000 | 42770018 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.6955% 10/20/2037 (b)(c)(d) | 28775000 | 28902732 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5413% 7/24/2035 (b)(c)(d) | 28623000 | 28563493 |
| Beechwood Park Clo Ltd Series 2022-1A Class A1R, CME Term SOFR 3 month Index + 1.3%, 5.6224% 1/17/2035 (b)(c)(d) | 40918000 | 40994107 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.7092% 1/15/2035 (b)(c)(d) | 22234000 | 22260903 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 5.6355% 1/20/2038 (b)(c)(d) | 22613000 | 22676678 |
| Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.7285% 7/25/2037 (b)(c)(d) | 38098000 | 38219533 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 5.5185% 1/25/2038 (b)(c)(d) | 26883000 | 26903485 |
| Cedar Fdg Xvii Clo Ltd Series 2025-17A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6755% 7/20/2038 (b)(c)(d) | 25314000 | 25403080 |
| Cedar Funding Ltd Series 2022-15A Class A, CME Term SOFR 3 month Index + 1.32%, 5.6455% 4/20/2035 (b)(c)(d) | 35314000 | 35313859 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.6855% 10/20/2037 (b)(c)(d) | 21787000 | 21847437 |
| CEDF Series 2021-6A Class ARR, CME Term SOFR 3 month Index + 1.3116%, 5.6371% 4/20/2034 (b)(c)(d) | 27644000 | 27644000 |
| Cifc Funding 2025-Vi Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.25%, 1.25% 10/23/2038 (b)(c)(d)(e) | 18542000 | 18550084 |
| CIFC Funding Ltd Series 2025-5A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 5.3593% 10/15/2038 (b)(c)(d) | 27911000 | 27977149 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 5.2695% 4/18/2035 (b)(c)(d) | 33197000 | 33236172 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 5.6255% 4/20/2035 (b)(c)(d) | 19817000 | 19819358 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.859% 4/18/2037 (b)(c)(d) | 31605000 | 31720927 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.6976% 7/15/2037 (b)(c)(d) | 37665000 | 37798937 |
| Dryden Senior Loan Fund Series 2021-90A Class A1A, CME Term SOFR 3 month Index + 1.3916%, 5.5952% 2/20/2035 (b)(c)(d) | 14569000 | 14575789 |
| Dryden Senior Loan Fund Series 2024-78A Class A1R, CME Term SOFR 3 month Index + 1.53%, 5.8524% 4/17/2037 (b)(c)(d) | 12000000 | 12032592 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.7076% 10/15/2037 (b)(c)(d) | 29715000 | 29785335 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.6976% 10/15/2037 (b)(c)(d) | 32919000 | 32992146 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 5.4434% 4/15/2038 (b)(c)(d) | 28802000 | 28770577 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2024-1A Class AR, CME Term SOFR 3 month Index + 1.38%, 5.5835% 5/20/2036 (b)(c)(d) | 55130000 | 55240261 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 1.24% 11/20/2038 (b)(c)(d) | 55130000 | 55130000 |
| Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 5.6063% 10/22/2038 (b)(c)(d) | 28157000 | 28278751 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.6855% 10/19/2037 (b)(c)(d) | 32703000 | 32789172 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (b) | 4577101 | 4485515 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.8676% 4/15/2037 (b)(c)(d) | 28432000 | 28504757 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 5.4061% 4/15/2038 (b)(c)(d) | 20845000 | 20855172 |
| Madison Pk Fdg L Ltd / Madison Pk Fdg L LLC Series 2021-50A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.7271% 4/19/2034 (b)(c)(d) | 30470000 | 30495991 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.8285% 4/25/2037 (b)(c)(d) | 36634000 | 36762659 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 5.3976% 7/15/2034 (b)(c)(d) | 27800000 | 27820350 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 5.6385% 7/25/2038 (b)(c)(d) | 28737000 | 28838240 |
| Magnetite CLO Ltd Series 2024-30A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6685% 10/25/2037 (b)(c)(d) | 32900000 | 32983073 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 5.435% 4/15/2038 (b)(c)(d) | 20150000 | 20150866 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 5.6085% 1/25/2038 (b)(c)(d) | 18369000 | 18418853 |
| Magnetite XXI Ltd Series 2021-21A Class AR, CME Term SOFR 3 month Index + 1.2816%, 5.6071% 4/20/2034 (b)(c)(d) | 25147000 | 25157864 |
| Magnetite Xxiii Ltd Series 2021-23A Class AR, CME Term SOFR 3 month Index + 1.3916%, 5.7101% 1/25/2035 (b)(c)(d) | 23616000 | 23637065 |
| Magnetite Xxix Ltd / Magnetite Xxix LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.6676% 7/15/2037 (b)(c)(d) | 28521000 | 28607818 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 5.4685% 1/25/2038 (b)(c)(d) | 27555000 | 27558059 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 5.5576% 1/15/2038 (b)(c)(d) | 37187000 | 37263940 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 5.2849% 4/15/2038 (b)(c)(d) | 34398000 | 34419877 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.729% 7/18/2038 (b)(c)(d) | 28786000 | 28858973 |
| OCP Clo Ltd Series 2025-44A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5622% 10/24/2038 (b)(c)(d) | 29697000 | 29750633 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 5.622% 1/22/2038 (b)(c)(d) | 33564000 | 33692181 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 5.5555% 4/20/2038 (b)(c)(d) | 18959000 | 18977750 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 5.6555% 10/20/2037 (b)(c)(d) | 26023000 | 26081916 |
| OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.8255% 4/20/2037 (b)(c)(d) | 41264000 | 41429634 |
| OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.9755% 4/20/2037 (b)(c)(d) | 2187000 | 2192117 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.3435% 2/20/2038 (b)(c)(d) | 26623000 | 26609635 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 5.649% 1/18/2038 (b)(c)(d) | 11276000 | 11302307 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 5.2277% 7/15/2033 (b)(c)(d) | 28000000 | 27997452 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 5.3176% 1/15/2033 (b)(c)(d) | 14629752 | 14637638 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 5.0114% 2/15/2033 (b)(c)(d) | 31071365 | 31037933 |
| Peace Park Clo Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.4104% 10/20/2038 (b)(c)(d) | 26956000 | 27035520 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (b) | 15234121 | 14747086 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.6676% 10/15/2039 (b)(c)(d) | 14403000 | 14451553 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.6576% 1/15/2037 (b)(c)(d) | 38243000 | 38282390 |
| Sixth Street Clo Xix Ltd Series 2025-19A Class A1R, CME Term SOFR 3 month Index + 1.28%, 5.5639% 7/17/2038 (b)(c)(d) | 18120000 | 18166043 |
| Sixth Street Clo Xviii Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.25%, 5.4595% 10/17/2038 (b)(c)(d) | 27844000 | 27902166 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.5829% 7/17/2038 (b)(c)(d) | 23436000 | 23512683 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.8376% 4/15/2037 (b)(c)(d) | 25363000 | 25453318 |
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC Series 2021-26A Class AR, CME Term SOFR 3 month Index + 1.3416%, 5.6671% 4/20/2033 (b)(c)(d) | 22814824 | 22820277 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 5.96% 9/15/2038 (b)(d) | 11071682 | 11065273 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (b) | 13975378 | 13566221 |
| Trapeza Cdo Xii Ltd Series 2007-12A Class B, CME Term SOFR 3 month Index + 0.8216%, 5.1074% 4/6/2042 (b)(c)(d) | 3641000 | 2867189 |
| Voya CLO Ltd Series 2023-1A Class A1, CME Term SOFR 3 month Index + 1.8%, 6.1255% 1/20/2037 (b)(c)(d) | 32560000 | 32637460 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.8376% 4/15/2037 (b)(c)(d) | 24125000 | 24211319 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 5.6355% 1/20/2038 (b)(c)(d) | 10748000 | 10792260 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 2147742504 |
| IRELAND - 0.0%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (b) | 11776851 | 11963983 |
| MULTI-NATIONAL - 0.2%  |  |  |
| Aimco Clo 21 Ltd / Aimco Clo 21 LLC Series 2024-21A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.829% 4/18/2037 (b)(c)(d) | 24647000 | 24747190 |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 5.5055% 4/20/2038 (b)(c)(d) | 25047000 | 25037457 |
| Ares Ln Fdg V Ltd / Ares Ln Fdg V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.8185% 7/27/2037 (b)(c)(d) | 32417000 | 32529001 |
| Ocp Clo 2018-15 Ltd Series 2025-15A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5755% 1/20/2038 (b)(c)(d) | 18401000 | 18428160 |
| TOTAL MULTI-NATIONAL |  | 100741808 |
| UNITED STATES - 3.3%  |  |  |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (b) | 20872359 | 21552059 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (b) | 19077047 | 19698283 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (b) | 17540444 | 17923595 |
| AASET Trust Series 2019-2 Class A, 3.376% 10/16/2039 (b) | 2660677 | 2634115 |
| AASET Trust Series 2019-2 Class B, 4.458% 10/16/2039 (b) | 972295 | 948036 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (b) | 12764019 | 12239668 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (b) | 34414812 | 32434082 |
| AASET Trust Series 2022-1A Class A, 6% 5/16/2047 (b) | 18565933 | 18920765 |
| Achv Abs Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (b) | 2379245 | 2400898 |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (b) | 20700000 | 20794622 |
| Affirm Master Trust Series 2025-2A Class A, 4.67% 7/15/2033 (b) | 9100000 | 9154013 |
| Affirm Master Trust Series 2025-3A Class A, 4.45% 10/16/2034 (b) | 10000000 | 9986872 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  | 17014886 | 17124969 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (b) | 23667189 | 24226627 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (b) | 2516523 | 2476129 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class B, 4.335% 1/16/2040 (b) | 518278 | 499463 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (b) | 5204665 | 5246289 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (b) | 8630000 | 8660618 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (b) | 9203147 | 9225480 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (b) | 4629297 | 4663714 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (b) | 25010128 | 23630809 |
| Blackbird Capital Aircraft Lease Securitization Ltd Series 2016-1A Class A, 4.213% 12/16/2041 (b)(f) | 8099493 | 8102085 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (b) | 7012000 | 7081435 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 15438842 | 15646381 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 2003679 | 2010134 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 4752000 | 4809619 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (b) | 3551213 | 3505040 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (b) | 10965708 | 10691658 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (b) | 10307675 | 9792399 |
| Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/2046 (b) | 730780 | 726280 |
| CFMT LLC Series 2023-HB12 Class A, 4.25% 4/25/2033 (b) | 297663 | 297446 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (b) | 9000000 | 9072570 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (b) | 35402525 | 35004247 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (b) | 11772338 | 10450254 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (b) | 11583688 | 11276354 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (b) | 13745000 | 13811838 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (b) | 7087997 | 7177533 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (b) | 5125734 | 5150438 |
| Domino's Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/2049 (b) | 20812800 | 20023864 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.8276% 7/15/2037 (b)(c)(d) | 30522000 | 30608438 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (b) | 14475416 | 14693313 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (b) | 5452014 | 5478681 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (b) | 10500000 | 10706252 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 3651291 | 3664155 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 2590000 | 2615741 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 2400000 | 2415858 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (b) | 31100000 | 31246643 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (b) | 40229080 | 41060872 |
| GM Financial Leasing Trust Series 2023-3 Class A3, 5.38% 11/20/2026  | 1533907 | 1535612 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (b) | 23130000 | 23460234 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 5.4985% 1/25/2038 (b)(c)(d) | 28775000 | 28760814 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (b) | 8822600 | 8712234 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (b) | 6400000 | 6448082 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A3, 5.41% 5/17/2027 (b) | 7900000 | 7956374 |
| Hyundai Auto Lease Securitization Trust Series 2024-C Class A3, 4.62% 4/17/2028 (b) | 10800000 | 10872621 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (b) | 24571525 | 25044321 |
| Jersey Mike's Funding Series 2025-1A Class A2, 5.61% 8/16/2055 (b) | 17600000 | 17949585 |
| Long Beach Mortgage Loan Trust Series 2003-3 Class M1, CME Term SOFR 1 month Index + 1.2395%, 5.3974% 7/25/2033 (c)(d) | 344790 | 343080 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  | 19400000 | 19648576 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (b) | 5958935 | 5994975 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (b) | 12332387 | 12429398 |
| Navigator Aircraft Abs Ltd Series 2025-1 Class A, 5.107% 10/15/2050 (b) | 42746000 | 42882787 |
| Nissan Master Owner Tr Receivable Series 2024-B Class A, 5.05% 2/15/2029 (b) | 18500000 | 18738905 |
| OCCU Auto Receivables Trust Series 2025-1A Class A3, 4.81% 11/15/2029 (b) | 2900000 | 2921934 |
| OCP CLO Ltd Series 2025-8RA Class AR2, CME Term SOFR 3 month Index + 1.22%, 0% 10/17/2038 (b)(c)(d) | 27412000 | 27412000 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (b) | 3370484 | 3419442 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (b) | 5249330 | 5373014 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (b) | 21683155 | 20795147 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2I, 3.251% 12/5/2051 (b) | 31750430 | 31203481 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (b) | 19748725 | 18411458 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.7953% 7/25/2054 (b)(c)(d) | 8489769 | 8493513 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (b)(d) | 6238950 | 6161798 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (b) | 8778528 | 8813959 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class A, 3.228% 3/15/2040 (b) | 13330757 | 12734339 |
| SAPPHIRE AVIATION FINANCE Series 2020-1A Class B, 4.335% 3/15/2040 (b) | 1243035 | 1141255 |
| SBA Tower Trust Series 2020, 1.884% 7/15/2050 (b) | 10516000 | 10436286 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (b) | 8041000 | 7641802 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (b) | 15300000 | 15403936 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 14200000 | 14241911 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (b) | 10287345 | 10341835 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (b) | 10479000 | 10601828 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (b) | 19338854 | 19838104 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (b) | 9493875 | 8870175 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (b) | 26001515 | 27146793 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (b) | 49872133 | 50569460 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (b) | 29648953 | 30416528 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (b) | 35788558 | 35650016 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (b) | 42575273 | 42581680 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (b) | 17650620 | 17702102 |
| Taco Bell Fdg LLC Series 2025-1A Class A2I, 4.821% 8/25/2055 (b) | 40265000 | 40358157 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 5.1324% 9/25/2034 (c)(d) | 47509 | 50651 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (b) | 23451484 | 23753206 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (b) | 10224811 | 10348027 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (b) | 8457306 | 8755411 |
| World Omni Auto Receivables Trust 2023-B Series 2023-B Class A3, 4.66% 5/15/2028  | 11018145 | 11043773 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 7168538 | 7210443 |
| TOTAL UNITED STATES |  | 1362181696 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $3,976,731,103) |  | <br> **3988458852** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Capital One NA ICE IBA - USD SOFR SPREAD-ADJ ICE SWAP RATE 5Y + 1.73%, 5.974% 8/9/2028 (c)(d) | 23162000 | 23983706 |
| KeyBank NA/Cleveland OH 6.95% 2/1/2028  | 850000 | 895820 |
| Regions Bank/Birmingham AL 6.45% 6/26/2037  | 30566000 | 33503337 |
| <br> **TOTAL BANK NOTES**<br> (Cost $58,089,770) |  | <br> **58382863** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.4%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 6.115% 1/25/2061 (b) | 2110685 | 2110219 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (b) | 8431170 | 7479671 |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (b) | 12435030 | 11641658 |
| Bravo Residential Funding Trust Series 2022-RPL1 Class A1, 2.75% 9/25/2061 (b) | 12158275 | 11225664 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (b)(d) | 9021847 | 8889110 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(d) | 4651082 | 4631221 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 24376 | 24781 |
| Fannie Mae Guaranteed REMIC Series 1999-25 Class Z, 6% 6/25/2029  | 29355 | 29605 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 37526 | 38274 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 26714 | 27231 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 38317 | 39110 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 15518 | 15766 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 5665 | 5885 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 19594 | 20337 |
| Fannie Mae Guaranteed REMIC Series 2002-18 Class FD, U.S. 30-Day Avg. SOFR Index + 0.9145%, 5.2705% 2/25/2032 (c)(d) | 4118 | 4125 |
| Fannie Mae Guaranteed REMIC Series 2002-39 Class FD, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.501% 3/18/2032 (c)(d) | 7296 | 7353 |
| Fannie Mae Guaranteed REMIC Series 2002-60 Class FV, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4705% 4/25/2032 (c)(d) | 7758 | 7808 |
| Fannie Mae Guaranteed REMIC Series 2002-63 Class FN, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4705% 10/25/2032 (c)(d) | 9212 | 9273 |
| Fannie Mae Guaranteed REMIC Series 2002-7 Class FC, U.S. 30-Day Avg. SOFR Index + 0.8645%, 5.2205% 1/25/2032 (c)(d) | 3638 | 3641 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.0795% 11/25/2032 (d)(h) | 7135 | 191 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6295% 12/25/2033 (d)(h) | 159741 | 19945 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6295% 3/25/2033 (d)(h) | 8542 | 933 |
| Fannie Mae Guaranteed REMIC Series 2005-102 Class CO, 0% 11/25/2035 (g) | 19819 | 17236 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.2495% 6/25/2035 (d)(h) | 193471 | 13540 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class ZC, 5.5% 8/25/2035  | 611969 | 634455 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index x 17.2524%, 5.9267% 8/25/2035 (c)(d) | 3820 | 4031 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 390103 | 395140 |
| Fannie Mae Guaranteed REMIC Series 2005-81 Class PC, 5.5% 9/25/2035  | 73853 | 75793 |
| Fannie Mae Guaranteed REMIC Series 2006-104 Class GI, 6.5655% - U.S. 30-Day Avg. SOFR Index 2.2095% 11/25/2036 (d)(h) | 118115 | 10127 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.1695% 12/25/2036 (d)(h) | 70055 | 6945 |
| Fannie Mae Guaranteed REMIC Series 2006-12 Class BO, 0% 10/25/2035 (g) | 91795 | 82496 |
| Fannie Mae Guaranteed REMIC Series 2006-15 Class OP, 0% 3/25/2036 (g) | 152207 | 131063 |
| Fannie Mae Guaranteed REMIC Series 2006-37 Class OW, 0% 5/25/2036 (g) | 16029 | 13266 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 1.9695% 5/25/2037 (d)(h) | 41591 | 3857 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index x 39.9331%, 13.7969% 6/25/2037 (c)(d) | 31619 | 42961 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SA, U.S. 30-Day Avg. SOFR Index x 38.9131%, 12.7769% 7/25/2037 (c)(d) | 47337 | 63487 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index x 38.9131%, 12.7769% 7/25/2037 (c)(d) | 7911 | 9141 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 216676 | 208713 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 1690288 | 1673970 |
| Fannie Mae Guaranteed REMIC Series 2011-39 Class ZA, 6% 11/25/2032  | 177052 | 182898 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 663418 | 660859 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (h) | 240778 | 4575 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 169398 | 158305 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 224267 | 210284 |
| Fannie Mae Guaranteed REMIC Series 2012-154 Class F, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.7705% 1/25/2043 (c)(d) | 526027 | 513676 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (h) | 818 | 5 |
| Fannie Mae Guaranteed REMIC Series 2013-133 Class IB, 3% 4/25/2032 (h) | 2948 | 9 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 1.5795% 1/25/2044 (d)(h) | 206085 | 23556 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (h) | 1034537 | 147267 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 1205686 | 1152946 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (h) | 595189 | 83711 |
| Fannie Mae Guaranteed REMIC Series 2017-36 Class FB, U.S. 30-Day Avg. SOFR Index + 0.4645%, 4.8205% 5/25/2047 (c)(d) | 1137950 | 1106851 |
| Fannie Mae Guaranteed REMIC Series 2018-32 Class FB, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.7705% 5/25/2048 (c)(d) | 609270 | 590427 |
| Fannie Mae Guaranteed REMIC Series 2018-38 Class FG, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.7705% 6/25/2048 (c)(d) | 1461780 | 1412417 |
| Fannie Mae Guaranteed REMIC Series 2019-82 Class PI, 4% 6/25/2049 (h) | 5231394 | 868344 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 2510703 | 2109827 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 2668157 | 2242141 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 2170807 | 1940163 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 10382218 | 9181875 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 6819845 | 6113750 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 3482360 | 3063132 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 3373226 | 3122323 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 4119932 | 3846423 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 3260967 | 3077498 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 2822170 | 2614840 |
| Fannie Mae Guaranteed REMIC Series 2022-15 Class GC, 3% 1/25/2047  | 4534832 | 4277223 |
| Fannie Mae Guaranteed REMIC Series 2022-17 Class BH, 3% 5/25/2047  | 4919166 | 4692976 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 9811728 | 8819061 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 26963349 | 24012033 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 2517012 | 2233057 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 2897487 | 2848179 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 4073776 | 3556858 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 10781758 | 9699501 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.156% 8/25/2052 (c)(d) | 7506580 | 7413542 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.156% 9/25/2052 (c)(d) | 15961715 | 15763882 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.156% 10/25/2052 (c)(d) | 5302758 | 5248777 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.156% 10/25/2052 (c)(d) | 18648139 | 18415737 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 4775682 | 4421676 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 9892616 | 8999282 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.556% 12/25/2054 (c)(d) | 17345760 | 17376950 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.456% 12/25/2054 (c)(d) | 4750825 | 4753361 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-41 Class J, 7.5% 6/18/2027  | 3042 | 3098 |
| Fannie Mae Mortgage pass-thru certificates Series 1999-57 Class PH, 6.5% 12/25/2029  | 85656 | 87908 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-45 Class OP, 0% 6/25/2036 (g) | 50152 | 42396 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-62 Class KP, 0% 4/25/2036 (g) | 78658 | 66752 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (h) | 121362 | 4236 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-56 Class AH, 2% 5/25/2045  | 2659936 | 2516703 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.556% 9/25/2054 (c)(d) | 4477683 | 4485289 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.756% 2/25/2055 (c)(d) | 6938846 | 6976234 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.756% 9/25/2054 (c)(d) | 7032578 | 7059698 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.556% 2/25/2055 (c)(d) | 9271296 | 9298816 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.506% 2/25/2055 (c)(d) | 3984915 | 3991613 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 3505579 | 3456909 |
| Fannie Mae Series 2022-28 Class A, 2.5% 2/25/2052  | 11433009 | 10904505 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 9413587 | 9355521 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 2199520 | 2036236 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (h) | 39118 | 5444 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (h) | 36781 | 5257 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (d)(h) | 24648 | 4302 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (d)(h) | 14011 | 2088 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (h) | 23462 | 3870 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (d)(h) | 12824 | 2214 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (h) | 158661 | 25220 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class ZH, 6% 4/15/2028  | 7693 | 7824 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2056 Class Z, 6% 5/15/2028  | 27981 | 28493 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 1839887 | 1809775 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2018-4795 Class FA, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.7866% 5/15/2048 (c)(d) | 1001455 | 968398 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 2784627 | 2489442 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 1998720 | 1774091 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 2840542 | 2541794 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 13697 | 14001 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2131 Class BG, 6% 3/15/2029  | 104598 | 107004 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 5443 | 5574 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2137 Class PG, 6% 3/15/2029  | 14655 | 14964 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 29422 | 30097 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 17072 | 17456 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 9634 | 9789 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2303 Class ZV, 6% 4/15/2031  | 10425 | 10709 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 110982 | 114235 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2412 Class FK, U.S. 30-Day Avg. SOFR Index + 0.9145%, 5.2866% 1/15/2032 (c)(d) | 3097 | 3102 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2423 Class FA, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3866% 3/15/2032 (c)(d) | 4238 | 4255 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2424 Class FM, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.4866% 3/15/2032 (c)(d) | 4036 | 4062 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FE, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3866% 6/15/2031 (c)(d) | 6441 | 6463 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0145%, 5.3866% 3/15/2032 (c)(d) | 2216 | 2224 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 28602 | 29523 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2519 Class ZD, 5.5% 11/15/2032  | 41163 | 41941 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 78547 | 81297 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 174328 | 178141 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 38257 | 39295 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 848745 | 864505 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 325254 | 336178 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 543475 | 550622 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 170755 | 175161 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3110 Class OP, 0% 9/15/2035 (g) | 1911 | 1905 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.1134% 2/15/2036 (d)(h) | 53088 | 4859 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3119 Class PO, 0% 2/15/2036 (g) | 187680 | 155513 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3121 Class KO, 0% 3/15/2036 (g) | 24734 | 21819 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3123 Class LO, 0% 3/15/2036 (g) | 102663 | 86208 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3145 Class GO, 0% 4/15/2036 (g) | 116127 | 97975 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 175911 | 183906 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 715949 | 734933 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.1734% 11/15/2036 (d)(h) | 237180 | 21650 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3258 Class PM, 5.5% 12/15/2036  | 51986 | 53554 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.0934% 6/15/2037 (d)(h) | 175659 | 17355 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3366 Class FD, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.7366% 5/15/2037 (c)(d) | 198169 | 195742 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 83487 | 84849 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 826109 | 838920 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 123367 | 122898 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 175534 | 165192 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (h) | 74999 | 4804 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4281 Class AI, 4% 12/15/2028 (h) | 3 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (h) | 89 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (h) | 363284 | 11009 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 334887 | 332673 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 1471382 | 1420525 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4709 Class FE, U.S. 30-Day Avg. SOFR Index + 0.4645%, 4.8366% 8/15/2047 (c)(d) | 555245 | 540592 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4720 Class IO, 4% 9/15/2047 (h) | 6843343 | 1381434 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-4765 Class IB, 4% 3/15/2048 (h) | 6019131 | 1207371 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 809945 | 737576 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5066 Class A, 1.5% 11/25/2044  | 2463253 | 2148941 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 2821710 | 2489573 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 12687021 | 11222286 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 2496741 | 2263579 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 16885135 | 15115853 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 2675535 | 2366101 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 2575899 | 2277850 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 2534222 | 2296140 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 2161733 | 1911059 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 2938379 | 2562060 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 2161743 | 1911061 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 1922325 | 1743138 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 9199790 | 8383124 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 2279982 | 2100519 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 2063785 | 1873777 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 3517949 | 3177933 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class TA, 3.5% 11/25/2046  | 3057387 | 2919236 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 3831676 | 3859330 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 8424612 | 8402961 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.406% 8/25/2053 (c)(d) | 7834400 | 7840188 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.556% 6/25/2054 (c)(d) | 5763576 | 5787252 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 5.356% 10/25/2054 (c)(d) | 3391900 | 3389191 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.456% 11/25/2054 (c)(d) | 6810480 | 6814613 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.556% 2/25/2055 (c)(d) | 3676487 | 3671626 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.606% 10/25/2054 (c)(d) | 6889001 | 6908584 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5506 Class FA, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.506% 2/25/2055 (c)(d) | 16555630 | 16546504 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 5.406% 4/25/2055 (c)(d) | 6819859 | 6810138 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 33014 | 33700 |
| Freddie Mac Non Gold Pool Series 1998-2101 Class PD, 6% 11/15/2028  | 3202 | 3264 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 5023 | 5115 |
| Freddie Mac Non Gold Pool Series 2006-3225 Class EO, 0% 10/15/2036 (g) | 57456 | 47698 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.7595% 5/20/2060 (c)(d)(i) | 270624 | 270345 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.7658% 8/20/2060 (c)(d)(i) | 56815 | 56635 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.8458% 12/20/2060 (c)(d)(i) | 202407 | 202074 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9658% 12/20/2060 (c)(d)(i) | 150505 | 150531 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9658% 2/20/2061 (c)(d)(i) | 168860 | 168880 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.9558% 2/20/2061 (c)(d)(i) | 184690 | 184677 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9658% 4/20/2061 (c)(d)(i) | 167705 | 167738 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.9658% 5/20/2061 (c)(d)(i) | 172122 | 172131 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.9658% 5/20/2061 (c)(d)(i) | 162235 | 162259 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.9958% 6/20/2061 (c)(d)(i) | 156752 | 156842 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 5.0158% 9/20/2061 (c)(d)(i) | 443724 | 444101 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 5.0658% 10/20/2061 (c)(d)(i) | 193706 | 194013 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 5.1658% 11/20/2061 (c)(d)(i) | 196860 | 197360 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 5.1658% 1/20/2062 (c)(d)(i) | 113081 | 113385 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 5.0958% 1/20/2062 (c)(d)(i) | 219836 | 220296 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 5.0958% 3/20/2062 (c)(d)(i) | 126445 | 126609 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 5.1158% 5/20/2061 (c)(d)(i) | 787 | 787 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H23 Class WA, CME Term SOFR 1 month Index + 0.6345%, 4.9858% 10/20/2062 (c)(d)(i) | 5100 | 5106 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H07 Class BA, CME Term SOFR 1 month Index + 0.36%, 4.8258% 3/20/2063 (c)(d)(i) | 6222 | 6208 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H03 Class FA, CME Term SOFR 1 month Index + 0.7145%, 5.0658% 1/20/2064 (c)(d)(i) | 95927 | 96090 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H05 Class FB, CME Term SOFR 1 month Index + 0.7145%, 5.0658% 12/20/2063 (c)(d)(i) | 203993 | 204338 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H11 Class BA, CME Term SOFR 1 month Index + 0.6145%, 4.9658% 6/20/2064 (c)(d)(i) | 154813 | 154848 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class FL, CME Term SOFR 1 month Index + 0.3945%, 4.7458% 5/20/2063 (c)(d)(i) | 8523 | 8487 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (i) | 6523 | 6138 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H19 Class FA, CME Term SOFR 1 month Index + 0.3145%, 4.6658% 4/20/2063 (c)(d)(i) | 8040 | 7899 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H13 Class FB, 1 year U.S. Treasury Index + 0.5%, 4.55% 5/20/2066 (c)(d)(i) | 429474 | 428441 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H20 Class FM, CME Term SOFR 1 month Index + 0.5145%, 4.8658% 12/20/2062 (c)(d)(i) | 30826 | 30694 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 279942 | 256160 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 4.4% 8/20/2066 (c)(d)(i) | 495784 | 493562 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 269330 | 269095 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.2386% 5/16/2034 (d)(h) | 53823 | 3097 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 2.9386% 8/17/2034 (d)(h) | 53720 | 5093 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-35 Class SC, CME Term SOFR 1 month Index x 39.5131%, 14.6315% 6/16/2037 (c)(d) | 1460 | 1693 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.4286% 6/16/2037 (d)(h) | 101718 | 8879 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  | 180218 | 172938 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 2425173 | 2376641 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 535639 | 524327 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.9795% 3/20/2060 (c)(d)(i) | 334140 | 334450 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (h) | 20828 | 716 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 1.8501% 7/20/2041 (d)(h) | 222366 | 22493 |
| Ginnie Mae REMIC pass-thru certificates Series 2012-98 Class FA, CME Term SOFR 1 month Index + 0.5145%, 4.6499% 8/20/2042 (c)(d) | 502970 | 494872 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 823798 | 813021 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 4669526 | 4243171 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 1792996 | 1672733 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 3044940 | 2791069 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 2437289 | 2221069 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 546669 | 505471 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 5834367 | 5205826 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-153 Class GA, 3% 9/20/2047  | 2554471 | 2315035 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-182 Class KA, 3% 10/20/2047  | 2070292 | 1883507 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 2589845 | 2416621 |
| Ginnie Mae REMIC pass-thru certificates Series 2018-13 Class Q, 3% 4/20/2047  | 2324464 | 2182877 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-128 Class FH, CME Term SOFR 1 month Index + 0.6145%, 4.7499% 10/20/2049 (c)(d) | 1353389 | 1328791 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.6999% 2/20/2049 (c)(d) | 2695537 | 2652655 |
| Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.1572% 5/20/2065 (d)(i) | 65080 | 63840 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (b) | 4356885 | 4262864 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (b)(f) | 1072272 | 1055005 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (b) | 6410077 | 6042660 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (b) | 9257547 | 8705385 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (b) | 5326413 | 5038681 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (b)(f) | 2825159 | 2837710 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (b) | 945404 | 939024 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (b) | 1231971 | 1214665 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (b) | 2905135 | 2904322 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (b) | 8943198 | 8583798 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (b) | 2673953 | 2639638 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (b)(d) | 10131457 | 9884966 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (b) | 3002642 | 2825046 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 5.5468% 7/20/2034 (c)(d) | 7947 | 7421 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 4.9124% 9/25/2043 (c)(d) | 429850 | 417149 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (b) | 14685444 | 14123488 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (b)(d) | 5981385 | 6030789 |
| Verus Securitization Trust Series 2025-6 Class A1, 5.417% 7/25/2070 (b)(f) | 6802781 | 6856549 |
| TOTAL UNITED STATES |  | 578044373 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $580,574,530) |  | <br> **578044373** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 4.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.9%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 4.9%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.8936% 6/15/2040 (b)(c)(d) | 15300000 | 15376500 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b) | 13318182 | 12627290 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (b) | 2962000 | 2756509 |
| BANK Series 2017-BNK5 Class ASB, 3.179% 6/15/2060  | 5850084 | 5804655 |
| BANK Series 2018-BN10 Class A4, 3.428% 2/15/2061  | 9802942 | 9634239 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 2858000 | 2685942 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 1867868 | 1816722 |
| BANK Series 2020-BN25 Class XB, 0.5289% 1/15/2063 (d)(h) | 31293000 | 556435 |
| BANK Series 2021-BN33 Class XA, 1.1544% 5/15/2064 (d)(h) | 14014928 | 554420 |
| BANK Series 2021-BN34 Class A4, 2.156% 6/15/2063  | 5000000 | 4453586 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.5057% 9/15/2056 (d) | 17797000 | 19165682 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  | 3240000 | 3214175 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  | 2700000 | 2630689 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.886% 12/15/2062 (d)(h) | 94779322 | 1979059 |
| Benchmark Mortgage Trust Series 2020-B17 Class XA, 1.4937% 3/15/2053 (d)(h) | 95994170 | 4015023 |
| Benchmark Mortgage Trust Series 2020-B18 Class XA, 1.853% 7/15/2053 (d)(h) | 41540251 | 2170470 |
| Benchmark Mortgage Trust Series 2025-V14 Class A3, 5.1761% 4/15/2057  | 10900000 | 11206266 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.4923% 3/15/2041 (b)(c)(d) | 15850161 | 15879868 |
| BMO Mortgage Trust Series 2022-C3 Class ASB, 5.5027% 9/15/2054 (d) | 6607000 | 6847760 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.5221% 6/15/2041 (b)(c)(d) | 22372000 | 22399965 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.7917% 6/15/2041 (b)(c)(d) | 11045000 | 11069161 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 5.9914% 6/15/2041 (b)(c)(d) | 7810000 | 7827084 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.5418% 3/15/2041 (b)(c)(d) | 69907146 | 69950838 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.7915% 5/15/2041 (b)(d) | 39305860 | 39354992 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.1963% 4/15/2034 (b)(c)(d) | 14082756 | 14012343 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.4963% 4/15/2034 (b)(c)(d) | 15742000 | 15584580 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.7963% 4/15/2034 (b)(c)(d) | 10407000 | 10276912 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 6.0963% 4/15/2034 (b)(c)(d) | 10925000 | 10761125 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.9536% 10/15/2036 (b)(c)(d) | 49523000 | 49399495 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 5.1633% 10/15/2036 (b)(c)(d) | 5541000 | 5523684 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 5.3631% 10/15/2036 (b)(c)(d) | 7417000 | 7389186 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.5628% 10/15/2036 (b)(c)(d) | 7201000 | 7173996 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 6.212% 10/15/2036 (b)(c)(d) | 25035000 | 24941119 |
| BX Commercial Mortgage Trust Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.6412% 4/15/2037 (b)(c)(d) | 19891964 | 19898180 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 5.1631% 2/15/2039 (b)(c)(d) | 15215792 | 15201527 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 5.4625% 2/15/2039 (b)(c)(d) | 11022200 | 11008422 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.7119% 2/15/2039 (b)(c)(d) | 11022200 | 11008422 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 6.111% 2/15/2039 (b)(c)(d) | 11022200 | 11008422 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 5.9116% 12/9/2040 (b)(c)(d) | 18400710 | 18423701 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 6.341% 12/9/2040 (b)(c)(d) | 4987717 | 4993952 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.7903% 12/9/2040 (b)(c)(d) | 2203875 | 2208007 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.443% 12/15/2039 (b)(c)(d) | 9650963 | 9675091 |
| BX Commercial Mortgage Trust Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.5935% 4/15/2040 (b)(c)(d) | 62959764 | 63077763 |
| Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.5502% 6/15/2035 (b)(c)(d) | 10999000 | 10981814 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.592% 4/15/2041 (b)(c)(d) | 46105349 | 46221977 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 5.8417% 4/15/2041 (b)(c)(d) | 7347821 | 7354710 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 6.0913% 4/15/2041 (b)(c)(d) | 6100629 | 6108255 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.294% 3/15/2030 (b)(c)(d) | 82918605 | 82737220 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.5436% 3/15/2030 (b)(c)(d) | 13136765 | 13103923 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.6934% 3/15/2030 (b)(c)(d) | 17104291 | 17061530 |
| BX Trust Series 2021-BXMF Class A, CME Term SOFR 1 month Index + 0.7504%, 4.9004% 10/15/2026 (b)(c)(d) | 12443600 | 12428045 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.0655% 2/15/2036 (b)(c)(d) | 7697069 | 7694664 |
| BX Trust Series 2021-SOAR Class A, CME Term SOFR 1 month Index + 0.7845%, 4.9355% 6/15/2038 (b)(c)(d) | 5874143 | 5870472 |
| BX Trust Series 2021-XL2 Class A, CME Term SOFR 1 month Index + 0.6885%, 4.953% 10/15/2038 (b)(c)(d) | 3598815 | 3596566 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 6.0902% 4/15/2037 (b)(c)(d) | 14018200 | 14022581 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 6.4402% 4/15/2037 (b)(c)(d) | 3163300 | 3166266 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 6.9892% 4/15/2037 (b)(c)(d) | 2648800 | 2652110 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.5922% 2/15/2039 (b)(c)(d) | 36536745 | 36570999 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.9417% 2/15/2039 (b)(c)(d) | 4568717 | 4580139 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.8414% 3/15/2041 (b)(c)(d) | 11305276 | 11319408 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 6.091% 3/15/2041 (b)(c)(d) | 15008887 | 15032338 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.3002% 2/15/2035 (b)(c)(d) | 28123000 | 28061481 |
| CD Mortgage Trust Series 2017-CD5 Class A3, 3.171% 8/15/2050  | 14100000 | 13821872 |
| Cent Trust Series 2025-CITY Class A, 5.0909% 7/10/2040 (b)(d) | 23933000 | 24208991 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A1, 1.69% 7/15/2060 (b) | 64337436 | 55273585 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A2, 1.99% 7/15/2060 (b) | 24717222 | 20807453 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (b) | 46635176 | 38832188 |
| Citigroup Commercial Mortgage Trust Series 2018-C6 Class A3, 4.145% 11/10/2051  | 1000000 | 987305 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.1592% 8/10/2056 (d)(h) | 47762512 | 1405956 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 13797000 | 13794038 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (b)(d) | 7693000 | 7897575 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class A, CME Term SOFR 1 month Index + 0.8155%, 4.9665% 11/15/2038 (b)(c)(d) | 51409640 | 51361443 |
| ELP Commercial Mortgage Trust Series 2021-ELP Class B, CME Term SOFR 1 month Index + 1.2347%, 5.3857% 11/15/2038 (b)(c)(d) | 19800021 | 19781458 |
| Extended Stay America Trust Series 2021-ESH Class A, CME Term SOFR 1 month Index + 1.1945%, 5.3445% 7/15/2038 (b)(c)(d) | 10989573 | 10989573 |
| Extended Stay America Trust Series 2021-ESH Class B, CME Term SOFR 1 month Index + 1.4945%, 5.6445% 7/15/2038 (b)(c)(d) | 7997630 | 7997630 |
| Extended Stay America Trust Series 2021-ESH Class C, CME Term SOFR 1 month Index + 1.8145%, 5.9645% 7/15/2038 (b)(c)(d) | 5896186 | 5896185 |
| Extended Stay America Trust Series 2021-ESH Class D, CME Term SOFR 1 month Index + 2.3645%, 6.5145% 7/15/2038 (b)(c)(d) | 11923080 | 11923080 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 5.45% 10/15/2042 (b)(c)(d) | 56380000 | 56485713 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.75% 10/15/2042 (b)(c)(d) | 10025000 | 10043793 |
| Extended Stay America Trust Series 2025-ESH Class C, CME Term SOFR 1 month Index + 1.85%, 6% 10/15/2042 (b)(c)(d) | 4895000 | 4907236 |
| Fannie Mae Guaranteed REMIC Series 2021-M2S Class A2, 1.8674% 10/25/2031 (d) | 700000 | 613337 |
| Fannie Mae Guaranteed REMIC Series 2023-M1S Class A2, 4.6482% 4/25/2033 (d) | 1500000 | 1510231 |
| Fannie Mae Guaranteed REMIC Series 2023-M8 Class A2, 4.6253% 3/25/2033 (d) | 2000000 | 2013979 |
| Fannie Mae Guaranteed REMIC Series 2025-M4 Class A2, 4.389% 8/25/2035  | 8400000 | 8281946 |
| Fannie Mae Mortgage pass-thru certificates Series 2018-M13 Class A2, 3.8747% 9/25/2030 (d) | 1421498 | 1403893 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-M2 Class A2, 4.62% 4/25/2030  | 26000000 | 26495560 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K054 Class A2, 2.745% 1/25/2026  | 12411431 | 12341555 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 6000000 | 5930735 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 8786974 | 8663206 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 13300000 | 13133425 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  | 18600000 | 18361115 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  | 6100000 | 6039345 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  | 15200000 | 15017162 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 31100000 | 30882214 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  | 6900000 | 6900341 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K077 Class A2, 3.85% 5/25/2028  | 22800000 | 22759231 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  | 5000000 | 4996312 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  | 4200000 | 4214220 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  | 13400000 | 12784412 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K141 Class A2, 2.25% 2/25/2032  | 6100000 | 5446229 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K753 Class A2, 4.4% 10/25/2030  | 5900000 | 5976512 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K754 Class A2, 4.94% 11/25/2030  | 2876443 | 2983600 |
| GS Mortgage Securities Trust Series 2011-GC5 Class AS, 5.209% 8/10/2044 (b)(d) | 1888325 | 1847391 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 2679224 | 2645706 |
| GS Mortgage Securities Trust Series 2017-GS8 Class AAB, 3.313% 11/10/2050  | 4444300 | 4410125 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 4160000 | 4093953 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 787478 | 784442 |
| GS Mortgage Securities Trust Series 2019-GC38 Class A3, 3.703% 2/10/2052  | 1100000 | 1084910 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 4094584 | 3975923 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.2155% 10/15/2036 (b)(c)(d) | 21765000 | 21669778 |
| GS Mortgage Securities Trust Series 2021-IP Class B, CME Term SOFR 1 month Index + 1.2645%, 5.4155% 10/15/2036 (b)(c)(d) | 3364000 | 3347345 |
| GS Mortgage Securities Trust Series 2021-IP Class C, CME Term SOFR 1 month Index + 1.6645%, 5.8155% 10/15/2036 (b)(c)(d) | 2773000 | 2759135 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 6% 10/15/2027 (b)(c)(d) | 4800000 | 4800000 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class A3, 3.3928% 12/15/2049  | 13946510 | 13818757 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  | 1009918 | 1001999 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (b) | 3450000 | 2346000 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (b) | 5907000 | 3189780 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-BKWD Class A, CME Term SOFR 1 month Index + 1.6145%, 5.7655% 9/15/2029 (b)(c)(d) | 5526232 | 5388076 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 5.4454% 5/15/2039 (b)(c)(d) | 57498000 | 55916805 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 5.9441% 5/15/2039 (b)(c)(d) | 33561000 | 31461078 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 6.2433% 5/15/2039 (b)(c)(d) | 19262000 | 17600653 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.6921% 5/15/2039 (b)(c)(d) | 17119000 | 15567508 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 5.3645% 3/15/2038 (b)(c)(d) | 501212 | 499019 |
| LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.6645% 3/15/2038 (b)(c)(d) | 4569600 | 4541040 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 6.0145% 3/15/2038 (b)(c)(d) | 3992100 | 3957169 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 4.9655% 7/15/2038 (b)(c)(d) | 22147000 | 22147000 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.6502% 9/15/2040 (b)(c)(d) | 11300000 | 11297419 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2016-C28 Class A3, 3.272% 1/15/2049  | 12852890 | 12823806 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 11843000 | 11718412 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.2555% 6/15/2054 (d)(h) | 45214198 | 1780748 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (b)(d) | 17861394 | 17568283 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class XD, 3.2523% 12/15/2056 (b)(d)(h) | 8200000 | 1549461 |
| OPEN Trust Series 2023-AIR Class A, CME Term SOFR 1 month Index + 3.0891%, 7.2392% 11/15/2040 (b)(c)(d) | 1480201 | 1480201 |
| OPEN Trust Series 2023-AIR Class B, CME Term SOFR 1 month Index + 3.838%, 7.9882% 11/15/2040 (b)(c)(d) | 10975200 | 10982060 |
| Providence Place Group LP Series 2000-C1 Class A2, 7.75% 7/20/2028 (b) | 283432 | 289531 |
| SPGN Mortgage Trust Series 2022-TFLM Class B, CME Term SOFR 1 month Index + 2%, 6.1502% 2/15/2039 (b)(c)(d) | 9333000 | 9195094 |
| SPGN Mortgage Trust Series 2022-TFLM Class C, CME Term SOFR 1 month Index + 2.65%, 6.8002% 2/15/2039 (b)(c)(d) | 4854000 | 4758358 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.9954% 11/15/2038 (b)(c)(d) | 33767565 | 33735908 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.3444% 11/15/2038 (b)(c)(d) | 24310465 | 24287674 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.5936% 11/15/2038 (b)(c)(d) | 10521590 | 10511726 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 5.8428% 11/15/2038 (b)(c)(d) | 6914571 | 6908089 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.3931% 12/15/2039 (b)(c)(d) | 40690000 | 40740846 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.7426% 12/15/2039 (b)(c)(d) | 8416000 | 8410725 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 6.142% 12/15/2039 (b)(c)(d) | 6204000 | 6219518 |
| UBS Commercial Mortgage Trust Series 2017-C6 Class A5, 3.5795% 12/15/2050  | 7045000 | 6900594 |
| UBS Commercial Mortgage Trust Series 2018-C9 Class A4, 4.117% 3/15/2051  | 2800000 | 2755053 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (b) | 29470000 | 25191864 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (b) | 1400000 | 1143823 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.5162% 10/10/2042 (b)(d) | 40100000 | 732314 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4FL, CME Term SOFR 1 month Index + 1.1645%, 5.3074% 7/15/2048 (b)(c)(d) | 8500000 | 8504509 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C37 Class A4, 3.525% 12/15/2049  | 6471242 | 6412383 |
| Wells Fargo Commercial Mortgage Trust Series 2016-LC25 Class A3, 3.374% 12/15/2059  | 8922099 | 8840708 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class A4, 4.152% 8/15/2051  | 1115000 | 1107525 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 1.0657% 8/15/2051 (d)(h) | 38935474 | 674577 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.4655% 5/15/2031 (b)(c)(d) | 19889000 | 19840902 |
| Wells Fargo Commercial Mortgage Trust Series 2024-5C1 Class A3, 5.928% 7/15/2057  | 8000000 | 8386518 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.1409% 8/15/2041 (b)(c)(d) | 7800000 | 7784987 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 5.8413% 8/15/2041 (b)(c)(d) | 22500000 | 22480778 |
| TOTAL UNITED STATES |  | 2051139375 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $2,084,641,915) |  | <br> **2051139375** |

---

---

| | | |
|:---|:---|:---|
| &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>| Value ($)<br>|
| COLOMBIA - 0.1%  |  |  |
| Colombian Republic 8% 11/14/2035  | 10685000 | 11478361 |
| Colombian Republic 8.75% 11/14/2053  | 14370000 | 15781853 |
| TOTAL COLOMBIA |  | 27260214 |
| <br> **TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS**<br> (Cost $26,324,499) |  | <br> **27260214** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| New Jersey - 0.1%  |  |  |
| General Obligations - 0.1% |  |  |
| New Jersey Eco Dev Auth St Pen (New Jersey St Proj.) 7.425% 2/15/2029 (National Public Finance Guarantee Corporation Insured) <br>(Cost $36,180,907)<br>| 32466000 | **34129931** |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $36,180,907) |  | <br> **34129931** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 23.4%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 23.4%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 23.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (b)(d) | 12091000 | 11605972 |
| Commonwealth Bank of Australia 3.784% 3/14/2032 (b) | 10165000 | 9620627 |
| Westpac Banking Corp 4.11% 7/24/2034 (d) | 17722000 | 17354741 |
| TOTAL AUSTRALIA |  | 38581340 |
| BELGIUM - 0.1%  |  |  |
| Consumer Staples - 0.1% |  |  |
| Beverages - 0.1% |  |  |
| Anheuser-Busch InBev Worldwide Inc 3.5% 6/1/2030  | 10000000 | 9735902 |
| Anheuser-Busch InBev Worldwide Inc 5.45% 1/23/2039  | 23200000 | 23970620 |
| TOTAL BELGIUM |  | 33706522 |
| CANADA - 0.1%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Gildan Activewear Inc 4.7% 10/7/2030 (b)(e) | 3451000 | 3445793 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Cenovus Energy Inc 5.25% 6/15/2037  | 13846000 | 13476181 |
| Enbridge Inc 4.25% 12/1/2026  | 8321000 | 8322004 |
|  |  | 21798185 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Emera US Finance LP 3.55% 6/15/2026  | 6732000 | 6692135 |
| TOTAL CANADA |  | 31936113 |
| FRANCE - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Banks - 0.3% |  |  |
| BNP Paribas SA 5.786% 1/13/2033 (b)(d) | 41000000 | 43030507 |
| Societe Generale SA 1.488% 12/14/2026 (b)(d) | 40199000 | 39949557 |
| Societe Generale SA 3.337% 1/21/2033 (b)(d) | 17500000 | 15920714 |
| Societe Generale SA 5.5% 4/13/2029 (b)(d) | 27997000 | 28586742 |
| TOTAL FRANCE |  | 127487520 |
| GERMANY - 0.3%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Deutsche Bank AG/New York NY 3.035% 5/28/2032 (d) | 4469000 | 4082371 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (d) | 22570000 | 23701639 |
|  |  | 27784010 |
| Health Care - 0.2% |  |  |
| Pharmaceuticals - 0.2% |  |  |
| Bayer US Finance II LLC 4.25% 12/15/2025 (b) | 63993000 | 63936970 |
| Industrials - 0.1% |  |  |
| Machinery - 0.1% |  |  |
| Daimler Truck Finance North America LLC 2% 12/14/2026 (b) | 30000000 | 29241375 |
| TOTAL GERMANY |  | 120962355 |
| HONG KONG - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Insurance - 0.1% |  |  |
| AIA Group Ltd 3.2% 9/16/2040 (b) | 15222000 | 11966026 |
| AIA Group Ltd 3.375% 4/7/2030 (b) | 30867000 | 29921610 |
| TOTAL HONG KONG |  | 41887636 |
| IRELAND - 0.6%  |  |  |
| Financials - 0.3% |  |  |
| Consumer Finance - 0.3% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 17295000 | 16992074 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  | 18114000 | 17456326 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  | 19378000 | 17845074 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45% 4/3/2026  | 15328000 | 15326229 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  | 59444000 | 61302590 |
|  |  | 128922293 |
| Industrials - 0.3% |  |  |
| Transportation Infrastructure - 0.3% |  |  |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (b) | 21306000 | 21291673 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (b) | 2956000 | 2998346 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (b) | 16043000 | 16456674 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (b) | 40000000 | 41412406 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (b) | 37945000 | 39581124 |
|  |  | 121740223 |
| TOTAL IRELAND |  | 250662516 |
| ITALY - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Intesa Sanpaolo SpA 5.71% 1/15/2026 (b) | 48607000 | 48712723 |
| JAPAN - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| NTT Finance Corp 4.567% 7/16/2027 (b) | 5587000 | 5627289 |
| NTT Finance Corp 4.62% 7/16/2028 (b) | 5650000 | 5705868 |
| NTT Finance Corp 4.876% 7/16/2030 (b) | 14868000 | 15106964 |
| TOTAL JAPAN |  | 26440121 |
| MEXICO - 0.7%  |  |  |
| Energy - 0.7% |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |
| Petroleos Mexicanos 5.95% 1/28/2031  | 26624000 | 25811968 |
| Petroleos Mexicanos 6.35% 2/12/2048  | 14404000 | 11455645 |
| Petroleos Mexicanos 6.7% 2/16/2032  | 58171000 | 57662004 |
| Petroleos Mexicanos 6.75% 9/21/2047  | 102130000 | 84502362 |
| Petroleos Mexicanos 6.95% 1/28/2060  | 18760000 | 15466682 |
| Petroleos Mexicanos 7.69% 1/23/2050  | 117141000 | 106533882 |
| TOTAL MEXICO |  | 301432543 |
| NETHERLANDS - 0.1%  |  |  |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  | 12331000 | 12345823 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  | 35555000 | 35917996 |
| TOTAL NETHERLANDS |  | 48263819 |
| QATAR - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Gas Utilities - 0.0% |  |  |
| Nakilat Inc 6.067% 12/31/2033 (b) | 5352228 | 5668813 |
| SWITZERLAND - 0.3%  |  |  |
| Financials - 0.3% |  |  |
| Capital Markets - 0.3% |  |  |
| UBS Group AG 1.494% 8/10/2027 (b)(d) | 24731000 | 24148370 |
| UBS Group AG 3.091% 5/14/2032 (b)(d) | 13398000 | 12398066 |
| UBS Group AG 3.869% 1/12/2029 (b)(d) | 9005000 | 8929569 |
| UBS Group AG 4.194% 4/1/2031 (b)(d) | 40079000 | 39623862 |
| UBS Group AG 4.55% 4/17/2026  | 5038000 | 5051369 |
| UBS Group AG 6.537% 8/12/2033 (b)(d) | 30000000 | 33092513 |
|  |  | 123243749 |
| Insurance - 0.0% |  |  |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (b)(d) | 3800000 | 3828811 |
| TOTAL SWITZERLAND |  | 127072560 |
| UNITED KINGDOM - 0.6%  |  |  |
| Financials - 0.6% |  |  |
| Banks - 0.6% |  |  |
| Barclays PLC 2.894% 11/24/2032 (d) | 13572000 | 12231498 |
| Barclays PLC 4.375% 1/12/2026  | 28767000 | 28766997 |
| Barclays PLC 5.088% 6/20/2030 (d) | 35020000 | 35489608 |
| Barclays PLC 5.2% 5/12/2026  | 11811000 | 11867160 |
| Barclays PLC 5.829% 5/9/2027 (d) | 33090000 | 33382328 |
| Barclays PLC 6.224% 5/9/2034 (d) | 31185000 | 33548164 |
| Barclays PLC 6.692% 9/13/2034 (d) | 45000000 | 49788167 |
| NatWest Group PLC 3.073% 5/22/2028 (d) | 20149000 | 19795385 |
|  |  | 224869307 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| BAE Systems PLC 3.4% 4/15/2030 (b) | 9575000 | 9228364 |
| TOTAL UNITED KINGDOM |  | 234097671 |
| UNITED STATES - 20.0%  |  |  |
| Communication Services - 1.6% |  |  |
| Diversified Telecommunication Services - 0.4% |  |  |
| AT&T Inc 2.55% 12/1/2033  | 53719000 | 45742225 |
| AT&T Inc 3.8% 12/1/2057  | 106127000 | 75673596 |
| AT&T Inc 4.3% 2/15/2030  | 13106000 | 13134533 |
| AT&T Inc 4.75% 5/15/2046  | 10000000 | 8929735 |
| Verizon Communications Inc 4.78% 2/15/2035  | 5482000 | 5392708 |
|  |  | 148872797 |
| Entertainment - 0.0% |  |  |
| NBCUniversal Media LLC 5.95% 4/1/2041  | 6541000 | 6861720 |
| Walt Disney Co/The 3.6% 1/13/2051  | 25350000 | 19176593 |
|  |  | 26038313 |
| Media - 0.9% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  | 5005000 | 4282300 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 12/1/2061  | 51000000 | 35338320 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  | 11421000 | 10832799 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  | 10610000 | 10748907 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  | 11329000 | 9466496 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  | 83513000 | 72183086 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  | 11421000 | 9570747 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.75% 4/1/2048  | 11687000 | 10593971 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  | 20760000 | 21785404 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  | 24519000 | 24222510 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  | 14327000 | 15268522 |
| Comcast Corp 3.4% 4/1/2030  | 6970000 | 6743196 |
| Comcast Corp 3.75% 4/1/2040  | 2448000 | 2058545 |
| Comcast Corp 3.9% 3/1/2038  | 5001000 | 4402407 |
| Comcast Corp 4.65% 7/15/2042  | 11795000 | 10703930 |
| Comcast Corp 5.168% 1/15/2037 (b) | 6744000 | 6722284 |
| Time Warner Cable LLC 4.5% 9/15/2042  | 22976000 | 18460692 |
| Time Warner Cable LLC 5.5% 9/1/2041  | 8397000 | 7695363 |
| Time Warner Cable LLC 5.875% 11/15/2040  | 7566000 | 7232134 |
| Time Warner Cable LLC 6.55% 5/1/2037  | 73937000 | 76913831 |
| Time Warner Cable LLC 6.75% 6/15/2039  | 7400000 | 7742031 |
| Time Warner Cable LLC 7.3% 7/1/2038  | 22049000 | 24092747 |
|  |  | 397060222 |
| Wireless Telecommunication Services - 0.3% |  |  |
| T-Mobile USA Inc 2.25% 11/15/2031  | 40000000 | 35189007 |
| T-Mobile USA Inc 3.75% 4/15/2027  | 25540000 | 25388161 |
| T-Mobile USA Inc 3.875% 4/15/2030  | 36970000 | 36252358 |
| T-Mobile USA Inc 4.375% 4/15/2040  | 5513000 | 4977905 |
| T-Mobile USA Inc 4.5% 4/15/2050  | 10830000 | 9110400 |
|  |  | 110917831 |
| TOTAL COMMUNICATION SERVICES |  | 682889163 |
| Consumer Discretionary - 0.4% |  |  |
| Automobiles - 0.1% |  |  |
| General Motors Financial Co Inc 2.35% 2/26/2027  | 17500000 | 17046909 |
| General Motors Financial Co Inc 5.85% 4/6/2030  | 13062000 | 13661351 |
|  |  | 30708260 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| McDonald's Corp 3.5% 7/1/2027  | 7113000 | 7057355 |
| McDonald's Corp 3.6% 7/1/2030  | 8445000 | 8245856 |
| McDonald's Corp 4.2% 4/1/2050  | 4263000 | 3504840 |
|  |  | 18808051 |
| Household Durables - 0.0% |  |  |
| Toll Brothers Finance Corp 4.875% 3/15/2027  | 16319000 | 16438101 |
| Specialty Retail - 0.3% |  |  |
| AutoNation Inc 3.85% 3/1/2032  | 21966000 | 20580089 |
| AutoNation Inc 4.75% 6/1/2030  | 3310000 | 3328172 |
| AutoZone Inc 4% 4/15/2030  | 22128000 | 21843137 |
| Home Depot Inc/The 2.5% 4/15/2027  | 3139000 | 3077255 |
| Lowe's Cos Inc 3.35% 4/1/2027  | 3072000 | 3041974 |
| Lowe's Cos Inc 3.75% 4/1/2032  | 9454000 | 9043168 |
| Lowe's Cos Inc 4.25% 4/1/2052  | 15733000 | 12703840 |
| Lowe's Cos Inc 4.5% 4/15/2030  | 16112000 | 16323190 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  | 4968000 | 4950423 |
|  |  | 94891248 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| NIKE Inc 2.75% 3/27/2027  | 6632000 | 6528805 |
| TOTAL CONSUMER DISCRETIONARY |  | 167374465 |
| Consumer Staples - 0.5% |  |  |
| Beverages - 0.1% |  |  |
| Molson Coors Beverage Co 3% 7/15/2026  | 48345000 | 47917662 |
| Consumer Staples Distribution & Retail - 0.4% |  |  |
| Mars Inc 4.8% 3/1/2030 (b) | 28803000 | 29343841 |
| Mars Inc 5% 3/1/2032 (b) | 21623000 | 22121789 |
| Mars Inc 5.2% 3/1/2035 (b) | 17973000 | 18370860 |
| Mars Inc 5.65% 5/1/2045 (b) | 17477000 | 17729125 |
| Mars Inc 5.7% 5/1/2055 (b) | 34854000 | 35305227 |
| Sysco Corp 3.25% 7/15/2027  | 11011000 | 10860534 |
|  |  | 133731376 |
| Food Products - 0.0% |  |  |
| Archer-Daniels-Midland Co 3.25% 3/27/2030  | 6931000 | 6665759 |
| General Mills Inc 2.875% 4/15/2030  | 3013000 | 2827839 |
|  |  | 9493598 |
| Household Products - 0.0% |  |  |
| Kimberly-Clark Corp 3.1% 3/26/2030  | 1764000 | 1693163 |
| TOTAL CONSUMER STAPLES |  | 192835799 |
| Energy - 1.7% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Halliburton Co 3.8% 11/15/2025  | 207000 | 206768 |
| Halliburton Co 4.85% 11/15/2035  | 7402000 | 7290108 |
|  |  | 7496876 |
| Oil, Gas & Consumable Fuels - 1.7% |  |  |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (b) | 5327000 | 5635723 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (b) | 14358000 | 15320507 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (b) | 4293000 | 4578675 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (b) | 7728000 | 8289530 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (b) | 4626000 | 5071345 |
| DCP Midstream Operating LP 5.125% 5/15/2029  | 15661000 | 16014671 |
| DCP Midstream Operating LP 5.6% 4/1/2044  | 13506000 | 13105432 |
| DCP Midstream Operating LP 6.45% 11/3/2036 (b) | 10621000 | 11205651 |
| Energy Transfer LP 3.75% 5/15/2030  | 27891000 | 27084117 |
| Energy Transfer LP 4.95% 6/15/2028  | 18799000 | 19123255 |
| Energy Transfer LP 5% 5/15/2050  | 10822000 | 9263664 |
| Energy Transfer LP 5.25% 4/15/2029  | 10158000 | 10451194 |
| Energy Transfer LP 5.25% 7/1/2029  | 11564000 | 11899489 |
| Energy Transfer LP 5.4% 10/1/2047  | 1349000 | 1234808 |
| Energy Transfer LP 5.6% 9/1/2034  | 20000000 | 20526213 |
| Energy Transfer LP 5.8% 6/15/2038  | 10481000 | 10660967 |
| Enterprise Products Operating LLC 3.7% 2/15/2026  | 8600000 | 8581205 |
| Hess Corp 4.3% 4/1/2027  | 23059000 | 23135147 |
| Hess Corp 7.125% 3/15/2033  | 4791000 | 5559861 |
| Hess Corp 7.3% 8/15/2031  | 6610000 | 7611212 |
| Hess Corp 7.875% 10/1/2029  | 20178000 | 22880805 |
| Kinder Morgan Energy Partners LP 6.55% 9/15/2040  | 1645000 | 1785773 |
| MPLX LP 2.65% 8/15/2030  | 9000000 | 8262742 |
| MPLX LP 4.8% 2/15/2029  | 5370000 | 5444724 |
| MPLX LP 4.95% 9/1/2032  | 30925000 | 31022972 |
| MPLX LP 5.5% 2/15/2049  | 16108000 | 14995822 |
| Occidental Petroleum Corp 5.55% 10/1/2034  | 27742000 | 28147559 |
| Occidental Petroleum Corp 6.2% 3/15/2040  | 7169000 | 7286292 |
| Occidental Petroleum Corp 6.45% 9/15/2036  | 15883000 | 16878340 |
| Occidental Petroleum Corp 6.6% 3/15/2046  | 28439000 | 29732349 |
| Occidental Petroleum Corp 7.5% 5/1/2031  | 29749000 | 33413929 |
| ONEOK Inc 4.25% 9/24/2027  | 10175000 | 10186014 |
| ONEOK Inc 4.4% 10/15/2029  | 10640000 | 10632367 |
| ONEOK Inc 4.75% 10/15/2031  | 20697000 | 20703625 |
| Ovintiv Inc 5.15% 11/15/2041  | 5000000 | 4365052 |
| Ovintiv Inc 8.125% 9/15/2030  | 13383000 | 15291338 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  | 5964000 | 5758375 |
| Plains All American Pipeline LP / PAA Finance Corp 3.8% 9/15/2030  | 15976000 | 15401654 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  | 33855000 | 33973093 |
| Shell Finance US Inc 4.375% 5/11/2045  | 6392000 | 5584299 |
| Targa Resources Corp 4.9% 9/15/2030  | 14983000 | 15218643 |
| Targa Resources Corp 5.65% 2/15/2036  | 36079000 | 36941785 |
| Western Gas Partners LP 4.5% 3/1/2028  | 3100000 | 3104648 |
| Western Gas Partners LP 4.65% 7/1/2026  | 9376000 | 9384229 |
| Western Gas Partners LP 4.75% 8/15/2028  | 5504000 | 5550941 |
| Western Gas Partners LP 6.35% 1/15/2029  | 13343000 | 14037330 |
| Williams Cos Inc/The 2.6% 3/15/2031  | 5542000 | 5032049 |
| Williams Cos Inc/The 3.5% 11/15/2030  | 45537000 | 43523705 |
| Williams Cos Inc/The 4.65% 8/15/2032  | 32200000 | 32155353 |
| Williams Cos Inc/The 5.3% 8/15/2052  | 7294000 | 6845647 |
|  |  | 727894120 |
| TOTAL ENERGY |  | 735390996 |
| Financials - 8.7% |  |  |
| Banks - 3.5% |  |  |
| Bank of America Corp 2.299% 7/21/2032 (d) | 80000000 | 70960207 |
| Bank of America Corp 2.972% 2/4/2033 (d) | 17500000 | 15936141 |
| Bank of America Corp 3.419% 12/20/2028 (d) | 23187000 | 22833239 |
| Bank of America Corp 3.705% 4/24/2028 (d) | 58915000 | 58534984 |
| Bank of America Corp 4.183% 11/25/2027  | 22749000 | 22759489 |
| Bank of America Corp 4.25% 10/22/2026  | 20189000 | 20215806 |
| Bank of America Corp 4.271% 7/23/2029 (d) | 2000000 | 2006921 |
| Bank of America Corp 4.376% 4/27/2028 (d) | 40000000 | 40144158 |
| Bank of America Corp 4.45% 3/3/2026  | 3182000 | 3184110 |
| Bank of America Corp 5.015% 7/22/2033 (d) | 50000000 | 51088359 |
| Bank of America Corp 5.468% 1/23/2035 (d) | 50000000 | 52211553 |
| Citigroup Inc 3.785% 3/17/2033 (d) | 17500000 | 16624701 |
| Citigroup Inc 4.3% 11/20/2026  | 52072000 | 52154656 |
| Citigroup Inc 4.412% 3/31/2031 (d) | 45100000 | 45024002 |
| Citigroup Inc 4.45% 9/29/2027  | 69500000 | 69782887 |
| Citigroup Inc 4.91% 5/24/2033 (d) | 47460000 | 48033517 |
| Citigroup Inc 6.174% 5/25/2034 (d) | 21587000 | 22968859 |
| Citizens Financial Group Inc 2.638% 9/30/2032  | 35537000 | 30361337 |
| Citizens Financial Group Inc 6.645% 4/25/2035 (d) | 12127000 | 13343454 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (d) | 18323000 | 17184660 |
| JPMorgan Chase & Co 2.963% 1/25/2033 (d) | 17500000 | 16009768 |
| JPMorgan Chase & Co 4.203% 7/23/2029 (d) | 3000000 | 3005802 |
| JPMorgan Chase & Co 4.452% 12/5/2029 (d) | 46000000 | 46380661 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (d) | 70000000 | 70217958 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (d) | 29723000 | 30707424 |
| JPMorgan Chase & Co 5.299% 7/24/2029 (d) | 15000000 | 15454956 |
| JPMorgan Chase & Co 5.336% 1/23/2035 (d) | 50000000 | 51968782 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (d) | 60000000 | 62517438 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (d) | 35305000 | 37212344 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (d) | 75200000 | 79525946 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (d) | 25589000 | 24968763 |
| Santander Holdings USA Inc 6.499% 3/9/2029 (d) | 35670000 | 37216352 |
| Synchrony Bank 5.625% 8/23/2027  | 26739000 | 27302453 |
| Wells Fargo & Co 3.526% 3/24/2028 (d) | 42125000 | 41749048 |
| Wells Fargo & Co 4.478% 4/4/2031 (d) | 60800000 | 61132789 |
| Wells Fargo & Co 5.15% 4/23/2031 (d) | 80251000 | 82762933 |
| Wells Fargo & Co 5.389% 4/24/2034 (d) | 30000000 | 31171821 |
| Wells Fargo & Co 5.605% 4/23/2036 (d) | 35549000 | 37306938 |
|  |  | 1431965216 |
| Capital Markets - 2.5% |  |  |
| Ares Capital Corp 3.875% 1/15/2026  | 54729000 | 54633131 |
| Ares Strategic Income Fund 5.45% 9/9/2028 (b) | 24383000 | 24573196 |
| Ares Strategic Income Fund 5.8% 9/9/2030 (b) | 19729000 | 20048863 |
| Athene Global Funding 5.339% 1/15/2027 (b) | 56732000 | 57519412 |
| Athene Global Funding 5.583% 1/9/2029 (b) | 28541000 | 29496839 |
| Blackstone Private Credit Fund 2.625% 12/15/2026  | 30000000 | 29292864 |
| Blackstone Private Credit Fund 7.3% 11/27/2028  | 42550000 | 45450734 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (d) | 39755000 | 35481286 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (d) | 47500000 | 43575508 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (d) | 21000000 | 20848966 |
| Goldman Sachs Group Inc/The 3.8% 3/15/2030  | 67720000 | 66648984 |
| Goldman Sachs Group Inc/The 4.25% 10/21/2025  | 22692000 | 22677055 |
| Goldman Sachs Group Inc/The 4.411% 4/23/2039 (d) | 3000000 | 2774537 |
| Goldman Sachs Group Inc/The 5.15% 5/22/2045  | 9000000 | 8493367 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  | 30816000 | 34526213 |
| HPS Corporate Lending Fund 5.45% 1/14/2028  | 77521000 | 78225912 |
| Intercontinental Exchange Inc 3.75% 12/1/2025  | 4530000 | 4526959 |
| Moody's Corp 3.25% 1/15/2028  | 10681000 | 10503815 |
| Moody's Corp 3.25% 5/20/2050  | 9704000 | 6716693 |
| Morgan Stanley 2.943% 1/21/2033 (d) | 17500000 | 15910189 |
| Morgan Stanley 3.622% 4/1/2031 (d) | 41803000 | 40561591 |
| Morgan Stanley 4.21% 4/20/2028 (d) | 40000000 | 40043497 |
| Morgan Stanley 4.431% 1/23/2030 (d) | 54318000 | 54578028 |
| Morgan Stanley 5.192% 4/17/2031 (d) | 26943000 | 27821139 |
| Morgan Stanley 5.25% 4/21/2034 (d) | 50000000 | 51561188 |
| Morgan Stanley 5.424% 7/21/2034 (d) | 47424000 | 49411119 |
| Morgan Stanley 5.664% 4/17/2036 (d) | 21369000 | 22545580 |
| Morgan Stanley 6.342% 10/18/2033 (d) | 58000000 | 63744404 |
| Morgan Stanley 6.627% 11/1/2034 (d) | 50000000 | 55930473 |
| MSCI Inc 5.25% 9/1/2035  | 24615000 | 24818787 |
| Sixth Street Specialty Lending Inc 6.125% 3/1/2029  | 15343000 | 15810299 |
|  |  | 1058750628 |
| Consumer Finance - 1.2% |  |  |
| Ally Financial Inc 4.75% 6/9/2027  | 60000000 | 60308581 |
| Ally Financial Inc 5.75% 11/20/2025  | 16947000 | 16957056 |
| Ally Financial Inc 6.7% 2/14/2033  | 12822000 | 13355896 |
| Ally Financial Inc 7.1% 11/15/2027  | 37620000 | 39592413 |
| Ally Financial Inc 8% 11/1/2031  | 7157000 | 8158763 |
| Capital One Financial Corp 3.273% 3/1/2030 (d) | 32130000 | 30963988 |
| Capital One Financial Corp 3.65% 5/11/2027  | 57194000 | 56738676 |
| Capital One Financial Corp 3.8% 1/31/2028  | 29870000 | 29638828 |
| Capital One Financial Corp 4.1% 2/9/2027  | 5722000 | 5712494 |
| Capital One Financial Corp 4.5% 1/30/2026  | 23106000 | 23110895 |
| Capital One Financial Corp 5.247% 7/26/2030 (d) | 40470000 | 41598635 |
| Capital One Financial Corp 5.468% 2/1/2029 (d) | 26778000 | 27461197 |
| Capital One Financial Corp 5.817% 2/1/2034 (d) | 46541000 | 48807887 |
| Ford Motor Credit Co LLC 5.73% 9/5/2030  | 40000000 | 40329230 |
| Synchrony Financial 3.95% 12/1/2027  | 37530000 | 37099990 |
| Toyota Motor Credit Corp 3.375% 4/1/2030  | 9583000 | 9279856 |
|  |  | 489114385 |
| Financial Services - 0.6% |  |  |
| Corebridge Financial Inc 3.65% 4/5/2027  | 33012000 | 32728681 |
| Corebridge Financial Inc 3.85% 4/5/2029  | 13061000 | 12860231 |
| Corebridge Financial Inc 3.9% 4/5/2032  | 31447000 | 30025603 |
| Corebridge Financial Inc 4.35% 4/5/2042  | 3537000 | 3053209 |
| Corebridge Financial Inc 4.4% 4/5/2052  | 10459000 | 8640102 |
| Equitable Holdings Inc 4.572% 2/15/2029 (b) | 7172000 | 7202322 |
| Jackson Financial Inc 3.125% 11/23/2031  | 5636000 | 5088860 |
| Jackson Financial Inc 5.17% 6/8/2027  | 14655000 | 14834006 |
| Jackson Financial Inc 5.67% 6/8/2032  | 27163000 | 28192787 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 5/15/2032  | 43240000 | 38685708 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3.625% 1/15/2032  | 18075000 | 16848852 |
| Mastercard Inc 3.3% 3/26/2027  | 3028000 | 3004478 |
| Mastercard Inc 3.35% 3/26/2030  | 4213000 | 4100138 |
| Pine Street Trust II 5.568% 2/15/2049 (b) | 29500000 | 27973084 |
| Sixth Street Lending Partners 6.125% 7/15/2030 (b) | 26655000 | 27557928 |
|  |  | 260795989 |
| Insurance - 0.9% |  |  |
| AFLAC Inc 3.6% 4/1/2030  | 9937000 | 9736135 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (b) | 48444000 | 45378654 |
| Hartford Insurance Group Inc/The 2.8% 8/19/2029  | 7704000 | 7287377 |
| Liberty Mutual Group Inc 3.951% 10/15/2050 (b) | 4626000 | 3542997 |
| Liberty Mutual Group Inc 4.569% 2/1/2029 (b) | 19896000 | 20024949 |
| Lincoln National Corp 3.4% 1/15/2031  | 34132000 | 32239124 |
| Marsh & McLennan Cos Inc 4.375% 3/15/2029  | 19688000 | 19863913 |
| Marsh & McLennan Cos Inc 4.75% 3/15/2039  | 9035000 | 8702929 |
| Massachusetts Mutual Life Insurance Co 3.729% 10/15/2070 (b) | 20812000 | 13997183 |
| New York Life Insurance Co 3.75% 5/15/2050 (b) | 7429000 | 5609270 |
| Northwestern Mutual Life Insurance Co/The 6.063% 3/30/2040 (b) | 2000 | 2118 |
| Pacific LifeCorp 5.125% 1/30/2043 (b) | 15610000 | 14905078 |
| Progressive Corp/The 3.2% 3/26/2030  | 3815000 | 3669738 |
| Prudential Financial Inc 6% 9/1/2052 (d) | 55017000 | 57166074 |
| Teachers Insurance & Annuity Association of America 3.3% 5/15/2050 (b) | 16941000 | 11671214 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/2044 (b) | 29277000 | 27052724 |
| Unum Group 3.875% 11/5/2025  | 16863000 | 16845642 |
| Unum Group 4% 6/15/2029  | 21076000 | 20805460 |
| Unum Group 4.046% 8/15/2041 (b) | 1392000 | 1136172 |
| Unum Group 5.75% 8/15/2042  | 27888000 | 27869403 |
| Western-Southern Global Funding 4.9% 5/1/2030 (b) | 11759000 | 12014264 |
|  |  | 359520418 |
| TOTAL FINANCIALS |  | 3600146636 |
| Health Care - 1.4% |  |  |
| Biotechnology - 0.2% |  |  |
| AbbVie Inc 3.2% 11/21/2029  | 17500000 | 16883122 |
| Amgen Inc 1.65% 8/15/2028  | 65000000 | 60772778 |
| Amgen Inc 5.15% 3/2/2028  | 20069000 | 20537509 |
|  |  | 98193409 |
| Health Care Providers & Services - 1.2% |  |  |
| Centene Corp 2.45% 7/15/2028  | 32380000 | 30088563 |
| Centene Corp 2.625% 8/1/2031  | 15205000 | 13061477 |
| Centene Corp 3.375% 2/15/2030  | 17480000 | 16076128 |
| Centene Corp 4.25% 12/15/2027  | 19645000 | 19291731 |
| Centene Corp 4.625% 12/15/2029  | 30530000 | 29595056 |
| Cigna Group/The 3.05% 10/15/2027  | 67800000 | 66133337 |
| Cigna Group/The 4.375% 10/15/2028  | 29050000 | 29202808 |
| Cigna Group/The 4.8% 8/15/2038  | 18087000 | 17259343 |
| Cigna Group/The 4.9% 12/15/2048  | 18071000 | 16222201 |
| Cigna Group/The 5.4% 3/15/2033  | 30000000 | 31298172 |
| CVS Health Corp 3% 8/15/2026  | 2965000 | 2934163 |
| CVS Health Corp 3.625% 4/1/2027  | 7479000 | 7415032 |
| CVS Health Corp 5% 1/30/2029  | 15279000 | 15579272 |
| CVS Health Corp 5% 9/15/2032  | 12070000 | 12217695 |
| CVS Health Corp 5.25% 1/30/2031  | 6265000 | 6448358 |
| CVS Health Corp 5.45% 9/15/2035  | 20000000 | 20352047 |
| HCA Inc 3.5% 9/1/2030  | 18350000 | 17527224 |
| HCA Inc 3.625% 3/15/2032  | 4185000 | 3926166 |
| HCA Inc 5.625% 9/1/2028  | 19094000 | 19704411 |
| HCA Inc 5.875% 2/1/2029  | 21003000 | 21867431 |
| Humana Inc 3.7% 3/23/2029  | 12046000 | 11771753 |
| Humana Inc 5.375% 4/15/2031  | 25106000 | 25824302 |
| Sabra Health Care LP 3.2% 12/1/2031  | 39949000 | 36274689 |
| Sabra Health Care LP 3.9% 10/15/2029  | 10094000 | 9779629 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  | 9969000 | 10239386 |
|  |  | 490090374 |
| Pharmaceuticals - 0.0% |  |  |
| Elanco Animal Health Inc 6.65% 8/28/2028 (d) | 6362000 | 6615640 |
| Mylan Inc 4.55% 4/15/2028  | 6911000 | 6884049 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  | 7459000 | 7425309 |
|  |  | 20924998 |
| TOTAL HEALTH CARE |  | 609208781 |
| Industrials - 0.5% |  |  |
| Aerospace & Defense - 0.3% |  |  |
| Boeing Co 3.55% 3/1/2038  | 3337000 | 2758059 |
| Boeing Co 5.15% 5/1/2030  | 6621000 | 6794176 |
| Boeing Co 5.805% 5/1/2050  | 34788000 | 34755430 |
| Boeing Co 5.93% 5/1/2060  | 12640000 | 12627298 |
| Boeing Co 6.259% 5/1/2027  | 7761000 | 7985430 |
| Boeing Co 6.298% 5/1/2029  | 11086000 | 11764984 |
| Boeing Co 6.388% 5/1/2031  | 8397000 | 9145298 |
| Boeing Co 6.528% 5/1/2034  | 8987000 | 9934824 |
| Boeing Co 6.858% 5/1/2054  | 13529000 | 15432572 |
| Boeing Co 7.008% 5/1/2064  | 12768000 | 14780918 |
|  |  | 125978989 |
| Building Products - 0.0% |  |  |
| Carrier Global Corp 5.9% 3/15/2034  | 3574000 | 3835058 |
| Carrier Global Corp 6.2% 3/15/2054  | 2214000 | 2400695 |
|  |  | 6235753 |
| Ground Transportation - 0.1% |  |  |
| CSX Corp 3.8% 4/15/2050  | 5875000 | 4552086 |
| Uber Technologies Inc 4.15% 1/15/2031  | 20008000 | 19825271 |
| Uber Technologies Inc 4.8% 9/15/2035  | 15783000 | 15639820 |
|  |  | 40017177 |
| Industrial Conglomerates - 0.0% |  |  |
| 3M Co 3.05% 4/15/2030  | 1519000 | 1447446 |
| Machinery - 0.0% |  |  |
| Deere & Co 3.1% 4/15/2030  | 9897000 | 9487012 |
| Professional Services - 0.1% |  |  |
| Paychex Inc 5.1% 4/15/2030  | 3641000 | 3746711 |
| Paychex Inc 5.35% 4/15/2032  | 5068000 | 5258775 |
| Paychex Inc 5.6% 4/15/2035  | 3958000 | 4143559 |
| Verisk Analytics Inc 4.5% 8/15/2030  | 9982000 | 10011967 |
| Verisk Analytics Inc 5.125% 2/15/2036  | 22439000 | 22646509 |
|  |  | 45807521 |
| TOTAL INDUSTRIALS |  | 228973898 |
| Information Technology - 1.1% |  |  |
| Electronic Equipment, Instruments & Components - 0.4% |  |  |
| Dell International LLC / EMC Corp 4.15% 2/15/2029 (e) | 20070000 | 20021972 |
| Dell International LLC / EMC Corp 4.5% 2/15/2031 (e) | 39739000 | 39647134 |
| Dell International LLC / EMC Corp 4.75% 10/6/2032 (e) | 26492000 | 26373571 |
| Dell International LLC / EMC Corp 5.1% 2/15/2036 (e) | 41980000 | 41745843 |
| Dell International LLC / EMC Corp 5.25% 2/1/2028  | 28212000 | 28829456 |
| Dell International LLC / EMC Corp 5.3% 10/1/2029  | 11000000 | 11358650 |
| Dell International LLC / EMC Corp 6.1% 7/15/2027  | 9944000 | 10251074 |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  | 8607000 | 9232459 |
|  |  | 187460159 |
| Semiconductors & Semiconductor Equipment - 0.4% |  |  |
| Broadcom Inc 1.95% 2/15/2028 (b) | 7184000 | 6844288 |
| Broadcom Inc 2.45% 2/15/2031 (b) | 61131000 | 55599419 |
| Broadcom Inc 2.6% 2/15/2033 (b) | 61131000 | 53665010 |
| Broadcom Inc 3.419% 4/15/2033 (b) | 5516000 | 5104917 |
| Broadcom Inc 3.5% 2/15/2041 (b) | 43849000 | 36084527 |
| Broadcom Inc 4.926% 5/15/2037 (b) | 23167000 | 23104870 |
|  |  | 180403031 |
| Software - 0.3% |  |  |
| Oracle Corp 4.45% 9/26/2030  | 15097000 | 15089593 |
| Oracle Corp 4.8% 9/26/2032  | 25181000 | 25211279 |
| Oracle Corp 5.2% 9/26/2035  | 22924000 | 23050229 |
| Oracle Corp 5.875% 9/26/2045  | 14137000 | 14175382 |
| Oracle Corp 5.95% 9/26/2055  | 17723000 | 17668481 |
| Oracle Corp 6.1% 9/26/2065  | 18241000 | 18207407 |
|  |  | 113402371 |
| TOTAL INFORMATION TECHNOLOGY |  | 481265561 |
| Materials - 0.3% |  |  |
| Chemicals - 0.2% |  |  |
| Celanese US Holdings LLC 6.85% 11/15/2028 (d) | 18666000 | 19370281 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (d) | 18931000 | 19541203 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (d) | 11063000 | 11501124 |
| Dow Chemical Co/The 4.55% 11/30/2025  | 13459000 | 13455411 |
|  |  | 63868019 |
| Construction Materials - 0.1% |  |  |
| Amrize Finance US LLC 4.6% 4/7/2027 (b) | 36803000 | 37021969 |
| Amrize Finance US LLC 4.7% 4/7/2028 (b) | 26383000 | 26690916 |
|  |  | 63712885 |
| TOTAL MATERIALS |  | 127580904 |
| Real Estate - 2.6% |  |  |
| Diversified REITs - 0.3% |  |  |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  | 6300000 | 5367202 |
| Store Capital LLC 2.75% 11/18/2030  | 8515000 | 7740330 |
| Store Capital LLC 4.625% 3/15/2029  | 8847000 | 8786874 |
| VICI Properties LP 4.75% 2/15/2028  | 29291000 | 29537268 |
| VICI Properties LP 4.75% 4/1/2028  | 6730000 | 6800169 |
| VICI Properties LP 4.95% 2/15/2030  | 38231000 | 38674432 |
| VICI Properties LP 5.125% 5/15/2032  | 10549000 | 10652829 |
| VICI Properties LP 5.75% 4/1/2034  | 5034000 | 5227446 |
| Vornado Realty LP 2.15% 6/1/2026  | 7918000 | 7772910 |
| WP Carey Inc 3.85% 7/15/2029  | 6097000 | 6000975 |
|  |  | 126560435 |
| Health Care REITs - 1.0% |  |  |
| Alexandria Real Estate Equities Inc 2% 5/18/2032  | 19486000 | 16471274 |
| Alexandria Real Estate Equities Inc 4.9% 12/15/2030  | 17745000 | 18066432 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  | 6066000 | 5707300 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  | 6318000 | 6272547 |
| Healthpeak OP LLC 3.25% 7/15/2026  | 2733000 | 2713370 |
| Healthpeak OP LLC 3.5% 7/15/2029  | 3125000 | 3029171 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  | 25245000 | 22273814 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  | 11416000 | 10593634 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  | 26970000 | 25876798 |
| Omega Healthcare Investors Inc 4.5% 4/1/2027  | 86567000 | 86807576 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  | 28933000 | 29173391 |
| Omega Healthcare Investors Inc 5.25% 1/15/2026  | 28200000 | 28207346 |
| Ventas Realty LP 2.5% 9/1/2031  | 53031000 | 47316941 |
| Ventas Realty LP 3% 1/15/2030  | 35454000 | 33563109 |
| Ventas Realty LP 4% 3/1/2028  | 10351000 | 10303548 |
| Ventas Realty LP 4.125% 1/15/2026  | 7649000 | 7633008 |
| Ventas Realty LP 4.375% 2/1/2045  | 3802000 | 3206886 |
| Ventas Realty LP 4.75% 11/15/2030  | 41973000 | 42487990 |
|  |  | 399704135 |
| Industrial REITs - 0.0% |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  | 7890000 | 7209201 |
| Prologis LP 3.25% 6/30/2026  | 2124000 | 2111002 |
|  |  | 9320203 |
| Office REITs - 0.3% |  |  |
| Boston Properties LP 3.25% 1/30/2031  | 16564000 | 15403101 |
| Boston Properties LP 4.5% 12/1/2028  | 18628000 | 18615314 |
| Boston Properties LP 6.75% 12/1/2027  | 24397000 | 25590103 |
| COPT Defense Properties LP 2% 1/15/2029  | 2896000 | 2683543 |
| COPT Defense Properties LP 2.25% 3/15/2026  | 7272000 | 7197854 |
| COPT Defense Properties LP 2.75% 4/15/2031  | 7105000 | 6432045 |
| COPT Defense Properties LP 4.5% 10/15/2030  | 4024000 | 3997463 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  | 37205000 | 34621455 |
|  |  | 114540878 |
| Real Estate Management & Development - 0.4% |  |  |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  | 20195000 | 19818557 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  | 27295000 | 26079308 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  | 33242000 | 35243568 |
| CBRE Services Inc 2.5% 4/1/2031  | 23518000 | 21262210 |
| Mid-America Apartments LP 4% 11/15/2025  | 3541000 | 3537650 |
| Tanger Properties LP 2.75% 9/1/2031  | 18732000 | 16783725 |
| Tanger Properties LP 3.125% 9/1/2026  | 16602000 | 16411892 |
| Tanger Properties LP 3.875% 7/15/2027  | 28881000 | 28623736 |
|  |  | 167760646 |
| Residential REITs - 0.1% |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  | 3169000 | 2807281 |
| American Homes 4 Rent LP 3.625% 4/15/2032  | 14296000 | 13378190 |
| American Homes 4 Rent LP 4.3% 4/15/2052  | 9909000 | 7940416 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  | 21143000 | 20439631 |
| Sun Communities Operating LP 2.3% 11/1/2028  | 7110000 | 6722363 |
| Sun Communities Operating LP 2.7% 7/15/2031  | 18176000 | 16440842 |
|  |  | 67728723 |
| Retail REITs - 0.5% |  |  |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  | 22047000 | 21581030 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  | 24028000 | 23820286 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  | 26610000 | 26565177 |
| Kite Realty Group LP 5.5% 3/1/2034  | 6294000 | 6471699 |
| Kite Realty Group Trust 4.75% 9/15/2030  | 42235000 | 42354806 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  | 6358000 | 6615245 |
| Realty Income Corp 2.2% 6/15/2028  | 3445000 | 3283341 |
| Realty Income Corp 2.85% 12/15/2032  | 4238000 | 3781819 |
| Realty Income Corp 3.25% 1/15/2031  | 4502000 | 4261596 |
| Realty Income Corp 3.4% 1/15/2028  | 7083000 | 6981858 |
| Regency Centers LP 3.7% 6/15/2030  | 25000000 | 24334661 |
| Simon Property Group LP 2.65% 2/1/2032  | 30000000 | 26883327 |
|  |  | 196934845 |
| TOTAL REAL ESTATE |  | 1082549865 |
| Utilities - 1.2% |  |  |
| Electric Utilities - 0.7% |  |  |
| Alabama Power Co 3.05% 3/15/2032  | 29471000 | 27206496 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  | 15724000 | 14692328 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 60730000 | 60368384 |
| Cleveland Electric Illuminating Co/The 5.95% 12/15/2036  | 1128000 | 1199889 |
| Consolidated Edison Co of New York Inc 3.35% 4/1/2030  | 3290000 | 3185559 |
| Duke Energy Corp 4.95% 9/15/2035  | 36862000 | 36620091 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (b) | 10574000 | 9503656 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (b) | 19219000 | 17024547 |
| Exelon Corp 2.75% 3/15/2027  | 6523000 | 6394669 |
| Exelon Corp 3.35% 3/15/2032  | 7920000 | 7398725 |
| Exelon Corp 4.05% 4/15/2030  | 7291000 | 7212066 |
| Exelon Corp 4.7% 4/15/2050  | 3246000 | 2802304 |
| IPALCO Enterprises Inc 5.75% 4/1/2034  | 43698000 | 44690851 |
| Southern Co/The 5.7% 3/15/2034  | 27735000 | 29292430 |
|  |  | 267591995 |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |
| AES Corp/The 1.375% 1/15/2026  | 30500000 | 30218945 |
| AES Corp/The 2.45% 1/15/2031  | 28885000 | 25867718 |
| AES Corp/The 3.95% 7/15/2030 (b) | 42717000 | 41248730 |
|  |  | 97335393 |
| Multi-Utilities - 0.3% |  |  |
| Berkshire Hathaway Energy Co 3.7% 7/15/2030  | 4149000 | 4061979 |
| NiSource Inc 2.95% 9/1/2029  | 40740000 | 38863980 |
| NiSource Inc 3.6% 5/1/2030  | 22835000 | 22112413 |
| Puget Energy Inc 4.1% 6/15/2030  | 25767000 | 25164007 |
| Puget Energy Inc 4.224% 3/15/2032  | 27319000 | 26162848 |
| Sempra 6% 10/15/2039  | 5386000 | 5601417 |
|  |  | 121966644 |
| TOTAL UTILITIES |  | 486894032 |
| TOTAL UNITED STATES |  | 8395110100 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $10,038,601,655) |  | <br> **9832022352** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.5%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.5%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 19.5%  |  |  |
| Fannie Mae 2.5% 1/1/2052  | 2863647 | 2432323 |
| Fannie Mae 3.5% 12/1/2036  | 216852 | 211503 |
| Fannie Mae 3.5% 5/1/2036  | 168022 | 164056 |
| Fannie Mae 6.5% 7/1/2054  | 3166253 | 3322134 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.398%, 6.196% 5/1/2033 (c)(d) | 1114 | 1133 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (c)(d) | 14351 | 14767 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 6.71% 1/1/2035 (c)(d) | 3521 | 3616 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 6.105% 7/1/2034 (c)(d) | 1862 | 1904 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.534%, 6.409% 3/1/2036 (c)(d) | 21733 | 22317 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (c)(d) | 12870 | 13223 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.44% 3/1/2037 (c)(d) | 15723 | 16235 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.629%, 6.445% 7/1/2035 (c)(d) | 46302 | 47760 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 6.387% 5/1/2035 (c)(d) | 25015 | 25697 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 7.065% 9/1/2036 (c)(d) | 3465 | 3568 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.646%, 6.396% 5/1/2036 (c)(d) | 43642 | 44967 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.667%, 6.493% 11/1/2036 (c)(d) | 56734 | 58389 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.673%, 6.709% 3/1/2033 (c)(d) | 7813 | 8020 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.683%, 6.511% 5/1/2036 (c)(d) | 10770 | 11106 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.696%, 6.622% 7/1/2043 (c)(d) | 198057 | 206019 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.563% 6/1/2042 (c)(d) | 21477 | 22361 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.73%, 6.753% 3/1/2040 (c)(d) | 27880 | 28917 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.5% 8/1/2041 (c)(d) | 48629 | 50707 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.695% 7/1/2035 (c)(d) | 12086 | 12436 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.478% 7/1/2041 (c)(d) | 5315 | 5546 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.636% 1/1/2042 (c)(d) | 61912 | 64540 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.806%, 6.818% 12/1/2040 (c)(d) | 548416 | 571518 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.81%, 6.685% 12/1/2039 (c)(d) | 9920 | 10293 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.505% 7/1/2041 (c)(d) | 10970 | 11457 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.713% 2/1/2042 (c)(d) | 27456 | 28658 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 7.318% 9/1/2041 (c)(d) | 9665 | 10093 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 6.724% 2/1/2035 (c)(d) | 37276 | 38481 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 7.33% 10/1/2041 (c)(d) | 3144 | 3249 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (c)(d) | 62690 | 65193 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (c)(d) | 12324 | 12618 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.224%, 6.508% 8/1/2036 (c)(d) | 77617 | 79444 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.913% 6/1/2036 (c)(d) | 20782 | 21279 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.277%, 7.235% 10/1/2033 (c)(d) | 17134 | 17539 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 6.745% 7/1/2034 (c)(d) | 11460 | 11737 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.463%, 6.71% 5/1/2035 (c)(d) | 8805 | 9025 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 13135588 | 11811191 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 1616268 | 1366703 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 17885972 | 16082617 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 17048151 | 15329270 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 7437767 | 6687854 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 4024396 | 3618636 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 35417 | 31846 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 1581340 | 1339211 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 17206845 | 14421602 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 7651150 | 6879722 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 24740 | 22246 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 1613940 | 1365756 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 3757456 | 3378611 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 1644798 | 1389752 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 25676565 | 19754432 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 23761 | 21328 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 1679690 | 1417544 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 1717579 | 1336996 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2035  | 6895301 | 6215165 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  | 26036415 | 20031285 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 6895256 | 6386542 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 5263733 | 4292735 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 911320 | 738938 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 69898 | 56676 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 48733 | 39515 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 5086344 | 4408080 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 17442 | 15136 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 9040214 | 7454497 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 29378176 | 24087328 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 21721099 | 17883915 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 8950098 | 7355016 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2052  | 65426 | 52850 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 6494661 | 5636280 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 5175986 | 4491179 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 4889859 | 4241380 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 5031619 | 4116018 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 27858134 | 22893272 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 17482866 | 14323371 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 201013 | 162990 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 1864397 | 1634992 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 14679 | 12834 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 14936044 | 12218139 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 10420565 | 8537366 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 5805968 | 4774860 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 4823435 | 4731884 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 15671 | 13683 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 56233 | 45807 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 13528 | 11024 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 428770 | 347196 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 69702 | 57106 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 16057 | 14012 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2042  | 11044094 | 9555817 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 94632 | 77116 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1224888 | 1006972 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 791406 | 693806 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 9010603 | 7325895 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2035  | 19758470 | 18356311 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 571488 | 500914 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 17201 | 14976 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 3450487 | 3192684 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 6041713 | 5276664 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 37109155 | 30252051 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 3835126 | 3150433 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 1956557 | 1593186 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 228538 | 186023 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 66071 | 53780 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 5917428 | 5475308 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2041  | 2461309 | 2140624 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 2099726 | 2026998 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2037  | 11774933 | 11124750 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 4533684 | 3879153 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1303167 | 1119508 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1041719 | 894906 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 700732 | 601976 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2029  | 278472 | 271993 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2029  | 24735 | 24170 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 2143163 | 2069796 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 230359 | 222564 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 60786 | 58728 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 33504 | 32370 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 6318 | 6106 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2032  | 33794 | 32503 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 3253326 | 2782625 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  | 339536 | 332121 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 1352296 | 1305983 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 70970 | 68540 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 66528 | 64224 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 527130 | 506993 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 5833 | 5624 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 9495632 | 8476054 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 6180716 | 5522645 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 4015050 | 3598362 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1320040 | 1183665 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1310714 | 1174020 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1200989 | 1076695 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 10631649 | 9086785 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 8072674 | 6899650 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 3771946 | 3639812 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 101696 | 97735 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 22373 | 21519 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2033  | 9977635 | 9619607 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 14858220 | 12727061 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 79421 | 67781 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 1141326 | 1102690 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 3798090 | 3411497 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2042  | 3063069 | 2747733 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 735610 | 631939 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2033  | 22867 | 21993 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 1183279 | 1068584 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 1084880 | 979662 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 4858255 | 4147757 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 5899356 | 5047663 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 2068653 | 1997772 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 8002178 | 7396798 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 3580884 | 3215358 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 1281149 | 1144744 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 24936715 | 21500236 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 6256951 | 5351676 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 227655 | 220495 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 855535 | 772915 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 1249646 | 1125288 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 973729 | 876775 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 203917 | 182358 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 80968 | 72442 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 28381836 | 24337552 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 14380030 | 12362397 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 29558379 | 25411102 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 2441806 | 2188799 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 998440 | 897512 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 1450309 | 1402978 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 318277 | 308005 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 28908358 | 24635471 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 23378653 | 19923101 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 22542457 | 19210502 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 18534 | 18088 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 576537 | 557027 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2035  | 5129046 | 4857052 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 8105623 | 7250070 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2033  | 109349 | 106418 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 1703663 | 1575639 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 357536 | 330228 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 237013 | 219976 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 193044 | 178307 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 184151 | 170235 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 173469 | 160350 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 154626 | 142650 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 145113 | 134381 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 120259 | 111078 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 97291 | 90494 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 70459 | 65580 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 43873 | 40757 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 34594 | 31888 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 34287 | 31717 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 32339 | 29835 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 31120 | 28682 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 30689 | 28558 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 30460 | 28115 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 27201 | 25114 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 25723 | 23756 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 25499 | 23630 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 23535 | 21759 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 23080 | 21346 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 11222 | 10310 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 135908 | 126306 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 7217556 | 6411117 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 1216651 | 1079666 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 428618 | 380493 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 17006 | 15096 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 151913 | 140289 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 3406 | 3168 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 2779620 | 2523769 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2050  | 49422 | 44270 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 6015505 | 5333975 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 709015 | 694244 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 840939 | 778337 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 125194 | 115695 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 87910 | 81421 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 62830 | 57757 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 28109 | 26037 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 25232 | 23324 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 24929 | 23192 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 23577 | 22076 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 21648 | 19883 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 9718 | 8999 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 3522594 | 3198355 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 3432673 | 3116710 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 1428112 | 1268544 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 18741913 | 16666857 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 10079154 | 8981328 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 104197 | 93141 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 75682 | 67651 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2028  | 10420 | 10275 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 4406360 | 4304539 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 1905895 | 1862134 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 461976 | 427895 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 194989 | 180201 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 114456 | 105866 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 79151 | 72828 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 77546 | 71662 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 76199 | 70472 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 71007 | 65674 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 70448 | 64958 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 65563 | 60668 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 31800 | 29648 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 24393 | 22561 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 21228 | 19641 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 15764 | 14573 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 15605 | 14329 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 15158 | 14108 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 9719 | 9060 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6712 | 6199 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5633 | 5208 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2044  | 20509 | 18672 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 20779 | 18509 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 13192523 | 11718483 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 6622125 | 5871868 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 4329820 | 3854493 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 2109345 | 1875804 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 1219984 | 1197986 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 64185 | 63160 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 74254 | 72283 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 490767 | 480815 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 1242958 | 1147464 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 924876 | 854146 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 710253 | 656788 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 562967 | 520291 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 446258 | 412122 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 280434 | 259488 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 239174 | 220832 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 216732 | 199694 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 136299 | 126393 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 104046 | 96136 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 94251 | 86607 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 64657 | 59548 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 17468 | 16073 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 16222 | 15013 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 8666 | 8003 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 7192 | 6801 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 8066096 | 7220302 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 22994878 | 20405830 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 5849118 | 5190551 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 394876 | 350416 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 160351 | 156483 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 392950 | 363481 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 101440 | 93750 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 67070 | 61924 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 30287 | 27939 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 22974 | 21224 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 16682 | 15413 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 14269 | 13210 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2044  | 99305 | 90878 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 268951 | 247211 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 106967 | 97364 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 1261894 | 1145742 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 10246466 | 9153630 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 10167890 | 9026241 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 8774149 | 7788989 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 312348 | 286820 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 248080 | 229252 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 54864 | 50648 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 51883 | 47858 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 49796 | 45982 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 44553 | 41096 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 17724 | 16363 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 17186 | 15854 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 9840 | 9084 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 1142788 | 1042242 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2049  | 43819 | 39156 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 40454780 | 36212773 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 8753636 | 7833695 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1247857 | 1151128 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1029043 | 950570 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 148744 | 137326 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 93737 | 86522 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 70624 | 65162 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 62974 | 58084 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 34928 | 32256 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 18532 | 17112 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 15514 | 14238 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1576 | 1455 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 1493278 | 1363750 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 104759 | 96305 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 54915 | 50854 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 1137316 | 1032987 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 21139 | 19366 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 15322 | 14102 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 15213 | 14008 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 10964 | 10058 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2044  | 979879 | 904746 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2045  | 104115 | 95186 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 12453778 | 11070064 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 6483572 | 5801692 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 1407650 | 1380292 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 14263 | 13529 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 237157 | 219790 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 54916 | 50737 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 4270413 | 3931639 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 24640 | 22757 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 17856 | 16553 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 595344 | 544776 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 530865 | 486615 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 10091456 | 9159429 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 4267002 | 3815572 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 45699 | 44962 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 667839 | 615315 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 292661 | 269458 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 37251 | 34268 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 3179691 | 2900265 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 298910 | 272366 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 109844 | 99763 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 15041607 | 13403267 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 264767 | 233446 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 83638 | 74450 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 6041371 | 5385230 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 43198 | 38304 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 3042889 | 2973006 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 794280 | 733861 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 118850 | 109506 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 104306 | 95957 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 43325 | 39918 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 5282 | 4866 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2050  | 101874 | 90682 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2050  | 22094 | 19446 |
| Fannie Mae Mortgage pass-thru certificates 3.25% 12/1/2041  | 14571 | 13834 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 7/1/2042  | 33987 | 32004 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 8/1/2042  | 171309 | 161168 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 9/1/2042  | 112323 | 105932 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2038  | 30640 | 29688 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2041  | 17862 | 17054 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 826195 | 783610 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 138247 | 131345 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 7643395 | 7145463 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 140288 | 131017 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 46291 | 43232 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 10837 | 10124 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 471 | 442 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 3602970 | 3378386 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 2172698 | 2005356 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2033  | 3729 | 3662 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2035  | 127233 | 123994 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2040  | 25342 | 24183 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 1584371 | 1503190 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 584271 | 557339 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 545453 | 517494 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 146605 | 139135 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 88133 | 83661 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 41412 | 39464 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 24442 | 23154 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 4562 | 4333 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 398194 | 373124 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 245457 | 229543 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 3325438 | 3118153 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2049  | 7667 | 7161 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2051  | 2354904 | 2169112 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2041  | 3866 | 3681 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 268752 | 254213 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 174853 | 165689 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 84956 | 80486 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 73005 | 68911 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 45856 | 43486 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 23644 | 22382 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 87582 | 82616 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 25123 | 23526 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 4800 | 4489 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 259753 | 239260 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 110049 | 101367 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 87491 | 80588 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2041  | 12673 | 12094 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 189646 | 180211 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 127275 | 120902 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 74327 | 70451 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2044  | 20326 | 19181 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 59778 | 56182 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1765257 | 1650259 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 474683 | 443759 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 838457 | 781739 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 299276 | 282923 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 107772 | 102217 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 60156 | 56702 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 19632 | 18335 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2051  | 45553 | 42101 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 4261186 | 3922334 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 335987 | 317701 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 301156 | 285408 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 7336767 | 6748758 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 1273296 | 1164085 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2039  | 192907 | 186790 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 365673 | 347312 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 246827 | 234303 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 17315 | 16419 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 4415 | 4200 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 1399214 | 1324478 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 785244 | 742638 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 140336 | 132946 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 102786 | 97306 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 31885 | 30215 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 2343268 | 2194276 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 621477 | 581961 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  | 5300 | 4905 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2051  | 477689 | 440300 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2038  | 113993 | 110378 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 698091 | 663763 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 96604 | 91455 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 5155 | 4903 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 3799 | 3612 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 1138219 | 1076487 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 622812 | 589523 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 20091 | 18931 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2044  | 10046 | 9554 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 1142423 | 1069784 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 993970 | 916171 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 30218 | 27853 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2038  | 126947 | 122922 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 789369 | 749671 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 32583 | 30954 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 18623 | 17672 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 1036837 | 981215 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 16440 | 15595 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 47557 | 45110 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 3970 | 3772 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 99459 | 93897 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 2855010 | 2671695 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 1749144 | 1636835 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 188231 | 176145 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 9274624 | 8801370 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  | 3543477 | 3262805 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 4476159 | 4135600 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 901321 | 856101 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 218008 | 207461 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 128120 | 121386 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 1002053 | 952218 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 126422 | 119846 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 23871 | 22595 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 4006 | 3795 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2044  | 41456 | 39018 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 499231 | 466708 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 18789 | 17571 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 10354374 | 9637768 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 575972 | 527326 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 282107 | 259762 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2052  | 3229464 | 2961554 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2037  | 8023 | 7781 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 383165 | 363440 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 337719 | 320643 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 178923 | 169810 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 116166 | 110198 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 107547 | 102353 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 78344 | 74545 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 61246 | 58092 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 33095 | 31407 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 30221 | 28772 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 828269 | 778266 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 24732 | 23190 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 6091161 | 5703867 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 10152 | 9494 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 2123816 | 1994087 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 56729 | 52892 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 1814966 | 1668937 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 390567 | 359753 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 30367 | 27962 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 15961 | 14702 |
| Fannie Mae Mortgage pass-thru certificates 3.65% 5/1/2042  | 19548 | 18609 |
| Fannie Mae Mortgage pass-thru certificates 3.65% 8/1/2042  | 51652 | 49259 |
| Fannie Mae Mortgage pass-thru certificates 3.9% 4/1/2042  | 25224 | 24436 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 2840048 | 2775740 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 368793 | 360026 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 117525 | 114753 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 111631 | 109069 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 74888 | 73232 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 46570 | 45486 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 29715 | 29016 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 23796 | 23232 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 13768 | 13490 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 13001 | 12702 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 11459 | 11214 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 9549 | 9348 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 9237 | 9027 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 8630 | 8429 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 1854749 | 1812198 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 129662 | 126499 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 85376 | 83100 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 5997 | 5950 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 263130 | 256679 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2044  | 133219 | 129522 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 1001168 | 969083 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 264254 | 255230 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 55708 | 53440 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  | 252860 | 242092 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 395202 | 386594 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 85274 | 83330 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 310567 | 303781 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 157084 | 153193 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 104666 | 102537 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 55217 | 53989 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 34630 | 33879 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 21818 | 21359 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 18458 | 18079 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 1150 | 1122 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 1594735 | 1556634 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 1005427 | 981137 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 59642 | 58136 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 27769 | 27135 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 17925 | 17503 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 5554 | 5475 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 516251 | 503615 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 170864 | 165424 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 53475 | 51599 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 2835798 | 2740730 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2050  | 11387059 | 10902119 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2038  | 251335 | 245915 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 2589495 | 2531173 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 335019 | 327827 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 231954 | 227150 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 207261 | 202336 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 193640 | 188942 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 183364 | 179087 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 177196 | 173348 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 177262 | 173295 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 159266 | 155640 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 150034 | 146303 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 139246 | 136023 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 128906 | 125770 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 119866 | 117150 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 92964 | 90735 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 87132 | 84953 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 78022 | 76414 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 77851 | 76029 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 68955 | 67227 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 61339 | 59811 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 52717 | 51774 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 38534 | 37498 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 33948 | 33188 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 31537 | 30813 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 23169 | 22724 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 22897 | 22404 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 13478 | 13177 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3085 | 3009 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 840 | 822 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 1933905 | 1887771 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 503442 | 491426 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 415879 | 405710 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 19700 | 19176 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2042  | 36010 | 35144 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 637821 | 615442 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2038  | 484723 | 474336 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2039  | 244018 | 238408 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 471703 | 460650 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 99282 | 96998 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 85594 | 83695 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 35062 | 34229 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 15770 | 15475 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 14163 | 13864 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 12092 | 11809 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 11841 | 11600 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 10722 | 10419 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 7382 | 7222 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 4805 | 4689 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 4031 | 3948 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3536 | 3459 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3282 | 3208 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 1462 | 1429 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 693 | 677 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 385839 | 376348 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 210780 | 205717 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 38643 | 37705 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 26141 | 25513 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 67074 | 65547 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2043  | 65569 | 63624 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 630537 | 611430 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 92662 | 89840 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 514951 | 497527 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 235911 | 227486 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 13121 | 12653 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 464738 | 446399 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 2336776 | 2283769 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 143905 | 140605 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 41849 | 40889 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 34340 | 33463 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 17148 | 16732 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 13009 | 12724 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 11397 | 11133 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 9884 | 9651 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 8091 | 7906 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 1695 | 1656 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 1336690 | 1303700 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 244655 | 238248 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 116121 | 113455 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 55270 | 54252 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 41028 | 40099 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 36809 | 35873 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 10760 | 10483 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 4829 | 4706 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 13162 | 12700 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 312830 | 301952 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 528335 | 506660 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 19363 | 18599 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 2148799 | 2055273 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2036  | 32439 | 31943 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 980729 | 960644 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 351173 | 343815 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 110143 | 107797 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 137442 | 134669 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 60008 | 58605 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 56638 | 55207 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 32192 | 31442 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 23335 | 22800 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 20610 | 20093 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 11712 | 11483 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 7406 | 7242 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 7204 | 7039 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 3352 | 3271 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 1946 | 1904 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 1097458 | 1069533 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 138758 | 135442 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 117633 | 114650 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 103491 | 100908 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 89926 | 87682 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 54417 | 53097 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 40556 | 39448 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 2491049 | 2417034 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 873917 | 846396 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 152014 | 147141 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 1933676 | 1868246 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 123212 | 118812 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 632793 | 606833 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 942707 | 919757 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 319791 | 312097 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 300191 | 292909 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 181913 | 177323 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 136040 | 132564 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 58987 | 57407 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 57880 | 56365 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 48171 | 46954 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 34128 | 33420 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 19989 | 19485 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 423857 | 412062 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 142527 | 137979 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 110003 | 106006 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 2581069 | 2484055 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 610381 | 585531 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 585834 | 561984 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 151132 | 144554 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 2707567 | 2582953 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2039  | 226499 | 221467 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 2635151 | 2536104 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 1083870 | 1039744 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 586704 | 574173 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 454339 | 444958 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 1262 | 1238 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 251252 | 245548 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 226692 | 219931 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 20329 | 19728 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 323902 | 313739 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 2017661 | 1945606 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 4839028 | 4601193 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 4661829 | 4432703 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 58207 | 57155 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 4154 | 4074 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 1054 | 1032 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  | 45200 | 44028 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2043  | 30059 | 29190 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 3191975 | 3086961 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 1717914 | 1651733 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 1447043 | 1391297 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 115108 | 112511 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 11738 | 11490 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 10415 | 10212 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 99952 | 97168 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 29238 | 28397 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 24323 | 23617 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 334513 | 323578 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 205502 | 199342 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 202336 | 195483 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2038  | 334559 | 328452 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 623439 | 613254 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 55548 | 54641 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 55221 | 53913 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 26329 | 25703 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 66081 | 64482 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 28137 | 27401 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 23903 | 23297 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 17121 | 16768 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 6692 | 6536 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2043  | 14116 | 13704 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 3804936 | 3677378 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 29179 | 28200 |
| Fannie Mae Mortgage pass-thru certificates 4.25% 11/1/2041  | 46318 | 45705 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2034  | 4017 | 4030 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 20711 | 20703 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 495575 | 489522 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 69042 | 68199 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 43293 | 42832 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 33575 | 33102 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 27964 | 28007 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2043  | 3109 | 3104 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 1405719 | 1400410 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 200948 | 198557 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 10739 | 10628 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2052  | 4885207 | 4759892 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2034  | 3293 | 3304 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 471753 | 472683 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 29041 | 29086 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 17637 | 17667 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 148854 | 149094 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 8108 | 8133 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 3806233 | 3812016 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 119106 | 119191 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 188440 | 187610 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 31625 | 31485 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 352800 | 353280 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 64765 | 63994 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 20959 | 20709 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 10575487 | 10304207 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2033  | 53547 | 53725 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038  | 17939 | 17992 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 283383 | 283975 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 57564 | 57675 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 57270 | 57349 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 12004 | 12025 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 9079 | 9094 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2041  | 318582 | 318834 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 11907 | 11894 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 23106 | 23048 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 6030 | 6019 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 240221 | 237887 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2047  | 32752 | 32403 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 925176 | 914743 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 5107471 | 5005185 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2033  | 14861 | 14904 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 704077 | 705221 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 15572 | 15594 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 12406 | 12425 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 1235 | 1238 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 500725 | 500078 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 939415 | 940773 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 254138 | 250875 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 182759 | 180413 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 90441 | 88998 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 2806311 | 2826407 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 109467 | 109834 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 1956 | 1961 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 23336 | 23372 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2045  | 191788 | 190944 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 152408 | 151166 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 151556 | 149894 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 37167 | 36795 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 27829 | 27611 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 290337 | 286609 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 57609 | 56870 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 1980637 | 1987280 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 553433 | 555284 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 340602 | 341738 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 9442 | 9462 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 688 | 690 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 69562 | 69599 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 18301 | 18325 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 5414 | 5420 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 2023 | 2026 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 118439 | 118789 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 55570 | 55549 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 92062 | 91657 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 193803 | 191678 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 153148 | 151325 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 96067 | 95014 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 79426 | 78630 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 40733 | 40286 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 33895 | 33555 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 198673 | 196060 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 340 | 341 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 5048262 | 5097031 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 3983 | 3992 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2040  | 9390 | 9408 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2041  | 111378 | 111535 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2041  | 10567 | 10578 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 131952 | 130506 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 52408 | 51997 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 23913 | 23726 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 1498165 | 1508893 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 1826 | 1830 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 1764977 | 1767294 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 530206 | 531983 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 502259 | 501644 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2045  | 156085 | 155251 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  | 29994 | 29750 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 2670286 | 2642677 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 74323 | 73555 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 42461 | 41955 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 24776 | 24574 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2026  | 976 | 975 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 5273 | 5286 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 2478 | 2482 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 383753 | 384534 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 61783 | 61914 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 14332 | 14362 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 8930 | 8948 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 2574 | 2579 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 10974 | 10985 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 16200 | 16212 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2045  | 77670 | 77329 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 2101499 | 2079771 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 320790 | 316972 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 77188 | 77430 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 38061 | 38187 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 34707 | 34816 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 26970 | 27060 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 25229 | 25314 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 15592 | 15641 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 11332 | 11370 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 6152 | 6166 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 5860 | 5878 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 3276 | 3285 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2037  | 10358 | 10379 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 3901469 | 3933064 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 323966 | 324477 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 3506 | 3514 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 3424 | 3431 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 2171 | 2175 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 1479 | 1483 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 36676 | 36737 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 14105 | 14125 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 9570 | 9576 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2047  | 16698 | 16500 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 84020 | 84295 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 40993 | 41129 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 38973 | 39102 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 31330 | 31434 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 17056 | 17110 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 12951 | 12994 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 195479 | 196132 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 99257 | 99590 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2039  | 5125 | 5142 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 19711 | 19756 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 5103 | 5107 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 30630 | 30652 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 808710 | 809991 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 49344 | 49482 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 343088 | 339004 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 75958 | 75054 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2029  | 4042 | 4083 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2035  | 8645 | 8794 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 678000 | 690919 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 17638753 | 17724421 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 11442782 | 11487630 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 2494727 | 2533487 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 9379634 | 9425189 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 5977870 | 6001299 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 5438763 | 5480475 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2043  | 7381 | 7514 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 6443952 | 6473236 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 1754837 | 1782126 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 634694 | 642928 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 298287 | 303161 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 28181 | 28696 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 121706 | 124033 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 32688 | 33308 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 31235 | 31819 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2052  | 2570214 | 2592335 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 4279278 | 4345316 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 628605 | 638241 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 58572 | 59685 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 48712 | 49637 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 34964 | 35577 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2044  | 22388 | 22804 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2052  | 954916 | 962837 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 64933 | 65846 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 1084800 | 1102616 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 17960 | 18273 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2039  | 10383 | 10571 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 45690 | 46560 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 12961 | 13210 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 23928 | 24389 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 20243 | 20628 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 47539 | 48454 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 22309 | 22738 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 10045 | 10238 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 68920 | 70245 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 18476 | 18832 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2040  | 13529 | 13766 |
| Fannie Mae Mortgage pass-thru certificates 5.311% 8/1/2041 (d) | 488708 | 494168 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2048  | 1104869 | 1145225 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2048  | 373575 | 386520 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2048  | 1684836 | 1743216 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 2795641 | 2846208 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2049  | 979689 | 1011186 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 365353 | 377099 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 85553 | 88304 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 65170 | 67265 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2048  | 438664 | 453960 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2049  | 364143 | 375851 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 6298835 | 6414737 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 5854118 | 5981960 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 5521876 | 5630384 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 8973384 | 9135695 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2048  | 241563 | 249715 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 20270645 | 20706981 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 8151716 | 8350113 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.313%, 5.938% 5/1/2034 (c)(d) | 24817 | 25076 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.42%, 5.998% 9/1/2033 (c)(d) | 62854 | 63469 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.505%, 6.005% 1/1/2035 (c)(d) | 4293 | 4363 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.51%, 6.149% 2/1/2033 (c)(d) | 70 | 71 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.244% 12/1/2034 (c)(d) | 11371 | 11568 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.285% 3/1/2035 (c)(d) | 9575 | 9748 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.199% 10/1/2033 (c)(d) | 1483 | 1508 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.206% 7/1/2035 (c)(d) | 2106 | 2146 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.96%, 6.585% 9/1/2035 (c)(d) | 3882 | 3997 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 2.5%, 7.25% 3/1/2036 (c)(d) | 40650 | 42205 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 7847 | 8235 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 1386 | 1453 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2037  | 1147012 | 1206000 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 366262 | 386042 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 362442 | 382671 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042  | 31695 | 33485 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 189130 | 197591 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 58255 | 60920 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 10414 | 10641 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 8567 | 9003 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 7798 | 8195 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 5496 | 5782 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 1757 | 1840 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 1341 | 1400 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 1021 | 1073 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 866 | 910 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 660 | 693 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 366235 | 385413 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 101554 | 107090 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 12540661 | 13030792 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 558622 | 583237 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 48890 | 51187 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 45407 | 47079 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 19814 | 20724 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 3780 | 3977 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 1849 | 1945 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 795 | 835 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 695 | 731 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2037  | 22852 | 24112 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2038  | 1175 | 1240 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2038  | 1010 | 1068 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 7927264 | 8222224 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 3001408 | 3118713 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 1112365 | 1156883 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 58260 | 61508 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2038  | 1087 | 1147 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2038  | 679 | 716 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 12075720 | 12506170 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1869007 | 1946289 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2035  | 635 | 661 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 157435 | 164211 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2037  | 48907 | 51383 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 131901 | 139291 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 36163 | 37862 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2039  | 4115 | 4347 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 7976668 | 8173759 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 15282717 | 15862110 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2040  | 49070 | 51778 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2032  | 2446 | 2545 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 2749 | 2885 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 730 | 769 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2037  | 9137 | 9612 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 475240 | 501275 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 22608601 | 23167224 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 9359481 | 9699689 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 51302 | 53664 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 6176 | 6492 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 3537 | 3705 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 177 | 185 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 95 | 98 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 164299 | 172488 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 12856187 | 13306422 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 24926680 | 25526999 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 5344321 | 5558623 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 59604 | 62535 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 11706 | 12258 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 8641 | 9060 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 1170 | 1225 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 828 | 868 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 466 | 487 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2036  | 288 | 294 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 60917 | 64334 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 336988 | 355649 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 2159728 | 2235363 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 17155146 | 17788100 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 12699129 | 13004967 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 19003622 | 19514742 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 15385 | 16098 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 5976 | 6258 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 4185 | 4384 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 3700 | 3883 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 311 | 326 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 180 | 189 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 795689 | 829282 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2038  | 184 | 194 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 27920815 | 28593243 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2029  | 7904 | 8105 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 80390 | 84328 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 9843 | 10294 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 2867 | 3016 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 1534 | 1611 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 1249 | 1307 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 167 | 173 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 26410 | 27869 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2038  | 30206 | 31885 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 30988317 | 31734621 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2036  | 612 | 649 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2036  | 526 | 555 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 2756724 | 2901703 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 10743 | 11408 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 3378 | 3524 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 33413 | 34955 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2036  | 1563 | 1662 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 2445120 | 2567562 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036  | 577 | 611 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 3324 | 3532 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 4915500 | 5089528 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 5010996 | 5269833 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2037  | 1144 | 1221 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2035  | 1821 | 1911 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 11517491 | 12092618 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 7933156 | 8211541 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 5096900 | 5354599 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 10052 | 10487 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 2389 | 2492 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 3939 | 4129 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 755 | 801 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 26848054 | 28215982 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 8370175 | 8663242 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 3429169 | 3589957 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 4577648 | 4820181 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 6254 | 6640 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 1348 | 1432 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 29948 | 31331 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 23652 | 24733 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 5356 | 5608 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  | 4570294 | 4799155 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 6564967 | 6910741 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 5051685 | 5326042 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2035  | 570 | 604 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 7919765 | 8295440 |
| Fannie Mae Mortgage pass-thru certificates 6.783% 2/1/2039 (d) | 159488 | 165736 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2026  | 24 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2026  | 8 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 903 | 910 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 200 | 209 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 34 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 145 | 152 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 1716 | 1800 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 281 | 297 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 174 | 184 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 711 | 715 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 1 | 0 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2027  | 19 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 12035 | 12583 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 5016 | 5244 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 808 | 845 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 85 | 85 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 69 | 72 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 44 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 6674 | 6977 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 687 | 718 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 256 | 268 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 199 | 208 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2031  | 257 | 271 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 468 | 498 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 377 | 395 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2025  | 6 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2025  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2026  | 65 | 65 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 708 | 740 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 317 | 331 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 192 | 201 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 187 | 195 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 126 | 131 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 116 | 122 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2029  | 1457 | 1524 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2031  | 9518 | 10020 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 455 | 458 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 20 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 1626 | 1700 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 654 | 689 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2032  | 302 | 319 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2026  | 12 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2027  | 35 | 36 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 4184 | 4374 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 690 | 722 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 288 | 301 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 5595 | 5850 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 706 | 738 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 45 | 47 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2031  | 784 | 787 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2032  | 358 | 375 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2033  | 2203 | 2345 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 671 | 670 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 20 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 3 | 2 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 1 | 0 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2027  | 65 | 68 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2028  | 36 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2028  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2029  | 216 | 226 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 9641 | 10162 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 555 | 586 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 274 | 288 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 105 | 111 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 154 | 154 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 9 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 6 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2028  | 88 | 92 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2031  | 269 | 283 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 731 | 775 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 497 | 527 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 44 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 109 | 109 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 71 | 72 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 59 | 59 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 21 | 21 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2027  | 22 | 23 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 6106 | 6384 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 184 | 192 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 13749 | 14374 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 408 | 428 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 371 | 393 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 81 | 86 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 2578 | 2696 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 14 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2029  | 1693 | 1770 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 8308 | 8808 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 3648 | 3814 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 1732 | 1818 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 1395 | 1481 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 412 | 436 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2026  | 44 | 45 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2027  | 7 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 2705 | 2828 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 44 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 1186 | 1240 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 203 | 212 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 17 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 472 | 496 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 177 | 186 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 1125 | 1188 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 1079 | 1145 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 253 | 266 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 119 | 126 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2037  | 4027 | 4339 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 1085 | 1090 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 119 | 119 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 1338 | 1399 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2028  | 284 | 297 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 469 | 490 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 307 | 321 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 103 | 108 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 20 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 868 | 907 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 104 | 109 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 13959 | 14808 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 3517 | 3729 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 1366 | 1374 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 52 | 52 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 611 | 639 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 17 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 779 | 814 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 584 | 610 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 440 | 461 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2029  | 3109 | 3250 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2029  | 113 | 118 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2030  | 2324 | 2430 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 3839 | 4026 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 328 | 343 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 157 | 165 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 111 | 116 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2032  | 2849 | 3026 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2026  | 17 | 16 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 852 | 860 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 14 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 1123 | 1143 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 1048 | 1072 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 929 | 948 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 363 | 372 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 331 | 339 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 183 | 188 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 108 | 111 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 94 | 96 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 37 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 37 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 30 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2030  | 505 | 527 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 27 | 28 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 12 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 341 | 349 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 77 | 79 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 74 | 76 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 9 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2028  | 44 | 45 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 10169 | 10511 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 2748 | 2877 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 359 | 375 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2026  | 9 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 1100 | 1121 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 602 | 616 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 316 | 322 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 274 | 279 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 267 | 269 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 52 | 54 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 49 | 50 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 49 | 50 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 288 | 293 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 178 | 186 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 60 | 62 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 20300 | 21325 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 959 | 983 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 318 | 327 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 239 | 245 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 37 | 37 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 486 | 498 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029  | 239 | 248 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2030  | 1260 | 1333 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 376 | 381 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 296 | 300 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 165 | 170 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 59 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 23 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 2682 | 2806 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 1168 | 1216 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 61 | 63 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2031  | 539 | 569 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 1391 | 1414 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 264 | 271 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 123 | 123 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 413 | 421 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2026  | 31 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2028  | 432 | 443 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2029  | 22 | 23 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 1112 | 1131 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 90 | 91 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 83 | 85 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 50 | 50 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028  | 772 | 788 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028  | 102 | 105 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 629 | 653 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 287 | 288 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 30 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 456 | 463 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 67 | 68 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 1355 | 1396 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2029  | 3022 | 3148 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2026  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 219 | 223 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 186 | 189 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 50 | 51 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2028  | 3861 | 3925 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 1802 | 1867 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 191 | 197 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 147 | 149 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 37 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 24 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 11 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 6 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 134 | 138 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 14 | 14 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 5773 | 6015 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 3600 | 3754 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 2648 | 2768 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 2472 | 2572 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 1818 | 1899 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 1446 | 1507 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 1280 | 1338 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 857 | 891 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 352 | 360 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 199 | 201 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 179 | 185 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 60 | 62 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 38 | 40 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 14107 | 14455 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 310 | 327 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2026  | 151 | 152 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 715 | 732 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 185 | 187 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 82 | 83 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 77 | 78 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 29 | 29 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 5 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 954 | 994 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 748 | 782 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 499 | 519 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 82 | 85 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 64 | 67 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 32 | 32 |
| Fannie Mae Mortgage pass-thru certificates 8% 3/1/2037  | 8032 | 8656 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 7608374 | 6841259 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 1211679 | 938650 |
| Freddie Mac Gold Pool 1.5% 10/1/2035  | 10295218 | 9257201 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 8968697 | 8064427 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 8554950 | 7692396 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 87065 | 78287 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 762703 | 592988 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 16598049 | 14924549 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 962213 | 814230 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 519214 | 403680 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 127958 | 99605 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 1660438 | 1402846 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 31998819 | 24618499 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 41180 | 36964 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 1681075 | 1420359 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 9338683 | 7184776 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 181298 | 141126 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 1722549 | 1452433 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 71820 | 64466 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 445971 | 347152 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 10589668 | 9545129 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 7205400 | 6494677 |
| Freddie Mac Gold Pool 2% 1/1/2052  | 1072872 | 869931 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 9119905 | 7914553 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 28868628 | 23615418 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 3956094 | 3251041 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1374761 | 1126315 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 5631836 | 4885349 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 18120606 | 14743931 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 18587 | 15135 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 25326097 | 20717520 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 16056047 | 13094196 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1884160 | 1543656 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1207011 | 988880 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 686603 | 556727 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 466208 | 378022 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 827273 | 670788 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 190505 | 154469 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 2970137 | 2591779 |
| Freddie Mac Gold Pool 2% 2/1/2042  | 1059677 | 917559 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 3722112 | 3027354 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 38063859 | 31149293 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 1866735 | 1636975 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 6217657 | 5057088 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 371200 | 302261 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 6557591 | 5366359 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 2789763 | 2430446 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 81833298 | 67351301 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 6234896 | 5069161 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 1326021 | 1080168 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 553263 | 451030 |
| Freddie Mac Gold Pool 2% 6/1/2035  | 35621619 | 33093731 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 4665593 | 4061806 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 92666579 | 75543463 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 20021183 | 16446761 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 22257267 | 19468223 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 17118 | 14891 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 1250927 | 1018606 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 51008123 | 41534920 |
| Freddie Mac Gold Pool 2% 9/1/2051  | 7486273 | 6154412 |
| Freddie Mac Gold Pool 2.5% 1/1/2031  | 55344 | 53684 |
| Freddie Mac Gold Pool 2.5% 1/1/2033  | 51258 | 49292 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 9349700 | 8339396 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 5495916 | 4702468 |
| Freddie Mac Gold Pool 2.5% 10/1/2029  | 386772 | 377767 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 306462 | 296655 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 4568094 | 4081940 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 37280571 | 32154661 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 5280213 | 4512956 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 1759470 | 1699177 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 274451 | 265041 |
| Freddie Mac Gold Pool 2.5% 11/1/2032  | 61271 | 58905 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 6309898 | 5659820 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1807633 | 1619067 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 829284 | 744418 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 78613647 | 67509823 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 2387241 | 2055276 |
| Freddie Mac Gold Pool 2.5% 12/1/2031  | 1973278 | 1906491 |
| Freddie Mac Gold Pool 2.5% 12/1/2031  | 35289 | 34066 |
| Freddie Mac Gold Pool 2.5% 12/1/2032  | 22525 | 21647 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 13009920 | 11119474 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1328127 | 1142195 |
| Freddie Mac Gold Pool 2.5% 2/1/2032  | 28635 | 27643 |
| Freddie Mac Gold Pool 2.5% 2/1/2033  | 24949 | 23967 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 1190288 | 1067044 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 26368118 | 22717900 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 5601755 | 4775522 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 2840389 | 2424995 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 5131953 | 4375013 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 391077 | 375679 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 181745 | 174375 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 1158194 | 1034390 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 2631630 | 2260747 |
| Freddie Mac Gold Pool 2.5% 5/1/2030  | 24178 | 23544 |
| Freddie Mac Gold Pool 2.5% 5/1/2034  | 340858 | 324700 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 3534746 | 3182034 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 2545576 | 2296644 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 22556730 | 19391840 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 2489840 | 2143608 |
| Freddie Mac Gold Pool 2.5% 6/1/2030  | 26963 | 26223 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 481379 | 466164 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 202148 | 196012 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 1381336 | 1240892 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 832071 | 805781 |
| Freddie Mac Gold Pool 2.5% 7/1/2032  | 2280872 | 2197734 |
| Freddie Mac Gold Pool 2.5% 7/1/2033  | 662516 | 635647 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 1400525 | 1355695 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 7327028 | 6550624 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 680401 | 611540 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 7033477 | 6059812 |
| Freddie Mac Gold Pool 2.5% 9/1/2032  | 316424 | 304682 |
| Freddie Mac Gold Pool 2.5% 9/1/2032  | 216800 | 210571 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 1501633 | 1348340 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 512343 | 498073 |
| Freddie Mac Gold Pool 3% 1/1/2034  | 143302 | 139218 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 146460 | 134680 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 124823 | 115513 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 4685832 | 4158243 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1529748 | 1357510 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 236354 | 209743 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 49141 | 45327 |
| Freddie Mac Gold Pool 3% 10/1/2045  | 12138 | 11088 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 4390011 | 3911849 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 124824 | 111228 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 14033668 | 12487572 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 123348 | 114123 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 49795 | 46244 |
| Freddie Mac Gold Pool 3% 11/1/2045  | 732540 | 664581 |
| Freddie Mac Gold Pool 3% 11/1/2045  | 336756 | 305304 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 8871311 | 7971578 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 257851 | 229685 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 960486 | 853168 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 2209735 | 1960935 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 368440 | 360764 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 495238 | 483866 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 90139 | 87860 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 2178047 | 2017532 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 191167 | 177039 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 71031 | 65814 |
| Freddie Mac Gold Pool 3% 12/1/2045  | 526158 | 477017 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 4773870 | 4328011 |
| Freddie Mac Gold Pool 3% 12/1/2049  | 443761 | 395288 |
| Freddie Mac Gold Pool 3% 12/1/2049  | 5738 | 5111 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 7836681 | 6961065 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 356172 | 348950 |
| Freddie Mac Gold Pool 3% 2/1/2034  | 18664 | 18084 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 629807 | 602059 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 33297 | 31830 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 686644 | 636753 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 147452 | 136989 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 113976 | 105278 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 107670 | 99557 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 85059 | 78437 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 71821 | 66523 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 9894009 | 8856543 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 769926 | 681073 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 112833 | 109866 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 76662 | 70972 |
| Freddie Mac Gold Pool 3% 3/1/2045  | 27265 | 24844 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 7966071 | 7095913 |
| Freddie Mac Gold Pool 3% 3/1/2051  | 36109 | 32097 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 4489333 | 3983869 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 2385266 | 2117449 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 54662 | 53471 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 19126 | 18714 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 1168815 | 1132483 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 31410 | 29094 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 174792 | 160269 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 14219 | 12922 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 293158 | 266420 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 242953 | 220794 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 14348513 | 12834989 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 8028228 | 7146263 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 8921 | 7932 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 100536 | 91817 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 99505 | 90773 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 57272 | 52295 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 33812 | 30845 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 4387137 | 3986994 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 702121 | 638081 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 2078222 | 1845366 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 12281934 | 10918272 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 441508 | 432237 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 161718 | 158323 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 96159 | 94038 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 54104 | 53037 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 49187 | 48103 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 37925 | 37079 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 34129 | 33456 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 695084 | 635963 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 254841 | 233540 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 95446 | 87488 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 31011 | 28428 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 4351523 | 3954628 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 14741565 | 13218827 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 26666 | 23737 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 7702638 | 6837786 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 102340 | 99876 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 3185835 | 2944976 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 786362 | 726286 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 229165 | 209259 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 177581 | 162057 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 74604 | 69497 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 74416 | 67715 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 29982 | 27485 |
| Freddie Mac Gold Pool 3% 7/1/2051  | 654764 | 579560 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 120037 | 117208 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 83199 | 81196 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 27768 | 25751 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 21326 | 19710 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 179314 | 163549 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 127233 | 116046 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 107752 | 98843 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 92667 | 85190 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 39645 | 36359 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 64341 | 57815 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 1974417 | 1750724 |
| Freddie Mac Gold Pool 3.5% 1/1/2043  | 17947 | 16953 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 3562311 | 3384821 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 1803458 | 1712177 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 231227 | 219722 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 548684 | 513764 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 144410 | 135581 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 24611 | 23077 |
| Freddie Mac Gold Pool 3.5% 1/1/2052  | 419760 | 386118 |
| Freddie Mac Gold Pool 3.5% 10/1/2034  | 2545748 | 2487997 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 204990 | 193225 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 411859 | 391268 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 55306 | 52478 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 110565 | 103673 |
| Freddie Mac Gold Pool 3.5% 10/1/2050  | 365015 | 336559 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 8575532 | 7898961 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 2927542 | 2703891 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 1123294 | 1028353 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 5067038 | 4964322 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 428313 | 403730 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 55108 | 51738 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 751130 | 704310 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 641095 | 599691 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 218814 | 203930 |
| Freddie Mac Gold Pool 3.5% 12/1/2029  | 12420 | 12332 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 611154 | 599755 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 413996 | 390235 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 465407 | 435641 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 168388 | 157892 |
| Freddie Mac Gold Pool 3.5% 12/1/2051  | 1423487 | 1311181 |
| Freddie Mac Gold Pool 3.5% 2/1/2030  | 27834 | 27618 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 7188651 | 7057879 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 3837416 | 3747034 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 4794063 | 4551843 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 707425 | 673230 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 263897 | 252076 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 45443 | 43032 |
| Freddie Mac Gold Pool 3.5% 2/1/2046  | 7294 | 6839 |
| Freddie Mac Gold Pool 3.5% 2/1/2051  | 517557 | 476724 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 3575375 | 3299998 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 3793162 | 3736034 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 1299001 | 1223688 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 321581 | 303516 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 255382 | 240995 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 109535 | 103865 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 2537244 | 2391111 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 21572 | 20226 |
| Freddie Mac Gold Pool 3.5% 3/1/2050  | 8805 | 8107 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 15392177 | 14197044 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 8522507 | 7861039 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 7970420 | 7336609 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 507643 | 484923 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 5880670 | 5606435 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 148347 | 141276 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 959824 | 910516 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 407069 | 386289 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 325916 | 309582 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 28371 | 26840 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 1570266 | 1472290 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 1571067 | 1472059 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 72647 | 68114 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 5129760 | 4725045 |
| Freddie Mac Gold Pool 3.5% 4/1/2050  | 18113 | 16723 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 5495045 | 5099289 |
| Freddie Mac Gold Pool 3.5% 5/1/2030  | 60415 | 59870 |
| Freddie Mac Gold Pool 3.5% 5/1/2030  | 27790 | 27543 |
| Freddie Mac Gold Pool 3.5% 5/1/2030  | 14195 | 14079 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 711332 | 697207 |
| Freddie Mac Gold Pool 3.5% 5/1/2038  | 514577 | 498261 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 994866 | 950953 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 139781 | 133569 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 3495927 | 3289940 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 152306 | 143288 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 77402 | 72872 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 34786 | 33078 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 31948 | 29957 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 12364312 | 11600573 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 27593 | 25905 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 7527 | 7057 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  | 3471767 | 3197860 |
| Freddie Mac Gold Pool 3.5% 6/1/2030  | 33233 | 32930 |
| Freddie Mac Gold Pool 3.5% 6/1/2030  | 16419 | 16260 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 6300643 | 6202509 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 860917 | 824075 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 4619761 | 4354136 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 4207288 | 3962296 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 683796 | 645531 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 261369 | 246683 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 49770 | 46960 |
| Freddie Mac Gold Pool 3.5% 6/1/2050  | 7102341 | 6557535 |
| Freddie Mac Gold Pool 3.5% 6/1/2051  | 557459 | 513478 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 214044 | 195686 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 817720 | 804993 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 81596 | 77857 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 2995940 | 2844864 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 147000 | 137736 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 37926 | 35560 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 1814021 | 1703215 |
| Freddie Mac Gold Pool 3.5% 7/1/2051  | 22089219 | 20346479 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 1199109 | 1172687 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 557916 | 532901 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 193472 | 183838 |
| Freddie Mac Gold Pool 3.5% 8/1/2045  | 4703 | 4418 |
| Freddie Mac Gold Pool 3.5% 8/1/2046  | 14332 | 13496 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 2790914 | 2620436 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 324590 | 304763 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 219213 | 205823 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 3904324 | 3607272 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 696387 | 641228 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 445984 | 418157 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 6755609 | 6411371 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 3793033 | 3599042 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 22015 | 20886 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 10567344 | 9938984 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 1262711 | 1181952 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 55299 | 51921 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 51983 | 48808 |
| Freddie Mac Gold Pool 3.5% 9/1/2051  | 2837589 | 2612830 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 4098039 | 4078104 |
| Freddie Mac Gold Pool 4% 1/1/2039  | 119186 | 117377 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 1431503 | 1400969 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 68058 | 66726 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 16900 | 16515 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 481943 | 470668 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 35979 | 35016 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 108411 | 105243 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 83173 | 80870 |
| Freddie Mac Gold Pool 4% 1/1/2049  | 2442365 | 2338352 |
| Freddie Mac Gold Pool 4% 10/1/2040  | 21937 | 21461 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 1649722 | 1612054 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 160216 | 156619 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 139387 | 136237 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 55838 | 54474 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 27306 | 26816 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 18932 | 18418 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 277039 | 269558 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 108772 | 105599 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 38546 | 37427 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 36371 | 35447 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 190321 | 184492 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 71636 | 69210 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 2853545 | 2725779 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 628840 | 613988 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 19172 | 18875 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 7963 | 7783 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 3136670 | 3066137 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 2121113 | 2071585 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 239214 | 233389 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 206424 | 201107 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 128648 | 125515 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 71070 | 69185 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 6856 | 6772 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 5999 | 5846 |
| Freddie Mac Gold Pool 4% 11/1/2047  | 1462460 | 1404242 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 70726 | 69235 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 34535 | 33830 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 13932 | 13640 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 5508 | 5394 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 108568 | 105773 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 58456 | 57171 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 18484 | 17909 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 2359571 | 2265641 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 1371739 | 1341826 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 1277097 | 1250130 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 372429 | 363937 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 534205 | 521362 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 198420 | 194061 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 193304 | 188291 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 147762 | 143826 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 124385 | 121090 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 63551 | 61795 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 116408 | 113184 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 59640 | 58097 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 57781 | 56051 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 2424379 | 2354881 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 595786 | 578727 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 23057 | 22262 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 12999 | 12558 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 1506592 | 1448501 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 162669 | 156448 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 231690 | 226351 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 212300 | 207173 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 19927 | 19407 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 62612 | 61180 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 38901 | 37830 |
| Freddie Mac Gold Pool 4% 3/1/2044  | 127880 | 124159 |
| Freddie Mac Gold Pool 4% 4/1/2040  | 2496 | 2461 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 1305701 | 1274338 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 987929 | 965095 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 61476 | 60094 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 36989 | 36025 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 33865 | 33184 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 26852 | 26297 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 3305973 | 3224507 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 102820 | 100263 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 36223 | 35569 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 811288 | 783302 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 165657 | 159839 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 538183 | 516927 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 449267 | 431523 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 243023 | 233424 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 96806 | 92983 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 26701 | 25646 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 171268 | 167482 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 126071 | 122603 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 43554 | 42312 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 42718 | 41505 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 39405 | 38290 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 12953 | 12600 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 783836 | 766081 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 200866 | 194457 |
| Freddie Mac Gold Pool 4% 5/1/2053  | 12631364 | 12010541 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 60927 | 60078 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 45351 | 44719 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 50473 | 49278 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 8098 | 8019 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 116606 | 113987 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 65379 | 63547 |
| Freddie Mac Gold Pool 4% 6/1/2044  | 45793 | 44606 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 132645 | 128642 |
| Freddie Mac Gold Pool 4% 7/1/2041  | 210842 | 205833 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 2016464 | 1965642 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 264663 | 257363 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 238863 | 232845 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 113617 | 110737 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 71321 | 69300 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 65655 | 63776 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 63063 | 61253 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 23589 | 22922 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 154314 | 150917 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 97328 | 94490 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 96277 | 93375 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 24649 | 23900 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 377167 | 365593 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 344553 | 339754 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 236280 | 232990 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 123578 | 120149 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 98198 | 95969 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 71580 | 70030 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 35255 | 34360 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 21496 | 20881 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 30514 | 29773 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 28666 | 27832 |
| Freddie Mac Gold Pool 4% 9/1/2040  | 34779 | 34038 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 281125 | 274814 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 273659 | 267468 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 151712 | 148600 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 47969 | 46833 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 816884 | 797284 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 151282 | 148074 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 193050 | 188024 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 180233 | 175436 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 173559 | 169049 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 151334 | 147110 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 148143 | 143896 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 103972 | 101259 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 52100 | 50578 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 22462 | 21932 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 133498 | 129703 |
| Freddie Mac Gold Pool 4.5% 1/1/2040  | 48245 | 48404 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 656953 | 658887 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 74614 | 74872 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 42203 | 42331 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 1423259 | 1427305 |
| Freddie Mac Gold Pool 4.5% 1/1/2045  | 52222 | 52057 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 118739 | 117697 |
| Freddie Mac Gold Pool 4.5% 1/1/2053  | 1458784 | 1421364 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 284288 | 285211 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 66302 | 66502 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 26746 | 26835 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 135928 | 136311 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 131002 | 131311 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 645660 | 647098 |
| Freddie Mac Gold Pool 4.5% 10/1/2043  | 76668 | 76637 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 1140471 | 1130462 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 418398 | 413026 |
| Freddie Mac Gold Pool 4.5% 10/1/2052  | 4993359 | 4865271 |
| Freddie Mac Gold Pool 4.5% 11/1/2031  | 9649 | 9669 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 2145 | 2153 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 33055 | 33149 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 6344 | 6362 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 401138 | 399874 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 15037 | 15018 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 1100 | 1103 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 49691 | 49807 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 42933 | 43032 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 2726 | 2733 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 91083 | 90796 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 15248 | 15228 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 390787 | 392100 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 120249 | 119194 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 2492191 | 2465647 |
| Freddie Mac Gold Pool 4.5% 12/1/2052  | 5950295 | 5797659 |
| Freddie Mac Gold Pool 4.5% 2/1/2037  | 3205 | 3220 |
| Freddie Mac Gold Pool 4.5% 2/1/2040  | 8850 | 8879 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 212995 | 213630 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 141627 | 142018 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 132434 | 132812 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 102675 | 102990 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 96739 | 96930 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 86965 | 87253 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 60378 | 60513 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 56373 | 56494 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 24892 | 24966 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 37255 | 37270 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 546438 | 541642 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 795939 | 798152 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 558900 | 560473 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 135726 | 136112 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 78557 | 78772 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 55674 | 55842 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 14917 | 14959 |
| Freddie Mac Gold Pool 4.5% 3/1/2042  | 5537 | 5554 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 28778 | 28767 |
| Freddie Mac Gold Pool 4.5% 3/1/2053  | 8479230 | 8285570 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 1357782 | 1361504 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 1053688 | 1056611 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 131449 | 131702 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 128599 | 128913 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 8042 | 8057 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 2878 | 2887 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 329719 | 325486 |
| Freddie Mac Gold Pool 4.5% 4/1/2053  | 11162975 | 10908020 |
| Freddie Mac Gold Pool 4.5% 5/1/2035  | 23271 | 23377 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 338083 | 339285 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 7009 | 7030 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 4196 | 4213 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 140102 | 140425 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 137431 | 137691 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 30465 | 30549 |
| Freddie Mac Gold Pool 4.5% 5/1/2045  | 449306 | 447469 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 1430952 | 1418395 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 1064257 | 1054917 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 479078 | 474874 |
| Freddie Mac Gold Pool 4.5% 6/1/2038  | 28648 | 28779 |
| Freddie Mac Gold Pool 4.5% 6/1/2039  | 9720 | 9752 |
| Freddie Mac Gold Pool 4.5% 6/1/2040  | 14874 | 14921 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 146488 | 146956 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 97983 | 98193 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 62069 | 62206 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 52627 | 52797 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 43180 | 43355 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 23275 | 23332 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 5950 | 5964 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 2075199 | 2056338 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 291127 | 289118 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 102599 | 102931 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 45201 | 45316 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 40258 | 40376 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 1693 | 1698 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 27587 | 27663 |
| Freddie Mac Gold Pool 4.5% 7/1/2044  | 8766 | 8744 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 845664 | 837978 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 529958 | 526300 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 233634 | 232022 |
| Freddie Mac Gold Pool 4.5% 8/1/2033  | 11160 | 11211 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 2866 | 2879 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 347 | 349 |
| Freddie Mac Gold Pool 4.5% 8/1/2039  | 1686 | 1691 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 35462 | 35567 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 20909 | 20968 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 5373 | 5388 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 3382 | 3392 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 498426 | 499784 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 38874 | 38984 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 38197 | 38311 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 36157 | 36233 |
| Freddie Mac Gold Pool 4.5% 8/1/2055  | 4523458 | 4394701 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 148003 | 148623 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 2086 | 2093 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 460 | 462 |
| Freddie Mac Gold Pool 4.5% 9/1/2040  | 66200 | 66394 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 814284 | 816446 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 692016 | 693942 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 623231 | 625183 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 48604 | 48746 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 30824 | 30911 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 257820 | 262126 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 12160 | 12384 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 179451 | 183025 |
| Freddie Mac Gold Pool 5% 1/1/2041  | 21743 | 22190 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 7703907 | 7729286 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 30772 | 31293 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 21364 | 21714 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 1009 | 1025 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 295 | 300 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 15058858 | 15131995 |
| Freddie Mac Gold Pool 5% 11/1/2034  | 119 | 120 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 17515 | 17839 |
| Freddie Mac Gold Pool 5% 11/1/2037  | 1420 | 1447 |
| Freddie Mac Gold Pool 5% 11/1/2040  | 15666 | 15976 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 17166324 | 17249698 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 3313469 | 3338881 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 19210 | 19541 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 11937 | 12139 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 3572 | 3630 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 1708 | 1740 |
| Freddie Mac Gold Pool 5% 12/1/2035  | 46938 | 47822 |
| Freddie Mac Gold Pool 5% 12/1/2039  | 3864 | 3943 |
| Freddie Mac Gold Pool 5% 12/1/2052 (j)(k) | 7796028 | 7833892 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 2253771 | 2261196 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 2011553 | 2020695 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1832879 | 1838917 |
| Freddie Mac Gold Pool 5% 2/1/2035  | 28109 | 28538 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 25455 | 25975 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 48873 | 49884 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 17968 | 18339 |
| Freddie Mac Gold Pool 5% 3/1/2038  | 1961013 | 1991050 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 101279 | 103373 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 100371 | 102423 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 13589 | 13698 |
| Freddie Mac Gold Pool 5% 4/1/2034  | 9921 | 10093 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 70328 | 71518 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 25238 | 25701 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 18046 | 18374 |
| Freddie Mac Gold Pool 5% 4/1/2036  | 149283 | 152027 |
| Freddie Mac Gold Pool 5% 4/1/2038  | 179433 | 182899 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 252902 | 258047 |
| Freddie Mac Gold Pool 5% 4/1/2041  | 34350 | 35059 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 11945 | 12146 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 5955 | 6055 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 4123 | 4198 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 889 | 903 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 68198 | 69436 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 1694 | 1720 |
| Freddie Mac Gold Pool 5% 5/1/2040  | 37644 | 38393 |
| Freddie Mac Gold Pool 5% 5/1/2041  | 88138 | 89959 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 369083 | 372145 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 12574 | 12794 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 5576 | 5679 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 3710 | 3784 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 3466 | 3534 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 140557 | 143399 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 98296 | 100278 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 4151239 | 4236250 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 109688 | 111951 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 7554639 | 7614939 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 1155557 | 1165141 |
| Freddie Mac Gold Pool 5% 7/1/2034  | 151 | 154 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 442311 | 450104 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 61403 | 62538 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 3140 | 3198 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 2065 | 2103 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 984 | 1002 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 979 | 998 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 640 | 652 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 347 | 353 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 18911 | 19280 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 1099 | 1121 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 99451 | 101505 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 73302 | 74733 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 69101 | 70529 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 67906 | 69307 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 47067 | 47763 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 45555 | 46488 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 28593 | 29111 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 8118 | 8254 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 2397 | 2435 |
| Freddie Mac Gold Pool 5% 8/1/2034  | 108092 | 109943 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 8923 | 9075 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 1165 | 1186 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 2385 | 2431 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 203187 | 207197 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 4224 | 4305 |
| Freddie Mac Gold Pool 5% 9/1/2033  | 25119 | 25529 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 41532 | 42305 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 2448 | 2492 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 266 | 271 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 1568655 | 1566224 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 1990692 | 2013635 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (l)(m) | 32962495 | 33775037 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 5837398 | 5944809 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 328 | 336 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 84 | 86 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 6126 | 6351 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 3781 | 3921 |
| Freddie Mac Gold Pool 6% 10/1/2032  | 3103 | 3225 |
| Freddie Mac Gold Pool 6% 11/1/2029  | 278 | 284 |
| Freddie Mac Gold Pool 6% 11/1/2031  | 4142 | 4295 |
| Freddie Mac Gold Pool 6% 11/1/2032  | 33745 | 35000 |
| Freddie Mac Gold Pool 6% 12/1/2032  | 1662 | 1726 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 92134 | 97488 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 23678 | 24992 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 1442281 | 1493241 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 189 | 194 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 145 | 148 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 88 | 90 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 4142704 | 4304615 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 405 | 414 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 262 | 268 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 73 | 75 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 60 | 61 |
| Freddie Mac Gold Pool 6% 4/1/2029  | 63 | 63 |
| Freddie Mac Gold Pool 6% 4/1/2029  | 34 | 35 |
| Freddie Mac Gold Pool 6% 4/1/2031  | 3141 | 3245 |
| Freddie Mac Gold Pool 6% 4/1/2033  | 10882 | 11306 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 12709981 | 13178928 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 609 | 623 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 119 | 121 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 76733 | 79313 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 18751319 | 19484184 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 1373 | 1403 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 257 | 262 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 87 | 89 |
| Freddie Mac Gold Pool 6% 6/1/2031  | 1068 | 1106 |
| Freddie Mac Gold Pool 6% 7/1/2028  | 29 | 30 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 454 | 465 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 258 | 263 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 225 | 230 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 205 | 209 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 189 | 193 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 141 | 144 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 47 | 48 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 21 | 20 |
| Freddie Mac Gold Pool 6% 7/1/2032  | 8083 | 8366 |
| Freddie Mac Gold Pool 6% 7/1/2033  | 10540 | 10977 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 13099 | 13830 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 27714070 | 28628005 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 199358 | 210010 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 17775632 | 18460644 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 61251 | 63741 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 24644 | 25704 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 16964731 | 17769454 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 6056005 | 6351978 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 23324 | 24429 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 4588143 | 4805782 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 2278212 | 2392296 |
| Freddie Mac Gold Pool 6.5% 2/1/2037  | 2273 | 2395 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 54 | 57 |
| Freddie Mac Gold Pool 6.5% 3/1/2036  | 225771 | 235819 |
| Freddie Mac Gold Pool 6.5% 3/1/2037  | 2214 | 2365 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 2333 | 2437 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 14030825 | 14740225 |
| Freddie Mac Gold Pool 6.5% 7/1/2032  | 611 | 639 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 9132 | 9543 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 6061 | 6345 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 6005 | 6284 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 491238 | 524973 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 542594 | 570028 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 12337 | 13031 |
| Freddie Mac Gold Pool 7% 11/1/2026  | 398 | 402 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 20191 | 21322 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 18069 | 19192 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 608 | 613 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 7567 | 7942 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 3495 | 3699 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 29992 | 31356 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 1582 | 1590 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 2373 | 2389 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 52143 | 55224 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 2404 | 2427 |
| Freddie Mac Gold Pool 7.5% 10/1/2027  | 75 | 76 |
| Freddie Mac Gold Pool 7.5% 10/1/2030  | 81 | 86 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 6708 | 7004 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 8346 | 8684 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 284 | 301 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 12 | 11 |
| Freddie Mac Gold Pool 7.5% 11/1/2031  | 394 | 420 |
| Freddie Mac Gold Pool 7.5% 12/1/2029  | 1480 | 1541 |
| Freddie Mac Gold Pool 7.5% 2/1/2027  | 6 | 5 |
| Freddie Mac Gold Pool 7.5% 3/1/2027  | 12 | 11 |
| Freddie Mac Gold Pool 7.5% 4/1/2028  | 142 | 145 |
| Freddie Mac Gold Pool 7.5% 5/1/2031  | 316 | 332 |
| Freddie Mac Gold Pool 7.5% 6/1/2027  | 126 | 128 |
| Freddie Mac Gold Pool 7.5% 6/1/2032  | 4770 | 5084 |
| Freddie Mac Gold Pool 7.5% 7/1/2026  | 54 | 55 |
| Freddie Mac Gold Pool 7.5% 8/1/2026  | 53 | 53 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 329 | 345 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 43 | 45 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 6567 | 6950 |
| Freddie Mac Gold Pool 8% 11/1/2031  | 886 | 932 |
| Freddie Mac Gold Pool 8% 12/1/2026  | 59 | 59 |
| Freddie Mac Gold Pool 8% 2/1/2030  | 82 | 85 |
| Freddie Mac Gold Pool 8% 4/1/2027  | 694 | 701 |
| Freddie Mac Gold Pool 8% 4/1/2032  | 121 | 128 |
| Freddie Mac Gold Pool 8% 7/1/2030  | 873 | 921 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 2000 | 2090 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 66 | 70 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 24 | 26 |
| Freddie Mac Gold Pool 8% 9/1/2030  | 56 | 59 |
| Freddie Mac Gold Pool 8.5% 1/1/2028  | 10 | 9 |
| Freddie Mac Gold Pool 8.5% 12/1/2027  | 17 | 16 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 26 | 26 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 7 | 6 |
| Freddie Mac Gold Pool 8.5% 8/1/2026  | 44 | 44 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 720 | 734 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 308 | 315 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 34 | 34 |
| Freddie Mac Gold Pool 8.5% 9/1/2026  | 11 | 10 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 5500628 | 5698852 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 2802498 | 2947258 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 2524102 | 2656257 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 811159 | 857177 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.325%, 6.133% 1/1/2036 (c)(d) | 10720 | 10896 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 6.224% 3/1/2036 (c)(d) | 43959 | 44745 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 6.5% 3/1/2036 (c)(d) | 33280 | 34137 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.432% 7/1/2041 (c)(d) | 79644 | 82803 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.561% 9/1/2041 (c)(d) | 78332 | 81439 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.608% 12/1/2040 (c)(d) | 314534 | 326094 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.59% 5/1/2035 (c)(d) | 66213 | 68217 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (c)(d) | 23167 | 23977 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.716% 9/1/2041 (c)(d) | 14430 | 15055 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (c)(d) | 1886 | 1968 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.535% 6/1/2041 (c)(d) | 7473 | 7797 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.672% 6/1/2041 (c)(d) | 25688 | 26816 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.777% 5/1/2041 (c)(d) | 18195 | 19002 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.837% 5/1/2041 (c)(d) | 26652 | 27835 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.933%, 6.746% 10/1/2042 (c)(d) | 36424 | 37919 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.01%, 7.009% 4/1/2038 (c)(d) | 18906 | 19734 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 6.658% 3/1/2033 (c)(d) | 335 | 343 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (c)(d) | 15862 | 16436 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.196% 6/1/2033 (c)(d) | 34163 | 34728 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.247%, 6.496% 1/1/2035 (c)(d) | 1977 | 2018 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.26%, 6.32% 6/1/2033 (c)(d) | 45858 | 46703 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 6.605% 3/1/2035 (c)(d) | 101199 | 103358 |
| Freddie Mac Non Gold Pool 3.5% 5/1/2049  | 1083922 | 1008500 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 12199 | 11950 |
| Freddie Mac Non Gold Pool 5% 8/1/2053  | 5537668 | 5536875 |
| Freddie Mac Non Gold Pool 5.5% 11/1/2054  | 11631396 | 11761819 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 12656032 | 12912639 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 4065528 | 4147958 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 4011244 | 4088814 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.125%, 5.625% 8/1/2037 (c)(d) | 12869 | 12929 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.655%, 6.305% 4/1/2035 (c)(d) | 36402 | 37054 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.29% 10/1/2036 (c)(d) | 22822 | 23227 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.994%, 6.661% 10/1/2035 (c)(d) | 26258 | 26868 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.635% 6/1/2037 (c)(d) | 12032 | 12377 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.645%, 8.27% 10/1/2035 (c)(d) | 1304 | 1362 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 5787225 | 5973622 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 5741486 | 5942558 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 6261554 | 6480839 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 4856140 | 5088768 |
| Ginnie Mae I Pool 2% 11/20/2052  | 1022121 | 848241 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 8399828 | 7171866 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 13105736 | 11185726 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 8697829 | 7423584 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 6935588 | 5921681 |
| Ginnie Mae I Pool 2.5% 12/20/2052  | 19470 | 16831 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 48693935 | 41575413 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 12746620 | 10883204 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 7380867 | 6301866 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 21636004 | 18473057 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 12589868 | 10749367 |
| Ginnie Mae I Pool 3% 1/20/2050  | 138665 | 123870 |
| Ginnie Mae I Pool 3% 1/20/2050  | 75203 | 67203 |
| Ginnie Mae I Pool 3% 12/15/2042  | 512677 | 469895 |
| Ginnie Mae I Pool 3% 12/20/2042  | 638573 | 587388 |
| Ginnie Mae I Pool 3% 2/15/2045  | 306135 | 278396 |
| Ginnie Mae I Pool 3% 2/15/2045  | 219505 | 199272 |
| Ginnie Mae I Pool 3% 2/20/2050  | 8230160 | 7352054 |
| Ginnie Mae I Pool 3% 2/20/2050  | 859860 | 768118 |
| Ginnie Mae I Pool 3% 3/15/2045  | 437355 | 397178 |
| Ginnie Mae I Pool 3% 3/20/2043  | 414821 | 381743 |
| Ginnie Mae I Pool 3% 3/20/2043  | 170394 | 156921 |
| Ginnie Mae I Pool 3% 4/15/2043  | 56794 | 51885 |
| Ginnie Mae I Pool 3% 4/15/2043  | 48296 | 44332 |
| Ginnie Mae I Pool 3% 4/15/2043  | 5389 | 4950 |
| Ginnie Mae I Pool 3% 4/15/2043  | 5177 | 4809 |
| Ginnie Mae I Pool 3% 4/15/2045  | 168559 | 152918 |
| Ginnie Mae I Pool 3% 5/15/2042  | 75120 | 69160 |
| Ginnie Mae I Pool 3% 5/15/2043  | 55122 | 49963 |
| Ginnie Mae I Pool 3% 5/15/2043  | 42978 | 39377 |
| Ginnie Mae I Pool 3% 5/15/2043  | 42464 | 39007 |
| Ginnie Mae I Pool 3% 5/15/2043  | 16030 | 14639 |
| Ginnie Mae I Pool 3% 5/15/2045  | 2694 | 2439 |
| Ginnie Mae I Pool 3% 6/15/2043  | 65549 | 60280 |
| Ginnie Mae I Pool 3% 6/15/2043  | 55182 | 50376 |
| Ginnie Mae I Pool 3% 6/15/2043  | 28075 | 26008 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 74364 | 70543 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 16232 | 15382 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 225696 | 212419 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 164393 | 155026 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 45480 | 42953 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 4802 | 4539 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 2182 | 2061 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 250801 | 236277 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 7437 | 7015 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 86140 | 79005 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 43951 | 40421 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 42832 | 39391 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 12296 | 11277 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 5610659 | 5135887 |
| Ginnie Mae I Pool 3.5% 11/15/2040  | 30126 | 28540 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 283269 | 268430 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 108333 | 102236 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 2858 | 2698 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 579027 | 545897 |
| Ginnie Mae I Pool 3.5% 11/20/2049  | 283231 | 260393 |
| Ginnie Mae I Pool 3.5% 11/20/2049  | 168436 | 154485 |
| Ginnie Mae I Pool 3.5% 12/15/2040  | 5917 | 5610 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 218540 | 206139 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 201120 | 189520 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 124730 | 118041 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 18140 | 17167 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 425768 | 402112 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 305204 | 288100 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 243489 | 230253 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 239184 | 225952 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 196758 | 185318 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 146278 | 137739 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 130045 | 122757 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 83092 | 78535 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 9864 | 9318 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 1095240 | 1034385 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 43005 | 40544 |
| Ginnie Mae I Pool 3.5% 2/15/2044  | 166646 | 156041 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 790225 | 747062 |
| Ginnie Mae I Pool 3.5% 2/20/2050  | 564263 | 517529 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 218693 | 206859 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 122380 | 115878 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 33010 | 31137 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 19252 | 18182 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 19072 | 17994 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 7770 | 7318 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 363418 | 343403 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 285067 | 269311 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 948096 | 895872 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 177500 | 166700 |
| Ginnie Mae I Pool 3.5% 4/20/2043  | 303982 | 286833 |
| Ginnie Mae I Pool 3.5% 4/20/2043  | 118184 | 111567 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 336340 | 317814 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 245575 | 231989 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 38965 | 36628 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 34424 | 32578 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 30421 | 28652 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 13251 | 12496 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 216958 | 201294 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 148974 | 138218 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 115805 | 107444 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 112938 | 104784 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 110095 | 102146 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 57932 | 53660 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 7382 | 6956 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 73164 | 68744 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 63792 | 59855 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 48582 | 45802 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 32855 | 31197 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 24594 | 23130 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 7333 | 6889 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 537158 | 498377 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 166430 | 154414 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 143948 | 133555 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 136785 | 126909 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 113716 | 105506 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 73642 | 68326 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 49627 | 46044 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 163951 | 154609 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 55169 | 52026 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 13373 | 12605 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 27879 | 26220 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 301017 | 283291 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 6322802 | 5866310 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 30198034 | 27670994 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 13395 | 12619 |
| Ginnie Mae I Pool 3.5% 8/15/2043  | 19319 | 18143 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 17877106 | 16381110 |
| Ginnie Mae I Pool 3.5% 9/15/2041  | 1932 | 1830 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 36845 | 34669 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 18671 | 17586 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 17600 | 16704 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 16418 | 15456 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 2360 | 2223 |
| Ginnie Mae I Pool 3.5% 9/15/2043  | 14195 | 13348 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 26152341 | 23939336 |
| Ginnie Mae I Pool 4% 1/15/2040  | 38947 | 37929 |
| Ginnie Mae I Pool 4% 1/15/2040  | 38104 | 37023 |
| Ginnie Mae I Pool 4% 1/15/2041  | 213124 | 206823 |
| Ginnie Mae I Pool 4% 1/15/2041  | 29196 | 28329 |
| Ginnie Mae I Pool 4% 1/15/2041  | 8115 | 7876 |
| Ginnie Mae I Pool 4% 1/15/2041  | 3753 | 3641 |
| Ginnie Mae I Pool 4% 1/15/2042  | 26076 | 25257 |
| Ginnie Mae I Pool 4% 1/15/2043  | 96416 | 93240 |
| Ginnie Mae I Pool 4% 1/15/2047  | 398742 | 379740 |
| Ginnie Mae I Pool 4% 1/15/2047  | 384623 | 366293 |
| Ginnie Mae I Pool 4% 1/15/2047  | 295606 | 281518 |
| Ginnie Mae I Pool 4% 1/15/2047  | 140742 | 134034 |
| Ginnie Mae I Pool 4% 10/15/2039  | 46406 | 45194 |
| Ginnie Mae I Pool 4% 10/15/2040  | 233454 | 226675 |
| Ginnie Mae I Pool 4% 10/15/2040  | 214152 | 208049 |
| Ginnie Mae I Pool 4% 10/15/2040  | 200690 | 194890 |
| Ginnie Mae I Pool 4% 10/15/2040  | 25571 | 24836 |
| Ginnie Mae I Pool 4% 10/15/2040  | 20516 | 19928 |
| Ginnie Mae I Pool 4% 10/15/2040  | 13946 | 13558 |
| Ginnie Mae I Pool 4% 10/15/2040  | 9498 | 9232 |
| Ginnie Mae I Pool 4% 10/15/2041  | 1085954 | 1051999 |
| Ginnie Mae I Pool 4% 10/15/2041  | 402064 | 389930 |
| Ginnie Mae I Pool 4% 10/15/2041  | 260854 | 253106 |
| Ginnie Mae I Pool 4% 10/15/2041  | 222688 | 216038 |
| Ginnie Mae I Pool 4% 10/15/2041  | 136372 | 132129 |
| Ginnie Mae I Pool 4% 10/15/2041  | 112895 | 109662 |
| Ginnie Mae I Pool 4% 10/15/2041  | 85604 | 82836 |
| Ginnie Mae I Pool 4% 10/15/2041  | 63534 | 61587 |
| Ginnie Mae I Pool 4% 10/15/2041  | 47519 | 46107 |
| Ginnie Mae I Pool 4% 10/15/2041  | 40111 | 38946 |
| Ginnie Mae I Pool 4% 10/15/2041  | 26302 | 25512 |
| Ginnie Mae I Pool 4% 10/15/2041  | 14368 | 13937 |
| Ginnie Mae I Pool 4% 10/20/2042  | 736730 | 712819 |
| Ginnie Mae I Pool 4% 11/15/2039  | 34614 | 33739 |
| Ginnie Mae I Pool 4% 11/15/2040  | 57984 | 56270 |
| Ginnie Mae I Pool 4% 11/15/2040  | 13008 | 12648 |
| Ginnie Mae I Pool 4% 11/15/2040  | 6905 | 6725 |
| Ginnie Mae I Pool 4% 11/15/2041  | 665011 | 644837 |
| Ginnie Mae I Pool 4% 11/15/2041  | 63491 | 61428 |
| Ginnie Mae I Pool 4% 11/15/2041  | 7297 | 7071 |
| Ginnie Mae I Pool 4% 11/15/2041  | 3549 | 3446 |
| Ginnie Mae I Pool 4% 11/15/2042  | 32313 | 31259 |
| Ginnie Mae I Pool 4% 12/15/2039  | 117610 | 114290 |
| Ginnie Mae I Pool 4% 12/15/2039  | 19377 | 18838 |
| Ginnie Mae I Pool 4% 12/15/2040  | 1320254 | 1281036 |
| Ginnie Mae I Pool 4% 12/15/2040  | 27293 | 26584 |
| Ginnie Mae I Pool 4% 12/15/2040  | 18858 | 18310 |
| Ginnie Mae I Pool 4% 12/15/2040  | 13252 | 12844 |
| Ginnie Mae I Pool 4% 12/15/2040  | 8995 | 8720 |
| Ginnie Mae I Pool 4% 12/15/2041  | 309641 | 300394 |
| Ginnie Mae I Pool 4% 12/15/2041  | 212064 | 205401 |
| Ginnie Mae I Pool 4% 12/15/2041  | 146192 | 141643 |
| Ginnie Mae I Pool 4% 12/15/2041  | 79981 | 77492 |
| Ginnie Mae I Pool 4% 12/15/2041  | 18704 | 18183 |
| Ginnie Mae I Pool 4% 12/15/2041  | 11109 | 10768 |
| Ginnie Mae I Pool 4% 12/15/2041  | 10352 | 10022 |
| Ginnie Mae I Pool 4% 12/15/2042  | 24798 | 24015 |
| Ginnie Mae I Pool 4% 12/15/2046  | 74653 | 71235 |
| Ginnie Mae I Pool 4% 2/15/2040  | 176505 | 171428 |
| Ginnie Mae I Pool 4% 2/15/2040  | 102727 | 99758 |
| Ginnie Mae I Pool 4% 2/15/2040  | 96668 | 94005 |
| Ginnie Mae I Pool 4% 2/15/2040  | 20699 | 20115 |
| Ginnie Mae I Pool 4% 2/15/2041  | 88425 | 85870 |
| Ginnie Mae I Pool 4% 2/15/2041  | 28905 | 28005 |
| Ginnie Mae I Pool 4% 2/15/2041  | 6297 | 6115 |
| Ginnie Mae I Pool 4% 2/15/2042  | 102725 | 99513 |
| Ginnie Mae I Pool 4% 2/15/2045  | 189027 | 182178 |
| Ginnie Mae I Pool 4% 3/15/2040  | 884300 | 859097 |
| Ginnie Mae I Pool 4% 3/15/2041  | 438434 | 425821 |
| Ginnie Mae I Pool 4% 3/15/2041  | 32279 | 31346 |
| Ginnie Mae I Pool 4% 3/15/2041  | 14198 | 13750 |
| Ginnie Mae I Pool 4% 3/15/2042  | 340050 | 329261 |
| Ginnie Mae I Pool 4% 3/15/2042  | 52427 | 50716 |
| Ginnie Mae I Pool 4% 3/15/2042  | 23596 | 22862 |
| Ginnie Mae I Pool 4% 3/15/2042  | 5681 | 5499 |
| Ginnie Mae I Pool 4% 3/20/2047  | 2019045 | 1942996 |
| Ginnie Mae I Pool 4% 4/15/2040  | 66107 | 64170 |
| Ginnie Mae I Pool 4% 4/15/2040  | 29498 | 28693 |
| Ginnie Mae I Pool 4% 4/15/2041  | 90928 | 88263 |
| Ginnie Mae I Pool 4% 4/15/2042  | 64403 | 62340 |
| Ginnie Mae I Pool 4% 4/15/2043  | 182433 | 176344 |
| Ginnie Mae I Pool 4% 4/15/2043  | 17684 | 17142 |
| Ginnie Mae I Pool 4% 4/15/2046  | 3024612 | 2912952 |
| Ginnie Mae I Pool 4% 4/20/2048  | 1016873 | 967767 |
| Ginnie Mae I Pool 4% 4/20/2048  | 931745 | 886750 |
| Ginnie Mae I Pool 4% 5/15/2040  | 57308 | 55621 |
| Ginnie Mae I Pool 4% 5/15/2041  | 6361 | 6207 |
| Ginnie Mae I Pool 4% 5/15/2041  | 1562 | 1515 |
| Ginnie Mae I Pool 4% 5/15/2042  | 10570 | 10425 |
| Ginnie Mae I Pool 4% 5/15/2043  | 25728 | 24828 |
| Ginnie Mae I Pool 4% 5/15/2045  | 175835 | 169225 |
| Ginnie Mae I Pool 4% 5/20/2041  | 22449 | 21848 |
| Ginnie Mae I Pool 4% 5/20/2049  | 174120 | 164841 |
| Ginnie Mae I Pool 4% 6/15/2041  | 55613 | 53935 |
| Ginnie Mae I Pool 4% 6/15/2041  | 30430 | 29648 |
| Ginnie Mae I Pool 4% 6/15/2041  | 28191 | 27296 |
| Ginnie Mae I Pool 4% 6/15/2042  | 35300 | 34116 |
| Ginnie Mae I Pool 4% 6/15/2042  | 1657 | 1602 |
| Ginnie Mae I Pool 4% 6/15/2043  | 164272 | 158740 |
| Ginnie Mae I Pool 4% 6/15/2043  | 6617 | 6409 |
| Ginnie Mae I Pool 4% 6/15/2045  | 47258 | 45572 |
| Ginnie Mae I Pool 4% 7/15/2039  | 43152 | 41957 |
| Ginnie Mae I Pool 4% 7/15/2041  | 38985 | 37796 |
| Ginnie Mae I Pool 4% 7/15/2041  | 34034 | 33078 |
| Ginnie Mae I Pool 4% 7/15/2041  | 20505 | 19845 |
| Ginnie Mae I Pool 4% 7/15/2041  | 19632 | 19003 |
| Ginnie Mae I Pool 4% 7/15/2041  | 10761 | 10424 |
| Ginnie Mae I Pool 4% 7/15/2041  | 6787 | 6580 |
| Ginnie Mae I Pool 4% 7/15/2041  | 981 | 977 |
| Ginnie Mae I Pool 4% 7/15/2042  | 94970 | 91744 |
| Ginnie Mae I Pool 4% 7/15/2045  | 128451 | 123588 |
| Ginnie Mae I Pool 4% 7/15/2046  | 335641 | 320799 |
| Ginnie Mae I Pool 4% 7/15/2046  | 215499 | 205970 |
| Ginnie Mae I Pool 4% 8/15/2039  | 31927 | 31083 |
| Ginnie Mae I Pool 4% 8/15/2039  | 18307 | 17793 |
| Ginnie Mae I Pool 4% 8/15/2039  | 13601 | 13209 |
| Ginnie Mae I Pool 4% 8/15/2040  | 9584 | 9313 |
| Ginnie Mae I Pool 4% 8/15/2041  | 56269 | 54580 |
| Ginnie Mae I Pool 4% 8/15/2041  | 39084 | 37965 |
| Ginnie Mae I Pool 4% 8/15/2041  | 8332 | 8111 |
| Ginnie Mae I Pool 4% 8/15/2042  | 93000 | 89896 |
| Ginnie Mae I Pool 4% 8/15/2042  | 14196 | 13778 |
| Ginnie Mae I Pool 4% 8/15/2042  | 3946 | 3833 |
| Ginnie Mae I Pool 4% 8/15/2043  | 36362 | 35064 |
| Ginnie Mae I Pool 4% 8/15/2043  | 25547 | 24632 |
| Ginnie Mae I Pool 4% 8/15/2043  | 10557 | 10211 |
| Ginnie Mae I Pool 4% 9/15/2039  | 28415 | 27701 |
| Ginnie Mae I Pool 4% 9/15/2040  | 14276 | 13873 |
| Ginnie Mae I Pool 4% 9/15/2041  | 311209 | 301623 |
| Ginnie Mae I Pool 4% 9/15/2041  | 54693 | 53051 |
| Ginnie Mae I Pool 4% 9/15/2041  | 47336 | 45949 |
| Ginnie Mae I Pool 4% 9/15/2041  | 21021 | 20338 |
| Ginnie Mae I Pool 4% 9/15/2041  | 13518 | 13093 |
| Ginnie Mae I Pool 4% 9/15/2041  | 5737 | 5585 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 22193 | 22126 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 16141 | 16113 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 4092 | 4086 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 3876 | 3868 |
| Ginnie Mae I Pool 4.5% 10/15/2040  | 3540 | 3532 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 133236 | 132835 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 51110 | 50984 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 41854 | 41762 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 37457 | 37376 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 30435 | 30370 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 28991 | 28957 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 18986 | 18946 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 15459 | 15428 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 4390 | 4382 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 4095 | 4088 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 3071 | 3065 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 2184 | 2179 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 1881 | 1877 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 38113 | 38068 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 109011 | 108782 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 101821 | 101466 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 77427 | 77264 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 74314 | 74181 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 52492 | 52390 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 38623 | 38571 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 35844 | 35770 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 30074 | 30009 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 21016 | 20985 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 5986 | 5974 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 5525 | 5514 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1060 | 1058 |
| Ginnie Mae I Pool 4.5% 2/15/2041  | 23913 | 23832 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 258233 | 257710 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 23315 | 23260 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 17253 | 17217 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 12166 | 12142 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 1618380 | 1613562 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 810811 | 809016 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 220512 | 220040 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 25925 | 25868 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 3437 | 3428 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 975 | 973 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 112713 | 112515 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 75341 | 75191 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 54087 | 53912 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 41396 | 41275 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 24100 | 24035 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 9625 | 9590 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 9429 | 9394 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 6512 | 6498 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 66919 | 66743 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 36881 | 36820 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 135326 | 135042 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 12821 | 12785 |
| Ginnie Mae I Pool 4.5% 5/15/2041  | 150 | 150 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 73295 | 73204 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 65941 | 65823 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 12055 | 12034 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 9817 | 9800 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 8299 | 8286 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 508377 | 506737 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 296823 | 296222 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 157651 | 157314 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 141108 | 140790 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 75897 | 75743 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 73440 | 73288 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 63730 | 63589 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 59219 | 59090 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 8603 | 8585 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5708 | 5694 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 940234 | 937756 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 57526 | 57436 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 21453 | 21413 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 1955 | 1951 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 231083 | 230597 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 195827 | 195416 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 150081 | 149789 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 119835 | 119584 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 106482 | 106262 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 96290 | 96066 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 15458 | 15423 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 8992 | 8970 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 3781 | 3773 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 673 | 671 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 588171 | 587137 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 368379 | 367760 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 302156 | 301659 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 130309 | 130060 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 51658 | 51579 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 9854 | 9836 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 67458 | 67314 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 14819 | 14758 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 6057 | 6042 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 6033 | 6017 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 4586 | 4577 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 1660 | 1656 |
| Ginnie Mae I Pool 4.5% 8/15/2041  | 12833 | 12808 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 108828 | 108628 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 53211 | 53121 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 20119 | 20087 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 19765 | 19727 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 17587 | 17552 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 7575 | 7558 |
| Ginnie Mae I Pool 5% 1/15/2034  | 3942 | 3997 |
| Ginnie Mae I Pool 5% 1/15/2040  | 1827 | 1857 |
| Ginnie Mae I Pool 5% 1/15/2040  | 1736 | 1759 |
| Ginnie Mae I Pool 5% 10/15/2033  | 2268 | 2299 |
| Ginnie Mae I Pool 5% 10/15/2034  | 3214 | 3258 |
| Ginnie Mae I Pool 5% 10/15/2039  | 84625 | 86040 |
| Ginnie Mae I Pool 5% 10/15/2039  | 41788 | 42480 |
| Ginnie Mae I Pool 5% 10/15/2039  | 26046 | 26482 |
| Ginnie Mae I Pool 5% 10/15/2039  | 13629 | 13855 |
| Ginnie Mae I Pool 5% 10/15/2039  | 8110 | 8243 |
| Ginnie Mae I Pool 5% 11/15/2033  | 1388 | 1408 |
| Ginnie Mae I Pool 5% 11/15/2039  | 40271 | 40948 |
| Ginnie Mae I Pool 5% 11/15/2039  | 24900 | 25308 |
| Ginnie Mae I Pool 5% 11/15/2039  | 15594 | 15855 |
| Ginnie Mae I Pool 5% 11/15/2039  | 15020 | 15272 |
| Ginnie Mae I Pool 5% 11/15/2039  | 4054 | 4122 |
| Ginnie Mae I Pool 5% 11/15/2039  | 2979 | 3029 |
| Ginnie Mae I Pool 5% 11/15/2040  | 48633 | 49448 |
| Ginnie Mae I Pool 5% 11/15/2040  | 17684 | 17990 |
| Ginnie Mae I Pool 5% 12/15/2032  | 542 | 549 |
| Ginnie Mae I Pool 5% 12/15/2037  | 13048 | 13264 |
| Ginnie Mae I Pool 5% 12/15/2039  | 39666 | 40331 |
| Ginnie Mae I Pool 5% 12/15/2039  | 19153 | 19472 |
| Ginnie Mae I Pool 5% 12/15/2039  | 16198 | 16473 |
| Ginnie Mae I Pool 5% 2/15/2039  | 7428 | 7551 |
| Ginnie Mae I Pool 5% 2/15/2040  | 2931 | 2980 |
| Ginnie Mae I Pool 5% 3/15/2039  | 32602 | 33134 |
| Ginnie Mae I Pool 5% 3/15/2040  | 5993 | 6092 |
| Ginnie Mae I Pool 5% 3/15/2041  | 31734 | 32276 |
| Ginnie Mae I Pool 5% 3/15/2041  | 18477 | 18790 |
| Ginnie Mae I Pool 5% 3/15/2041  | 2503 | 2545 |
| Ginnie Mae I Pool 5% 4/15/2033  | 3908 | 3959 |
| Ginnie Mae I Pool 5% 4/15/2039  | 6551 | 6658 |
| Ginnie Mae I Pool 5% 4/15/2040  | 379837 | 386203 |
| Ginnie Mae I Pool 5% 4/15/2040  | 285553 | 290320 |
| Ginnie Mae I Pool 5% 4/15/2040  | 16030 | 16300 |
| Ginnie Mae I Pool 5% 4/15/2040  | 5692 | 5787 |
| Ginnie Mae I Pool 5% 4/15/2040  | 1704 | 1733 |
| Ginnie Mae I Pool 5% 4/15/2041  | 57357 | 58349 |
| Ginnie Mae I Pool 5% 4/15/2041  | 27633 | 28105 |
| Ginnie Mae I Pool 5% 4/15/2041  | 12365 | 12577 |
| Ginnie Mae I Pool 5% 4/15/2041  | 12233 | 12437 |
| Ginnie Mae I Pool 5% 4/20/2048  | 2792226 | 2848575 |
| Ginnie Mae I Pool 5% 5/15/2039  | 93942 | 95492 |
| Ginnie Mae I Pool 5% 5/15/2039  | 46942 | 47718 |
| Ginnie Mae I Pool 5% 5/15/2039  | 2765 | 2809 |
| Ginnie Mae I Pool 5% 5/15/2040  | 25049 | 25460 |
| Ginnie Mae I Pool 5% 5/15/2040  | 16224 | 16496 |
| Ginnie Mae I Pool 5% 5/15/2040  | 3450 | 3510 |
| Ginnie Mae I Pool 5% 6/15/2033  | 288 | 292 |
| Ginnie Mae I Pool 5% 6/15/2039  | 10972 | 11153 |
| Ginnie Mae I Pool 5% 6/15/2039  | 6083 | 6184 |
| Ginnie Mae I Pool 5% 6/15/2039  | 995 | 1011 |
| Ginnie Mae I Pool 5% 6/15/2040  | 862564 | 877019 |
| Ginnie Mae I Pool 5% 6/15/2040  | 57147 | 58107 |
| Ginnie Mae I Pool 5% 6/15/2040  | 20702 | 21059 |
| Ginnie Mae I Pool 5% 6/15/2040  | 15105 | 15362 |
| Ginnie Mae I Pool 5% 6/15/2040  | 1714 | 1743 |
| Ginnie Mae I Pool 5% 6/15/2041  | 38432 | 39083 |
| Ginnie Mae I Pool 5% 6/15/2041  | 5406 | 5498 |
| Ginnie Mae I Pool 5% 6/15/2041  | 5181 | 5267 |
| Ginnie Mae I Pool 5% 7/15/2039  | 176604 | 179513 |
| Ginnie Mae I Pool 5% 7/15/2039  | 39036 | 39682 |
| Ginnie Mae I Pool 5% 7/15/2039  | 1518 | 1543 |
| Ginnie Mae I Pool 5% 7/15/2040  | 95116 | 96716 |
| Ginnie Mae I Pool 5% 7/15/2040  | 94831 | 96412 |
| Ginnie Mae I Pool 5% 7/15/2040  | 57973 | 58951 |
| Ginnie Mae I Pool 5% 7/15/2040  | 44709 | 45462 |
| Ginnie Mae I Pool 5% 7/15/2040  | 43941 | 44679 |
| Ginnie Mae I Pool 5% 7/15/2040  | 18011 | 18317 |
| Ginnie Mae I Pool 5% 7/15/2040  | 12473 | 12683 |
| Ginnie Mae I Pool 5% 7/15/2040  | 2755 | 2802 |
| Ginnie Mae I Pool 5% 8/15/2039  | 88538 | 90008 |
| Ginnie Mae I Pool 5% 8/15/2039  | 79775 | 81099 |
| Ginnie Mae I Pool 5% 8/15/2039  | 35129 | 35714 |
| Ginnie Mae I Pool 5% 8/15/2039  | 23940 | 24340 |
| Ginnie Mae I Pool 5% 8/15/2039  | 7693 | 7823 |
| Ginnie Mae I Pool 5% 8/15/2039  | 5870 | 5967 |
| Ginnie Mae I Pool 5% 8/15/2039  | 4617 | 4694 |
| Ginnie Mae I Pool 5% 8/15/2039  | 2774 | 2819 |
| Ginnie Mae I Pool 5% 8/15/2040  | 167549 | 170377 |
| Ginnie Mae I Pool 5% 8/15/2040  | 167079 | 169889 |
| Ginnie Mae I Pool 5% 8/15/2040  | 59760 | 60771 |
| Ginnie Mae I Pool 5% 8/15/2040  | 15382 | 15642 |
| Ginnie Mae I Pool 5% 8/15/2041  | 8652 | 8797 |
| Ginnie Mae I Pool 5% 9/15/2037  | 2098 | 2133 |
| Ginnie Mae I Pool 5% 9/15/2039  | 239811 | 243774 |
| Ginnie Mae I Pool 5% 9/15/2039  | 79081 | 80398 |
| Ginnie Mae I Pool 5% 9/15/2039  | 43989 | 44721 |
| Ginnie Mae I Pool 5% 9/15/2039  | 28404 | 28875 |
| Ginnie Mae I Pool 5% 9/15/2039  | 26825 | 27269 |
| Ginnie Mae I Pool 5% 9/15/2039  | 14522 | 14764 |
| Ginnie Mae I Pool 5% 9/15/2039  | 13299 | 13523 |
| Ginnie Mae I Pool 5% 9/15/2039  | 12433 | 12639 |
| Ginnie Mae I Pool 5% 9/15/2039  | 12054 | 12254 |
| Ginnie Mae I Pool 5% 9/15/2039  | 11918 | 12116 |
| Ginnie Mae I Pool 5% 9/15/2039  | 9206 | 9359 |
| Ginnie Mae I Pool 5% 9/15/2039  | 3949 | 4015 |
| Ginnie Mae I Pool 5% 9/15/2039  | 3773 | 3835 |
| Ginnie Mae I Pool 5% 9/15/2040  | 90473 | 91989 |
| Ginnie Mae I Pool 5% 9/15/2040  | 68791 | 69954 |
| Ginnie Mae I Pool 5% 9/15/2040  | 34029 | 34602 |
| Ginnie Mae I Pool 5% 9/15/2040  | 12556 | 12773 |
| Ginnie Mae I Pool 5% 9/15/2041  | 720024 | 732011 |
| Ginnie Mae I Pool 5.5% 1/15/2034  | 485 | 497 |
| Ginnie Mae I Pool 5.5% 1/15/2039  | 38725 | 39869 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 30788 | 31586 |
| Ginnie Mae I Pool 5.5% 11/15/2033  | 269 | 274 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 69740 | 71839 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 28512 | 29300 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 2015 | 2072 |
| Ginnie Mae I Pool 5.5% 2/15/2037  | 188 | 194 |
| Ginnie Mae I Pool 5.5% 3/15/2034  | 2079 | 2127 |
| Ginnie Mae I Pool 5.5% 3/15/2034  | 386 | 395 |
| Ginnie Mae I Pool 5.5% 3/15/2038  | 51504 | 52922 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 5869 | 6040 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 2186 | 2235 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 354 | 362 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 7804 | 7996 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 2275 | 2328 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 835 | 854 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 564 | 578 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 481 | 493 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 363 | 371 |
| Ginnie Mae I Pool 5.5% 5/15/2037  | 195 | 200 |
| Ginnie Mae I Pool 5.5% 5/15/2039  | 21595 | 22231 |
| Ginnie Mae I Pool 5.5% 6/15/2039  | 1698 | 1747 |
| Ginnie Mae I Pool 5.5% 6/15/2039  | 606 | 619 |
| Ginnie Mae I Pool 5.5% 7/15/2033  | 1915 | 1960 |
| Ginnie Mae I Pool 5.5% 7/15/2037  | 2082 | 2141 |
| Ginnie Mae I Pool 5.5% 7/15/2037  | 391 | 402 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 6180 | 6320 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 412 | 424 |
| Ginnie Mae I Pool 5.5% 7/15/2039  | 19377 | 19963 |
| Ginnie Mae I Pool 5.5% 8/15/2033  | 5900 | 6040 |
| Ginnie Mae I Pool 5.5% 8/15/2038  | 44258 | 45584 |
| Ginnie Mae I Pool 5.5% 9/15/2038  | 71639 | 73697 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 191318 | 197102 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 134854 | 138922 |
| Ginnie Mae I Pool 6% 10/15/2030  | 9121 | 9331 |
| Ginnie Mae I Pool 6% 10/15/2039  | 5314 | 5556 |
| Ginnie Mae I Pool 6% 11/15/2037  | 1143 | 1190 |
| Ginnie Mae I Pool 6% 11/15/2039  | 15263 | 15969 |
| Ginnie Mae I Pool 6% 11/15/2039  | 8770 | 9174 |
| Ginnie Mae I Pool 6% 11/15/2039  | 5782 | 6043 |
| Ginnie Mae I Pool 6% 11/15/2039  | 3410 | 3557 |
| Ginnie Mae I Pool 6% 11/15/2039  | 2907 | 3015 |
| Ginnie Mae I Pool 6% 11/15/2039  | 2254 | 2352 |
| Ginnie Mae I Pool 6% 11/15/2039  | 1505 | 1572 |
| Ginnie Mae I Pool 6% 12/15/2034  | 1703 | 1762 |
| Ginnie Mae I Pool 6% 5/15/2040  | 505631 | 527355 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 20121 | 20934 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 3670 | 3804 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 1203 | 1254 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 268 | 278 |
| Ginnie Mae I Pool 6.5% 10/15/2035  | 12413 | 12967 |
| Ginnie Mae I Pool 6.5% 10/15/2036  | 4847 | 5059 |
| Ginnie Mae I Pool 6.5% 11/15/2034  | 4733 | 4872 |
| Ginnie Mae I Pool 6.5% 6/15/2037  | 4794 | 5015 |
| Ginnie Mae I Pool 6.5% 7/15/2035  | 1460 | 1521 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 21360 | 22221 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 498 | 513 |
| Ginnie Mae I Pool 6.5% 8/15/2036  | 3536 | 3701 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 8676 | 9026 |
| Ginnie Mae I Pool 6.5% 9/15/2035  | 320 | 329 |
| Ginnie Mae I Pool 7% 1/15/2026  | 2 | 2 |
| Ginnie Mae I Pool 7% 1/15/2027  | 21 | 21 |
| Ginnie Mae I Pool 7% 1/15/2028  | 521 | 524 |
| Ginnie Mae I Pool 7% 1/15/2028  | 385 | 390 |
| Ginnie Mae I Pool 7% 1/15/2028  | 302 | 304 |
| Ginnie Mae I Pool 7% 1/15/2028  | 233 | 236 |
| Ginnie Mae I Pool 7% 1/15/2028  | 220 | 223 |
| Ginnie Mae I Pool 7% 1/15/2028  | 211 | 214 |
| Ginnie Mae I Pool 7% 1/15/2028  | 188 | 190 |
| Ginnie Mae I Pool 7% 1/15/2028  | 81 | 82 |
| Ginnie Mae I Pool 7% 1/15/2028  | 63 | 63 |
| Ginnie Mae I Pool 7% 1/15/2028  | 41 | 42 |
| Ginnie Mae I Pool 7% 1/15/2029  | 1182 | 1204 |
| Ginnie Mae I Pool 7% 1/15/2029  | 600 | 613 |
| Ginnie Mae I Pool 7% 1/15/2029  | 422 | 430 |
| Ginnie Mae I Pool 7% 1/15/2029  | 325 | 330 |
| Ginnie Mae I Pool 7% 1/15/2029  | 234 | 239 |
| Ginnie Mae I Pool 7% 1/15/2029  | 76 | 78 |
| Ginnie Mae I Pool 7% 1/15/2030  | 1888 | 1931 |
| Ginnie Mae I Pool 7% 1/15/2030  | 177 | 181 |
| Ginnie Mae I Pool 7% 1/15/2031  | 1977 | 2033 |
| Ginnie Mae I Pool 7% 1/15/2031  | 1088 | 1123 |
| Ginnie Mae I Pool 7% 1/15/2032  | 4055 | 4189 |
| Ginnie Mae I Pool 7% 10/15/2026  | 113 | 113 |
| Ginnie Mae I Pool 7% 10/15/2027  | 1281 | 1293 |
| Ginnie Mae I Pool 7% 10/15/2028  | 1695 | 1725 |
| Ginnie Mae I Pool 7% 10/15/2028  | 306 | 311 |
| Ginnie Mae I Pool 7% 10/15/2029  | 401 | 411 |
| Ginnie Mae I Pool 7% 10/15/2029  | 88 | 90 |
| Ginnie Mae I Pool 7% 10/15/2030  | 513 | 525 |
| Ginnie Mae I Pool 7% 10/15/2031  | 3258 | 3373 |
| Ginnie Mae I Pool 7% 10/15/2031  | 1427 | 1452 |
| Ginnie Mae I Pool 7% 10/15/2031  | 956 | 989 |
| Ginnie Mae I Pool 7% 10/15/2031  | 920 | 951 |
| Ginnie Mae I Pool 7% 10/15/2031  | 804 | 828 |
| Ginnie Mae I Pool 7% 10/15/2031  | 29 | 30 |
| Ginnie Mae I Pool 7% 11/15/2027  | 49 | 50 |
| Ginnie Mae I Pool 7% 11/15/2028  | 611 | 623 |
| Ginnie Mae I Pool 7% 11/15/2028  | 300 | 306 |
| Ginnie Mae I Pool 7% 11/15/2028  | 57 | 58 |
| Ginnie Mae I Pool 7% 11/15/2029  | 1634 | 1676 |
| Ginnie Mae I Pool 7% 11/15/2031  | 1883 | 1928 |
| Ginnie Mae I Pool 7% 11/15/2031  | 1859 | 1922 |
| Ginnie Mae I Pool 7% 11/15/2031  | 936 | 962 |
| Ginnie Mae I Pool 7% 11/15/2032  | 453 | 467 |
| Ginnie Mae I Pool 7% 12/15/2025  | 5 | 5 |
| Ginnie Mae I Pool 7% 12/15/2026  | 5 | 5 |
| Ginnie Mae I Pool 7% 12/15/2027  | 467 | 473 |
| Ginnie Mae I Pool 7% 12/15/2027  | 353 | 358 |
| Ginnie Mae I Pool 7% 12/15/2027  | 129 | 131 |
| Ginnie Mae I Pool 7% 12/15/2027  | 54 | 55 |
| Ginnie Mae I Pool 7% 12/15/2028  | 657 | 670 |
| Ginnie Mae I Pool 7% 12/15/2028  | 601 | 613 |
| Ginnie Mae I Pool 7% 12/15/2028  | 234 | 238 |
| Ginnie Mae I Pool 7% 12/15/2028  | 103 | 104 |
| Ginnie Mae I Pool 7% 12/15/2028  | 42 | 43 |
| Ginnie Mae I Pool 7% 12/15/2028  | 17 | 17 |
| Ginnie Mae I Pool 7% 12/15/2030  | 1870 | 1929 |
| Ginnie Mae I Pool 7% 12/15/2030  | 860 | 887 |
| Ginnie Mae I Pool 7% 12/15/2031  | 3111 | 3215 |
| Ginnie Mae I Pool 7% 12/15/2031  | 1480 | 1532 |
| Ginnie Mae I Pool 7% 12/15/2031  | 142 | 147 |
| Ginnie Mae I Pool 7% 2/15/2028  | 1041 | 1057 |
| Ginnie Mae I Pool 7% 2/15/2028  | 649 | 659 |
| Ginnie Mae I Pool 7% 2/15/2028  | 287 | 289 |
| Ginnie Mae I Pool 7% 2/15/2028  | 273 | 275 |
| Ginnie Mae I Pool 7% 2/15/2028  | 186 | 189 |
| Ginnie Mae I Pool 7% 2/15/2028  | 117 | 117 |
| Ginnie Mae I Pool 7% 2/15/2028  | 96 | 98 |
| Ginnie Mae I Pool 7% 2/15/2028  | 37 | 38 |
| Ginnie Mae I Pool 7% 2/15/2028  | 27 | 28 |
| Ginnie Mae I Pool 7% 2/15/2028  | 24 | 24 |
| Ginnie Mae I Pool 7% 2/15/2028  | 10 | 10 |
| Ginnie Mae I Pool 7% 2/15/2029  | 128 | 131 |
| Ginnie Mae I Pool 7% 2/15/2029  | 97 | 98 |
| Ginnie Mae I Pool 7% 2/15/2029  | 72 | 73 |
| Ginnie Mae I Pool 7% 2/15/2030  | 545 | 559 |
| Ginnie Mae I Pool 7% 2/15/2031  | 7377 | 7613 |
| Ginnie Mae I Pool 7% 2/15/2032  | 4848 | 5024 |
| Ginnie Mae I Pool 7% 2/15/2032  | 4294 | 4438 |
| Ginnie Mae I Pool 7% 2/15/2032  | 3495 | 3565 |
| Ginnie Mae I Pool 7% 2/15/2032  | 1340 | 1387 |
| Ginnie Mae I Pool 7% 2/15/2032  | 488 | 504 |
| Ginnie Mae I Pool 7% 2/15/2032  | 397 | 404 |
| Ginnie Mae I Pool 7% 2/15/2032  | 323 | 334 |
| Ginnie Mae I Pool 7% 3/15/2028  | 1116 | 1135 |
| Ginnie Mae I Pool 7% 3/15/2028  | 636 | 645 |
| Ginnie Mae I Pool 7% 3/15/2028  | 362 | 367 |
| Ginnie Mae I Pool 7% 3/15/2028  | 298 | 302 |
| Ginnie Mae I Pool 7% 3/15/2028  | 292 | 294 |
| Ginnie Mae I Pool 7% 3/15/2028  | 171 | 172 |
| Ginnie Mae I Pool 7% 3/15/2028  | 116 | 118 |
| Ginnie Mae I Pool 7% 3/15/2028  | 112 | 114 |
| Ginnie Mae I Pool 7% 3/15/2028  | 63 | 64 |
| Ginnie Mae I Pool 7% 3/15/2029  | 829 | 846 |
| Ginnie Mae I Pool 7% 3/15/2029  | 371 | 379 |
| Ginnie Mae I Pool 7% 3/15/2029  | 229 | 233 |
| Ginnie Mae I Pool 7% 3/15/2029  | 108 | 110 |
| Ginnie Mae I Pool 7% 3/15/2029  | 77 | 78 |
| Ginnie Mae I Pool 7% 3/15/2029  | 60 | 61 |
| Ginnie Mae I Pool 7% 3/15/2031  | 10372 | 10642 |
| Ginnie Mae I Pool 7% 3/15/2031  | 950 | 966 |
| Ginnie Mae I Pool 7% 3/15/2031  | 309 | 319 |
| Ginnie Mae I Pool 7% 3/15/2031  | 300 | 309 |
| Ginnie Mae I Pool 7% 3/15/2031  | 220 | 226 |
| Ginnie Mae I Pool 7% 3/15/2032  | 1912 | 1982 |
| Ginnie Mae I Pool 7% 3/15/2032  | 830 | 860 |
| Ginnie Mae I Pool 7% 3/15/2032  | 667 | 691 |
| Ginnie Mae I Pool 7% 3/15/2032  | 458 | 471 |
| Ginnie Mae I Pool 7% 3/15/2032  | 434 | 449 |
| Ginnie Mae I Pool 7% 3/15/2032  | 220 | 227 |
| Ginnie Mae I Pool 7% 3/15/2032  | 156 | 161 |
| Ginnie Mae I Pool 7% 3/15/2032  | 25 | 25 |
| Ginnie Mae I Pool 7% 4/15/2028  | 601 | 611 |
| Ginnie Mae I Pool 7% 4/15/2028  | 380 | 386 |
| Ginnie Mae I Pool 7% 4/15/2028  | 274 | 278 |
| Ginnie Mae I Pool 7% 4/15/2028  | 214 | 218 |
| Ginnie Mae I Pool 7% 4/15/2028  | 157 | 158 |
| Ginnie Mae I Pool 7% 4/15/2028  | 109 | 110 |
| Ginnie Mae I Pool 7% 4/15/2028  | 72 | 72 |
| Ginnie Mae I Pool 7% 4/15/2028  | 60 | 61 |
| Ginnie Mae I Pool 7% 4/15/2028  | 31 | 31 |
| Ginnie Mae I Pool 7% 4/15/2028  | 25 | 25 |
| Ginnie Mae I Pool 7% 4/15/2028  | 16 | 16 |
| Ginnie Mae I Pool 7% 4/15/2028  | 15 | 15 |
| Ginnie Mae I Pool 7% 4/15/2029  | 573 | 584 |
| Ginnie Mae I Pool 7% 4/15/2029  | 52 | 53 |
| Ginnie Mae I Pool 7% 4/15/2029  | 30 | 31 |
| Ginnie Mae I Pool 7% 4/15/2030  | 486 | 499 |
| Ginnie Mae I Pool 7% 4/15/2031  | 2672 | 2755 |
| Ginnie Mae I Pool 7% 4/15/2031  | 919 | 948 |
| Ginnie Mae I Pool 7% 4/15/2031  | 533 | 550 |
| Ginnie Mae I Pool 7% 4/15/2031  | 223 | 230 |
| Ginnie Mae I Pool 7% 4/15/2031  | 117 | 121 |
| Ginnie Mae I Pool 7% 4/15/2032  | 10792 | 11137 |
| Ginnie Mae I Pool 7% 4/15/2032  | 2975 | 3085 |
| Ginnie Mae I Pool 7% 4/15/2032  | 1552 | 1606 |
| Ginnie Mae I Pool 7% 4/15/2032  | 1314 | 1359 |
| Ginnie Mae I Pool 7% 4/15/2032  | 1066 | 1105 |
| Ginnie Mae I Pool 7% 4/15/2032  | 994 | 1024 |
| Ginnie Mae I Pool 7% 4/15/2032  | 465 | 480 |
| Ginnie Mae I Pool 7% 4/15/2032  | 411 | 424 |
| Ginnie Mae I Pool 7% 4/15/2032  | 304 | 314 |
| Ginnie Mae I Pool 7% 4/15/2032  | 253 | 260 |
| Ginnie Mae I Pool 7% 4/15/2032  | 242 | 251 |
| Ginnie Mae I Pool 7% 4/15/2032  | 126 | 128 |
| Ginnie Mae I Pool 7% 4/20/2032  | 41963 | 43662 |
| Ginnie Mae I Pool 7% 5/15/2027  | 12 | 12 |
| Ginnie Mae I Pool 7% 5/15/2028  | 1105 | 1121 |
| Ginnie Mae I Pool 7% 5/15/2028  | 822 | 835 |
| Ginnie Mae I Pool 7% 5/15/2028  | 549 | 553 |
| Ginnie Mae I Pool 7% 5/15/2028  | 387 | 393 |
| Ginnie Mae I Pool 7% 5/15/2028  | 80 | 81 |
| Ginnie Mae I Pool 7% 5/15/2028  | 60 | 61 |
| Ginnie Mae I Pool 7% 5/15/2028  | 55 | 56 |
| Ginnie Mae I Pool 7% 5/15/2028  | 42 | 42 |
| Ginnie Mae I Pool 7% 5/15/2028  | 25 | 25 |
| Ginnie Mae I Pool 7% 5/15/2028  | 24 | 24 |
| Ginnie Mae I Pool 7% 5/15/2029  | 369 | 377 |
| Ginnie Mae I Pool 7% 5/15/2030  | 288 | 294 |
| Ginnie Mae I Pool 7% 5/15/2031  | 11984 | 12367 |
| Ginnie Mae I Pool 7% 5/15/2031  | 988 | 1014 |
| Ginnie Mae I Pool 7% 5/15/2031  | 474 | 490 |
| Ginnie Mae I Pool 7% 5/15/2031  | 281 | 286 |
| Ginnie Mae I Pool 7% 5/15/2032  | 15038 | 15595 |
| Ginnie Mae I Pool 7% 5/15/2032  | 3872 | 4002 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1797 | 1865 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1697 | 1750 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1684 | 1743 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1478 | 1533 |
| Ginnie Mae I Pool 7% 5/15/2032  | 886 | 911 |
| Ginnie Mae I Pool 7% 5/15/2032  | 821 | 849 |
| Ginnie Mae I Pool 7% 5/15/2032  | 584 | 595 |
| Ginnie Mae I Pool 7% 5/15/2032  | 454 | 466 |
| Ginnie Mae I Pool 7% 5/15/2032  | 398 | 411 |
| Ginnie Mae I Pool 7% 5/15/2032  | 329 | 341 |
| Ginnie Mae I Pool 7% 5/15/2032  | 285 | 294 |
| Ginnie Mae I Pool 7% 5/15/2032  | 97 | 101 |
| Ginnie Mae I Pool 7% 5/15/2032  | 50 | 51 |
| Ginnie Mae I Pool 7% 6/15/2028  | 4204 | 4264 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1728 | 1756 |
| Ginnie Mae I Pool 7% 6/15/2028  | 607 | 617 |
| Ginnie Mae I Pool 7% 6/15/2028  | 592 | 602 |
| Ginnie Mae I Pool 7% 6/15/2028  | 489 | 498 |
| Ginnie Mae I Pool 7% 6/15/2028  | 396 | 403 |
| Ginnie Mae I Pool 7% 6/15/2028  | 308 | 313 |
| Ginnie Mae I Pool 7% 6/15/2028  | 275 | 279 |
| Ginnie Mae I Pool 7% 6/15/2028  | 233 | 236 |
| Ginnie Mae I Pool 7% 6/15/2028  | 210 | 214 |
| Ginnie Mae I Pool 7% 6/15/2028  | 170 | 173 |
| Ginnie Mae I Pool 7% 6/15/2028  | 151 | 153 |
| Ginnie Mae I Pool 7% 6/15/2028  | 145 | 148 |
| Ginnie Mae I Pool 7% 6/15/2028  | 71 | 73 |
| Ginnie Mae I Pool 7% 6/15/2028  | 67 | 68 |
| Ginnie Mae I Pool 7% 6/15/2028  | 54 | 55 |
| Ginnie Mae I Pool 7% 6/15/2028  | 37 | 37 |
| Ginnie Mae I Pool 7% 6/15/2028  | 27 | 27 |
| Ginnie Mae I Pool 7% 6/15/2029  | 3067 | 3137 |
| Ginnie Mae I Pool 7% 6/15/2029  | 555 | 564 |
| Ginnie Mae I Pool 7% 6/15/2029  | 182 | 187 |
| Ginnie Mae I Pool 7% 6/15/2029  | 128 | 131 |
| Ginnie Mae I Pool 7% 6/15/2029  | 128 | 131 |
| Ginnie Mae I Pool 7% 6/15/2031  | 22563 | 23310 |
| Ginnie Mae I Pool 7% 6/15/2031  | 2979 | 3077 |
| Ginnie Mae I Pool 7% 6/15/2031  | 1255 | 1296 |
| Ginnie Mae I Pool 7% 6/15/2031  | 591 | 611 |
| Ginnie Mae I Pool 7% 6/15/2031  | 28 | 28 |
| Ginnie Mae I Pool 7% 6/15/2032  | 2000 | 2064 |
| Ginnie Mae I Pool 7% 6/15/2032  | 1107 | 1140 |
| Ginnie Mae I Pool 7% 6/15/2032  | 532 | 551 |
| Ginnie Mae I Pool 7% 6/15/2032  | 529 | 544 |
| Ginnie Mae I Pool 7% 6/15/2032  | 388 | 401 |
| Ginnie Mae I Pool 7% 6/15/2032  | 353 | 365 |
| Ginnie Mae I Pool 7% 6/15/2032  | 299 | 310 |
| Ginnie Mae I Pool 7% 6/15/2032  | 75 | 78 |
| Ginnie Mae I Pool 7% 6/15/2032  | 70 | 72 |
| Ginnie Mae I Pool 7% 7/15/2028  | 11054 | 11211 |
| Ginnie Mae I Pool 7% 7/15/2028  | 728 | 739 |
| Ginnie Mae I Pool 7% 7/15/2028  | 354 | 360 |
| Ginnie Mae I Pool 7% 7/15/2028  | 353 | 359 |
| Ginnie Mae I Pool 7% 7/15/2028  | 349 | 350 |
| Ginnie Mae I Pool 7% 7/15/2028  | 134 | 137 |
| Ginnie Mae I Pool 7% 7/15/2028  | 134 | 136 |
| Ginnie Mae I Pool 7% 7/15/2028  | 112 | 114 |
| Ginnie Mae I Pool 7% 7/15/2028  | 107 | 108 |
| Ginnie Mae I Pool 7% 7/15/2028  | 103 | 105 |
| Ginnie Mae I Pool 7% 7/15/2028  | 94 | 94 |
| Ginnie Mae I Pool 7% 7/15/2028  | 49 | 50 |
| Ginnie Mae I Pool 7% 7/15/2029  | 734 | 751 |
| Ginnie Mae I Pool 7% 7/15/2029  | 556 | 569 |
| Ginnie Mae I Pool 7% 7/15/2029  | 422 | 430 |
| Ginnie Mae I Pool 7% 7/15/2029  | 273 | 279 |
| Ginnie Mae I Pool 7% 7/15/2029  | 44 | 45 |
| Ginnie Mae I Pool 7% 7/15/2031  | 13031 | 13452 |
| Ginnie Mae I Pool 7% 7/15/2031  | 9304 | 9612 |
| Ginnie Mae I Pool 7% 7/15/2031  | 4448 | 4577 |
| Ginnie Mae I Pool 7% 7/15/2031  | 2048 | 2118 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1308 | 1348 |
| Ginnie Mae I Pool 7% 7/15/2031  | 532 | 546 |
| Ginnie Mae I Pool 7% 7/15/2031  | 311 | 319 |
| Ginnie Mae I Pool 7% 7/15/2031  | 5 | 6 |
| Ginnie Mae I Pool 7% 7/15/2032  | 6599 | 6827 |
| Ginnie Mae I Pool 7% 7/15/2032  | 1035 | 1075 |
| Ginnie Mae I Pool 7% 7/15/2032  | 862 | 888 |
| Ginnie Mae I Pool 7% 7/15/2032  | 782 | 807 |
| Ginnie Mae I Pool 7% 7/15/2032  | 745 | 772 |
| Ginnie Mae I Pool 7% 7/15/2032  | 606 | 625 |
| Ginnie Mae I Pool 7% 7/15/2032  | 117 | 121 |
| Ginnie Mae I Pool 7% 8/15/2028  | 45 | 45 |
| Ginnie Mae I Pool 7% 8/15/2029  | 103 | 105 |
| Ginnie Mae I Pool 7% 8/15/2029  | 60 | 60 |
| Ginnie Mae I Pool 7% 8/15/2029  | 19 | 19 |
| Ginnie Mae I Pool 7% 8/15/2031  | 1554 | 1606 |
| Ginnie Mae I Pool 7% 8/15/2031  | 973 | 1006 |
| Ginnie Mae I Pool 7% 8/15/2031  | 727 | 750 |
| Ginnie Mae I Pool 7% 8/15/2031  | 500 | 517 |
| Ginnie Mae I Pool 7% 8/15/2031  | 387 | 400 |
| Ginnie Mae I Pool 7% 8/15/2031  | 293 | 303 |
| Ginnie Mae I Pool 7% 8/15/2031  | 274 | 282 |
| Ginnie Mae I Pool 7% 8/15/2032  | 31225 | 32223 |
| Ginnie Mae I Pool 7% 8/15/2032  | 870 | 894 |
| Ginnie Mae I Pool 7% 8/15/2032  | 525 | 542 |
| Ginnie Mae I Pool 7% 8/15/2032  | 487 | 505 |
| Ginnie Mae I Pool 7% 8/15/2032  | 392 | 407 |
| Ginnie Mae I Pool 7% 8/15/2032  | 345 | 357 |
| Ginnie Mae I Pool 7% 8/15/2032  | 249 | 258 |
| Ginnie Mae I Pool 7% 8/15/2032  | 136 | 137 |
| Ginnie Mae I Pool 7% 9/15/2027  | 39 | 39 |
| Ginnie Mae I Pool 7% 9/15/2028  | 600 | 611 |
| Ginnie Mae I Pool 7% 9/15/2028  | 130 | 132 |
| Ginnie Mae I Pool 7% 9/15/2028  | 84 | 86 |
| Ginnie Mae I Pool 7% 9/15/2028  | 73 | 74 |
| Ginnie Mae I Pool 7% 9/15/2028  | 64 | 65 |
| Ginnie Mae I Pool 7% 9/15/2028  | 28 | 28 |
| Ginnie Mae I Pool 7% 9/15/2029  | 65 | 66 |
| Ginnie Mae I Pool 7% 9/15/2031  | 2019 | 2088 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1681 | 1739 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1332 | 1377 |
| Ginnie Mae I Pool 7% 9/15/2031  | 659 | 681 |
| Ginnie Mae I Pool 7% 9/15/2031  | 498 | 513 |
| Ginnie Mae I Pool 7% 9/15/2031  | 172 | 177 |
| Ginnie Mae I Pool 7% 9/15/2031  | 135 | 140 |
| Ginnie Mae I Pool 7% 9/15/2031  | 67 | 69 |
| Ginnie Mae I Pool 7% 9/15/2032  | 71714 | 73894 |
| Ginnie Mae I Pool 7.5% 1/15/2026  | 4 | 4 |
| Ginnie Mae I Pool 7.5% 1/15/2028  | 386 | 391 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 291 | 302 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 86 | 90 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 915 | 925 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 773 | 788 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 542 | 552 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 520 | 530 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 187 | 190 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 106 | 108 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 75 | 77 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 61 | 61 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 42 | 43 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 41 | 42 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 28 | 28 |
| Ginnie Mae I Pool 7.5% 11/15/2025  | 19 | 19 |
| Ginnie Mae I Pool 7.5% 11/15/2025  | 17 | 17 |
| Ginnie Mae I Pool 7.5% 11/15/2025  | 5 | 5 |
| Ginnie Mae I Pool 7.5% 11/15/2025  | 2 | 2 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 78 | 80 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 58 | 58 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 42 | 43 |
| Ginnie Mae I Pool 7.5% 12/15/2025  | 17 | 17 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 383 | 392 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 305 | 309 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 296 | 302 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 123 | 125 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 36 | 36 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 19 | 19 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 13 | 13 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 6 | 6 |
| Ginnie Mae I Pool 7.5% 2/15/2027  | 752 | 757 |
| Ginnie Mae I Pool 7.5% 2/15/2027  | 84 | 85 |
| Ginnie Mae I Pool 7.5% 3/15/2026  | 10 | 10 |
| Ginnie Mae I Pool 7.5% 3/15/2026  | 6 | 6 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 289 | 296 |
| Ginnie Mae I Pool 7.5% 3/15/2031  | 1168 | 1223 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 561 | 567 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 324 | 327 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 136 | 137 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 96 | 97 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 78 | 79 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 65 | 65 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 59 | 60 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 36 | 36 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 25 | 25 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 10 | 10 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 174 | 175 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 83 | 84 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 53 | 54 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 6 | 6 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 702 | 710 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 464 | 470 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 204 | 206 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 161 | 162 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 125 | 126 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 68 | 69 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 37 | 37 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 28 | 29 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 18 | 18 |
| Ginnie Mae I Pool 7.5% 6/15/2029  | 14 | 14 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 957 | 973 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 805 | 818 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 377 | 380 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 371 | 376 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 289 | 294 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 232 | 235 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 230 | 233 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 122 | 123 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 43 | 43 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 34 | 34 |
| Ginnie Mae I Pool 7.5% 7/15/2028  | 1623 | 1664 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 253 | 260 |
| Ginnie Mae I Pool 7.5% 8/15/2026  | 11 | 12 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 1034 | 1051 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 578 | 579 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 448 | 455 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 362 | 367 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 159 | 162 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 133 | 134 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 54 | 55 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 40 | 41 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 30 | 30 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 11 | 11 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 777 | 798 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 571 | 584 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 416 | 427 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 324 | 333 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 131 | 134 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 40 | 41 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 63 | 65 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 990 | 1009 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 86 | 87 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 49 | 50 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 28 | 28 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 15 | 15 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 13 | 13 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 974 | 1000 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 182 | 184 |
| Ginnie Mae I Pool 7.5% 9/15/2031  | 2293 | 2384 |
| Ginnie Mae I Pool 8% 1/15/2028  | 551 | 561 |
| Ginnie Mae I Pool 8% 10/15/2029  | 150 | 154 |
| Ginnie Mae I Pool 8% 11/15/2027  | 113 | 115 |
| Ginnie Mae I Pool 8% 12/15/2027  | 588 | 598 |
| Ginnie Mae I Pool 8% 12/15/2027  | 198 | 201 |
| Ginnie Mae I Pool 8% 12/15/2027  | 162 | 163 |
| Ginnie Mae I Pool 8% 12/15/2027  | 78 | 79 |
| Ginnie Mae I Pool 8% 7/15/2027  | 194 | 196 |
| Ginnie Mae I Pool 8% 8/15/2027  | 79 | 80 |
| Ginnie Mae I Pool 8% 8/15/2027  | 51 | 52 |
| Ginnie Mae I Pool 8% 9/15/2026  | 16 | 16 |
| Ginnie Mae I Pool 8% 9/15/2029  | 85 | 88 |
| Ginnie Mae I Pool 8.5% 1/15/2031  | 2757 | 2867 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 54 | 55 |
| Ginnie Mae I Pool 8.5% 11/15/2031  | 146 | 152 |
| Ginnie Mae I Pool 8.5% 12/15/2029  | 150 | 155 |
| Ginnie Mae I Pool 8.5% 4/15/2030  | 789 | 811 |
| Ginnie Mae I Pool 8.5% 7/15/2030  | 4383 | 4532 |
| Ginnie Mae I Pool 8.5% 8/15/2029  | 1063 | 1090 |
| Ginnie Mae II Pool 2% 1/20/2051  | 122542892 | 101447452 |
| Ginnie Mae II Pool 2% 10/1/2055 (e) | 364700000 | 301634728 |
| Ginnie Mae II Pool 2% 11/1/2055 (e) | 61125000 | 50566977 |
| Ginnie Mae II Pool 2% 8/20/2050  | 1083187 | 898412 |
| Ginnie Mae II Pool 2% 9/20/2050  | 19705046 | 16319031 |
| Ginnie Mae II Pool 2.5% 10/1/2055 (e) | 189900000 | 163465502 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 2701900 | 2328020 |
| Ginnie Mae II Pool 3% 1/20/2032  | 2829511 | 2760411 |
| Ginnie Mae II Pool 3% 10/1/2055 (e) | 75950000 | 67837256 |
| Ginnie Mae II Pool 3% 10/20/2031  | 927293 | 905149 |
| Ginnie Mae II Pool 3% 10/20/2049  | 77779 | 69796 |
| Ginnie Mae II Pool 3% 11/20/2031  | 997723 | 973354 |
| Ginnie Mae II Pool 3% 12/20/2031  | 1512117 | 1475600 |
| Ginnie Mae II Pool 3% 12/20/2046  | 5286076 | 4791464 |
| Ginnie Mae II Pool 3% 2/20/2031  | 120893 | 118277 |
| Ginnie Mae II Pool 3% 3/20/2031  | 244534 | 239172 |
| Ginnie Mae II Pool 3% 3/20/2050  | 3923812 | 3516201 |
| Ginnie Mae II Pool 3% 4/20/2031  | 913543 | 893512 |
| Ginnie Mae II Pool 3% 4/20/2052  | 24093065 | 21531895 |
| Ginnie Mae II Pool 3% 5/20/2031  | 1934957 | 1891977 |
| Ginnie Mae II Pool 3% 5/20/2050  | 1474678 | 1321026 |
| Ginnie Mae II Pool 3% 5/20/2052  | 69967311 | 62529562 |
| Ginnie Mae II Pool 3% 7/20/2031  | 25617 | 25026 |
| Ginnie Mae II Pool 3% 8/20/2031  | 296515 | 289597 |
| Ginnie Mae II Pool 3% 9/20/2031  | 119088 | 116310 |
| Ginnie Mae II Pool 3.5% 1/20/2042  | 13711 | 13006 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 20123 | 18976 |
| Ginnie Mae II Pool 3.5% 10/20/2040  | 5741 | 5457 |
| Ginnie Mae II Pool 3.5% 10/20/2041  | 9481 | 8994 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 4064 | 3836 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 1156950 | 1097680 |
| Ginnie Mae II Pool 3.5% 11/20/2043  | 8468 | 7991 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 2222 | 2113 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 5490859 | 5209628 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 157364 | 148820 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 193523 | 182977 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 348652 | 329580 |
| Ginnie Mae II Pool 3.5% 4/20/2044  | 4414 | 4159 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 5712421 | 5375316 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 222373 | 206318 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 54087 | 50182 |
| Ginnie Mae II Pool 3.5% 7/20/2043  | 120053 | 113455 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 5741 | 5422 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 10276 | 9767 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 4640766 | 4380428 |
| Ginnie Mae II Pool 4% 1/20/2041  | 1168219 | 1137825 |
| Ginnie Mae II Pool 4% 1/20/2042  | 1229173 | 1195217 |
| Ginnie Mae II Pool 4% 1/20/2045  | 397273 | 384187 |
| Ginnie Mae II Pool 4% 1/20/2046  | 46591 | 44924 |
| Ginnie Mae II Pool 4% 10/1/2055 (e) | 23800000 | 22379321 |
| Ginnie Mae II Pool 4% 10/20/2040  | 775599 | 755574 |
| Ginnie Mae II Pool 4% 10/20/2041  | 3309586 | 3219488 |
| Ginnie Mae II Pool 4% 11/20/2040  | 3062652 | 2982897 |
| Ginnie Mae II Pool 4% 11/20/2041  | 107953 | 104986 |
| Ginnie Mae II Pool 4% 12/20/2040  | 63566 | 61920 |
| Ginnie Mae II Pool 4% 12/20/2041  | 919411 | 894141 |
| Ginnie Mae II Pool 4% 2/20/2041  | 93632 | 91184 |
| Ginnie Mae II Pool 4% 3/20/2041  | 204579 | 199225 |
| Ginnie Mae II Pool 4% 3/20/2046  | 14653 | 14128 |
| Ginnie Mae II Pool 4% 3/20/2047  | 136260 | 131127 |
| Ginnie Mae II Pool 4% 4/20/2042  | 654087 | 635728 |
| Ginnie Mae II Pool 4% 4/20/2047  | 3850768 | 3705725 |
| Ginnie Mae II Pool 4% 5/20/2046  | 3570766 | 3442964 |
| Ginnie Mae II Pool 4% 6/20/2042  | 8984 | 8729 |
| Ginnie Mae II Pool 4% 8/20/2041  | 22653 | 22038 |
| Ginnie Mae II Pool 4% 8/20/2043  | 304873 | 295619 |
| Ginnie Mae II Pool 4% 9/20/2040  | 895312 | 872164 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 224994 | 224571 |
| Ginnie Mae II Pool 4.5% 10/1/2055 (e) | 4375000 | 4242536 |
| Ginnie Mae II Pool 4.5% 10/20/2035  | 2460 | 2460 |
| Ginnie Mae II Pool 4.5% 10/20/2039  | 33462 | 32847 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 471576 | 462833 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 47764 | 47679 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 197817 | 193964 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 47969 | 47880 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 46297118 | 44974131 |
| Ginnie Mae II Pool 4.5% 12/20/2039  | 186810 | 183425 |
| Ginnie Mae II Pool 4.5% 12/20/2040  | 102844 | 100850 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 1167583 | 1165346 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 8133 | 7975 |
| Ginnie Mae II Pool 4.5% 3/20/2036  | 16568 | 16568 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 76571 | 76424 |
| Ginnie Mae II Pool 4.5% 4/20/2040  | 88484 | 86816 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 488648 | 487693 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 82887 | 82753 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 4863187 | 4853506 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 7730 | 7732 |
| Ginnie Mae II Pool 4.5% 6/20/2039  | 36893 | 36239 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 86048 | 84502 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 1313039 | 1310334 |
| Ginnie Mae II Pool 4.5% 7/20/2039  | 7699 | 7641 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 91917 | 91758 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 7557 | 7419 |
| Ginnie Mae II Pool 4.5% 8/20/2040  | 10083 | 10066 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 861030 | 859495 |
| Ginnie Mae II Pool 5% 10/1/2055 (e) | 292250000 | 290698300 |
| Ginnie Mae II Pool 5% 11/1/2055 (e) | 88350000 | 87763568 |
| Ginnie Mae II Pool 5% 12/20/2054  | 8255768 | 8239198 |
| Ginnie Mae II Pool 5% 9/20/2033  | 361342 | 365926 |
| Ginnie Mae II Pool 5.5% 10/1/2055 (e) | 184300000 | 185667488 |
| Ginnie Mae II Pool 5.5% 11/1/2055 (e) | 51600000 | 51944569 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 7573702 | 7634339 |
| Ginnie Mae II Pool 6% 10/1/2055 (e) | 203925000 | 207418806 |
| Ginnie Mae II Pool 6% 11/1/2055 (e) | 110775000 | 112664234 |
| Ginnie Mae II Pool 6% 11/20/2031  | 10040 | 10331 |
| Ginnie Mae II Pool 6% 12/20/2054  | 9004142 | 9160088 |
| Ginnie Mae II Pool 6% 5/20/2032  | 46770 | 48248 |
| Ginnie Mae II Pool 6.5% 1/20/2032  | 406 | 420 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 1778 | 1838 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 2198 | 2265 |
| Ginnie Mae II Pool 6.5% 4/20/2031  | 260 | 267 |
| Ginnie Mae II Pool 6.5% 5/20/2055  | 36518121 | 37570467 |
| Ginnie Mae II Pool 6.5% 6/20/2031  | 238 | 246 |
| Ginnie Mae II Pool 6.5% 7/20/2031  | 303 | 313 |
| Ginnie Mae II Pool 6.5% 8/20/2031  | 291 | 301 |
| Ginnie Mae II Pool 7% 2/20/2032  | 12787 | 13317 |
| Ginnie Mae II Pool 7% 3/20/2032  | 6305 | 6573 |
| Uniform Mortgage Backed Securities 2% 10/1/2055 (e) | 1096150000 | 883428392 |
| Uniform Mortgage Backed Securities 2% 11/1/2055 (e) | 266450000 | 214773275 |
| Uniform Mortgage Backed Securities 2.5% 10/1/2055 (e) | 368420000 | 310365076 |
| Uniform Mortgage Backed Securities 2.5% 11/1/2055 (e) | 79200000 | 66735290 |
| Uniform Mortgage Backed Securities 3% 10/1/2055 (e) | 78100000 | 68596815 |
| Uniform Mortgage Backed Securities 3.5% 10/1/2055 (e) | 162875000 | 148820663 |
| Uniform Mortgage Backed Securities 4% 10/1/2055 (e) | 43000000 | 40519102 |
| Uniform Mortgage Backed Securities 4.5% 10/1/2055 (e) | 77000000 | 74683986 |
| Uniform Mortgage Backed Securities 5% 10/1/2055 (e) | 82700000 | 82011911 |
| Uniform Mortgage Backed Securities 5.5% 10/1/2055 (e) | 317275000 | 319914823 |
| Uniform Mortgage Backed Securities 6% 10/1/2055 (e) | 372125000 | 380119883 |
| Uniform Mortgage Backed Securities 6.5% 10/1/2055 (e) | 65575000 | 67765100 |
| Uniform Mortgage Backed Securities 6.5% 11/1/2055 (e) | 30075000 | 31099430 |
| TOTAL UNITED STATES |  | 8183039813 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $8,343,684,214) |  | <br> **8183039813** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 49.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 49.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 49.9%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 49.9%** |
|  | Yield (%) (n) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.75% 8/15/2041  | 1.94 to 2.01 | 896321000 | 608167799 |
| US Treasury Bonds 1.875% 11/15/2051  | 2.09 to 2.15 | 120053000 | 67914357 |
| US Treasury Bonds 2% 8/15/2051  | 1.95 to 1.99 | 733544000 | 429753633 |
| US Treasury Bonds 2.375% 2/15/2042  | 3.18 | 95700000 | 70869554 |
| US Treasury Bonds 2.875% 5/15/2052  | 2.97 to 3.16 | 556400000 | 397043563 |
| US Treasury Bonds 3% 2/15/2049  | 2.93 to 3.06 | 271460000 | 203255675 |
| US Treasury Bonds 3.375% 8/15/2042  | 3.46 to 3.75 | 485600000 | 413746375 |
| US Treasury Bonds 3.625% 2/15/2053  | 3.80 to 3.81 | 193384000 | 159881732 |
| US Treasury Bonds 3.625% 5/15/2053  | 3.92 to 4.31 | 192000000 | 158580000 |
| US Treasury Bonds 4% 11/15/2052  | 4.95 to 5.00 | 129398000 | 114512176 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.20 to 5.00 | 522303000 | 472092545 |
| US Treasury Bonds 4.25% 2/15/2054 (j)(k) | 4.36 to 4.53 | 1126475000 | 1039789234 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.63 to 4.65 | 110733000 | 102220401 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.61 to 5.12 | 80030000 | 79285971 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.45 to 4.64 | 192000000 | 188640000 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.83 to 4.98 | 281659000 | 282539184 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.69 to 4.92 | 130900000 | 131349969 |
| US Treasury Bonds 5% 5/15/2045  | 4.91 | 1920000 | 1993799 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.58 to 2.66 | 20966605 | 20489632 |
| US Treasury Notes 2.375% 3/31/2029  | 2.43 to 2.67 | 504000000 | 482934372 |
| US Treasury Notes 2.625% 7/31/2029  | 2.80 | 273317000 | 263046261 |
| US Treasury Notes 2.75% 8/15/2032  | 2.75 to 2.79 | 813762000 | 756512574 |
| US Treasury Notes 2.875% 5/15/2032  | 2.96 to 3.16 | 763588000 | 717892031 |
| US Treasury Notes 3.375% 5/15/2033  | 3.79 to 3.98 | 465000000 | 446654299 |
| US Treasury Notes 3.5% 2/15/2033  | 3.92 to 3.94 | 470900000 | 457159284 |
| US Treasury Notes 3.5% 4/30/2030  | 3.65 | 528900000 | 523817599 |
| US Treasury Notes 3.625% 8/31/2029  | 3.49 | 153000000 | 152629452 |
| US Treasury Notes 3.625% 8/31/2030  | 3.59 to 3.61 | 251500000 | 250203203 |
| US Treasury Notes 3.625% 9/30/2031  | 3.93 to 3.95 | 609000000 | 601863281 |
| US Treasury Notes 3.75% 5/31/2030  | 4.00 to 4.01 | 514100000 | 514461474 |
| US Treasury Notes 3.75% 6/30/2030  | 3.91 to 4.12 | 543000000 | 543233322 |
| US Treasury Notes 3.75% 8/31/2031  | 3.59 | 660000000 | 657009375 |
| US Treasury Notes 3.875% 6/30/2030  | 3.99 | 534000000 | 537274921 |
| US Treasury Notes 3.875% 8/15/2033  | 4.02 to 4.77 | 1134063000 | 1124671541 |
| US Treasury Notes 3.875% 8/15/2034  | 4.22 to 4.28 | 471800000 | 464593255 |
| US Treasury Notes 4% 4/30/2032  | 4.26 to 4.27 | 313000000 | 314821757 |
| US Treasury Notes 4% 7/31/2030  | 4.15 to 4.64 | 1606800000 | 1624939262 |
| US Treasury Notes 4% 7/31/2032  | 3.92 to 3.93 | 392000000 | 393837500 |
| US Treasury Notes 4.125% 10/31/2031  | 4.39 | 574600000 | 582994550 |
| US Treasury Notes 4.125% 11/15/2032  | 3.73 to 3.75 | 825807000 | 835419905 |
| US Treasury Notes 4.125% 5/31/2032  | 4.05 | 8625000 | 8734751 |
| US Treasury Notes 4.125% 7/31/2031  | 4.03 | 75000000 | 76144748 |
| US Treasury Notes 4.25% 1/31/2030  | 4.31 | 461200000 | 470964471 |
| US Treasury Notes 4.25% 11/15/2034  | 4.18 | 419800000 | 424539147 |
| US Treasury Notes 4.25% 5/15/2035  | 4.23 to 4.52 | 1126050000 | 1136430773 |
| US Treasury Notes 4.25% 8/15/2035  | 4.04 to 4.26 | 760650000 | 766830281 |
| US Treasury Notes 4.375% 5/15/2034  | 4.10 to 4.29 | 18000000 | 18416250 |
| US Treasury Notes 4.5% 11/15/2033  | 4.27 to 4.29 | 355600000 | 367657063 |
| US Treasury Notes 4.625% 2/15/2035  | 4.24 | 473050000 | 491649900 |
| US Treasury Notes 4.75% 2/15/2045  | 4.53 to 4.96 | 55100000 | 55444375 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $22,015,902,474) |  |  | **21004906576** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.2%** | &nbsp;&nbsp;**Money Market Funds - 1.2%** | &nbsp;&nbsp;**Money Market Funds - 1.2%** | &nbsp;&nbsp;**Money Market Funds - 1.2%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (o)<br>(Cost $517,948,989)<br>| 4.21 | 517846009 | **517949578** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** | &nbsp;&nbsp;**Purchased Swaptions - 0.0%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.025% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/2030 | 9280000 | 297869 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.95% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/2030 | 21650000 | 723057 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 48130000 | 1521413 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 34290000 | 1117417 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/10/2026 | 27050000 | 603240 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.565% and receive annually a floating rate based on US SOFR Index, expiring September 2036 | 9/15/2026 | 15730000 | 527914 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 32000000 | 1023374 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.837% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/22/2026 | 47480000 | 953990 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.804% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/25/2026 | 34790000 | 796614 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.853% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/16/2030 | 25900000 | 936535 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.887% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/17/2030 | 12870000 | 457460 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.075% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 29420000 | 920511 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.853% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/16/2030 | 7100000 | 256976 |
| TOTAL PUT SWAPTIONS |  |  | 10136370 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.025% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/23/2030 | 9280000 | 335579 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.95% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 4/29/2030 | 21650000 | 745799 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/2/2030 | 48130000 | 1783455 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/7/2030 | 34290000 | 1229327 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/10/2026 | 27050000 | 814864 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.565% and pay annually a floating rate based on US SOFR Index, expiring September 2036 | 9/15/2026 | 15730000 | 336605 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/25/2030 | 32000000 | 1157462 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.837% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/22/2026 | 47480000 | 1490280 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.804% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/25/2026 | 34790000 | 1067229 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.853% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/16/2030 | 25900000 | 814264 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.887% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/17/2030 | 12870000 | 413311 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.075% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/24/2030 | 29420000 | 1096910 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.853% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/16/2030 | 7100000 | 223457 |
| TOTAL CALL SWAPTIONS |  |  | 11508542 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $24,336,810) |  |  | <br> **21644912** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 110.1%**<br> (Cost $47,703,016,866)<br>| <br>**46296978839** |
| **NET OTHER ASSETS (LIABILITIES) - (10.1)%**  | **(4228443294)** |
| **NET ASSETS - 100.0%** | **42068535545** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 10/1/2055 | (61125000) | (50555039) |
| Ginnie Mae II Pool 2.5% 10/1/2055 | (72800000) | (62666080) |
| Ginnie Mae II Pool 3% 10/1/2055 | (60400000) | (53948259) |
| Ginnie Mae II Pool 4% 10/1/2055 | (23800000) | (22379321) |
| Ginnie Mae II Pool 4.5% 10/1/2055 | (4375000) | (4242535) |
| Ginnie Mae II Pool 5% 10/1/2055 | (292250000) | (290698299) |
| Ginnie Mae II Pool 5% 11/1/2055 | (44850000) | (44552304) |
| Ginnie Mae II Pool 5.5% 10/1/2055 | (51600000) | (51982867) |
| Ginnie Mae II Pool 6% 10/1/2055 | (110775000) | (112672886) |
| Uniform Mortgage Backed Securities 2% 10/1/2055 | (1112825000) | (896867399) |
| Uniform Mortgage Backed Securities 2% 11/1/2055 | (41325000) | (33310210) |
| Uniform Mortgage Backed Securities 2.5% 10/1/2055 | (368195000) | (310175532) |
| Uniform Mortgage Backed Securities 2.5% 11/1/2055 | (9650000) | (8131257) |
| Uniform Mortgage Backed Securities 3% 10/1/2055 | (90500000) | (79487987) |
| Uniform Mortgage Backed Securities 3.5% 10/1/2055 | (162250000) | (148249594) |
| Uniform Mortgage Backed Securities 4% 10/1/2055 | (43000000) | (40519102) |
| Uniform Mortgage Backed Securities 4.5% 10/1/2055 | (77000000) | (74683986) |
| Uniform Mortgage Backed Securities 5% 10/1/2055 | (82700000) | (82011911) |
| Uniform Mortgage Backed Securities 5.5% 10/1/2055 | (10900000) | (10990691) |
| Uniform Mortgage Backed Securities 6% 10/1/2055 | (7500000) | (7661133) |
| Uniform Mortgage Backed Securities 6.5% 10/1/2055 | (30075000) | (31079457) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (2416865849) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $2,423,726,553) |  | <br> **(2416865849)** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 2923 | 12/31/2025 | 609057289 | 499628 | 499628 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 6290 | 12/31/2025 | 686740234 | 1327363 | 1327363 |
| CBOT US Treasury Long Bond Contracts (United States) | 574 | 12/19/2025 | 66924813 | 1458674 | 1458674 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 55 | 12/19/2025 | 6605156 | 86851 | 86851 |
| TOTAL PURCHASED |  |  |  |  | 3372516 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 590 | 12/19/2025 | 66365781 | 112009 | 112009 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 708 | 12/31/2025 | 77299219 | 173691 | 173691 |
| TOTAL SOLD |  |  |  |  | 285700 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **3658216** |
| The notional amount of futures purchased as a percentage of Net Assets is 3.2% | The notional amount of futures purchased as a percentage of Net Assets is 3.2% | The notional amount of futures purchased as a percentage of Net Assets is 3.2% | The notional amount of futures purchased as a percentage of Net Assets is 3.2% | The notional amount of futures purchased as a percentage of Net Assets is 3.2% | The notional amount of futures purchased as a percentage of Net Assets is 3.2% |
| The notional amount of futures sold as a percentage of Net Assets is 0.4% | The notional amount of futures sold as a percentage of Net Assets is 0.4% | The notional amount of futures sold as a percentage of Net Assets is 0.4% | The notional amount of futures sold as a percentage of Net Assets is 0.4% | The notional amount of futures sold as a percentage of Net Assets is 0.4% | The notional amount of futures sold as a percentage of Net Assets is 0.4% |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 1400000 | 220607 | (356245) | (135638) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 370000 | 58303 | (59004) | (701) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 400000 | 63031 | (60943) | 2088 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 1300000 | 89882 | (49292) | 40590 |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 1100000 | 76054 | (42273) | 33781 |
| CMBX BB Series 18 Index |  | 12/17/2057 | Goldman Sachs & Co LLC | (5%) | Monthly | 2000000 | 250488 | (295926) | (45438) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | JPMorgan Securities LLC | (3%) | Monthly | 580000 | 91394 | (160470) | (69076) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | JPMorgan Securities LLC | (3%) | Monthly | 550000 | 86667 | (161118) | (74451) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | JPMorgan Securities LLC | (3%) | Monthly | 450000 | 70910 | (115071) | (44161) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | JPMorgan Securities LLC | (3%) | Monthly | 1000000 | 69140 | (49196) | 19944 |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 13100000 | (54506) | (203764) | (258270) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 16000000 | (66573) | (103740) | (170313) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 300000 | 47273 | (73433) | (26160) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 590000 | 92970 | (135038) | (42068) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 130000 | 20485 | (28955) | (8470) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 240000 | 37818 | (39133) | (1315) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 1400000 | 96796 | (53802) | 42994 |
| CMBX BB Series 18 Index |  | 12/17/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly | 400000 | 50098 | (58440) | (8342) |
| CMBX BB Series 18 Index |  | 12/17/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly | 300000 | 37573 | (42985) | (5412) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 17690000 | (73605) | (154226) | (227831) |
| CMBX AAA Series 13 Index |  | 12/16/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 10070000 | (41899) | (105170) | (147069) |
| CMBX BBB- Series 16 Index |  | 4/17/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 20000 | 3152 | (5321) | (2169) |
| CMBX BBB Series 15 Index |  | 11/18/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 600000 | 84097 | (87991) | (3894) |
| CMBX BBB- Series 18 Index |  | 12/17/2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 1300000 | 89882 | (50709) | 39173 |
| CMBX BBB Series 15 Index |  | 11/18/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 1200000 | 168193 | (190895) | (22702) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  | 1568230 | (2683140) | (1114910) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 1800000 | (23476) | 48630 | 25154 |
| CMBX AAA Series 13 Index | NR | 12/16/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 35930000 | 149498 | 791874 | 941372 |
| CMBX AAA Series 13 Index | NR | 12/16/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 20930000 | 87086 | 474389 | 561475 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2400000 | (31301) | 38165 | 6864 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2450000 | (31953) | 36628 | 4675 |
| CMBX AAA Series 15 Index | NR | 11/18/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1449838 | (4783) | 19229 | 14446 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 275000 | (3587) | 6635 | 3048 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 900000 | (11738) | 21853 | 10115 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 14100000 | (183892) | 237407 | 53515 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 3500000 | (45647) | 44763 | (884) |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 14200000 | (185196) | 242399 | 57203 |
| CMBX AAA Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 32000000 | (417344) | 546647 | 129303 |
| CMBX BBB- Series 17 Index | NR | 12/15/2056 | Citigroup Global Markets Ltd | 3% | Monthly | 800000 | (99051) | 101245 | 2194 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | (801384) | 2609864 | 1808480 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **766846** | **(73276)** | **693570** |

---

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

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 12/17/2027 | 362713000 | 1343765 | 0 | 1343765 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 12/17/2028 | 508907000 | 2812572 | 0 | 2812572 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/17/2029 | 94804000 | 753859 | 0 | 753859 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/17/2032 | 55311000 | 671385 | 0 | 671385 |
| U.S. SOFR Index(4) | Annual | 3.75% | Annual | LCH | 12/17/2045 | 53352000 | 1045554 | 0 | 1045554 |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **6627135** | **0** | **6627135** |

---

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

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

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

(4)Represents floating rate.

**Currency Abbreviations**

USD - United States Dollar

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $7,127,023,376 or 16.9% of net assets.

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

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

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

(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

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

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

(i) 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.

(j) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $5,446,242.

(k) 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 $13,836,220.

(l) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $3,329,242.

(m) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $24,754,774.

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

(o) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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.

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 322795071 | 9608101702 | 9412945143 | 32178944 | (2052) | - | 517949578 | 517846009 | 0.9% |
| Fidelity Securities Lending Cash Central Fund | - | 5760174735 | 5760174735 | 281900 | - | - | - | - | 0.0% |
| Total | 322795071 | 15368276437 | 15173119878 | 32460844 | (2052) | - | 517949578 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

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

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of September 30, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Asset-Backed Securities** | 3988458852 | - | 3988458852 | - |
|  **Bank Notes** |  |  |  |  |
| Financials | 58382863 | - | 58382863 | - |
|  **Collateralized Mortgage Obligations** | 578044373 | - | 578044373 | - |
|  **Commercial Mortgage Securities** | 2051139375 | - | 2051139375 | - |
|  **Foreign Government and Government Agency Obligations** | 27260214 | - | 27260214 | - |
|  **Municipal Securities** |  |  |  |  |
| General Obligations | 34129931 | - | 34129931 | - |
|  **Non-Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 709329284 | - | 709329284 | - |
| Consumer Discretionary | 170820258 | - | 170820258 | - |
| Consumer Staples | 226542321 | - | 226542321 | - |
| Energy | 1058621724 | - | 1058621724 | - |
| Financials | 4365464025 | - | 4365464025 | - |
| Health Care | 673145751 | - | 673145751 | - |
| Industrials | 389183860 | - | 389183860 | - |
| Information Technology | 529529380 | - | 529529380 | - |
| Materials | 127580904 | - | 127580904 | - |
| Real Estate | 1082549865 | - | 1082549865 | - |
| Utilities | 499254980 | - | 499254980 | - |
|  **U.S. Government Agency - Mortgage Securities** | 8183039813 | - | 8183039813 | - |
|  **U.S. Treasury Obligations** | 21004906576 | - | 21004906576 | - |
|  **Money Market Funds** | 517949578 | 517949578 | - | - |
|  **Purchased Swaptions** | 21644912 | - | 21644912 | - |
| **Total Investments in Securities:** | 46296978839 | 517949578 | 45779029261 | - |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 3658216 | 3658216 | - | - |
| Swaps | 8668532 | - | 8668532 | - |
| Total Assets | 12326748 | 3658216 | 8668532 | - |
|  **Liabilities** |  |  |  |  |
| Swaps | (1274551) | - | (1274551) | - |
| Total Liabilities | (1274551) | - | (1274551) | - |
| **Total Derivative Instruments:** | 11052197 | 3658216 | 7393981 | - |
|  **<u>Other Financial Instruments:</u>** |  |  |  |  |
|  **TBA Sale Commitments** | (2416865849) | - | (2416865849) | - |
| **Total Other Financial Instruments:** | (2416865849) | - | (2416865849) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of September 30, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Credit Risk** |  |  |
| Swaps (a)  | 2041397 | (1274551) |
| **Total Credit Risk**  | 2041397 | (1274551) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 3658216 | - |
| Purchased Swaptions (c)  | 21644912 | - |
| Swaps (d)  | 6627135 | - |
| **Total Interest Rate Risk**  | 31930263 | - |
| **Total Value of Derivatives** | 33971660 | (1274551) |

---

(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(c)Gross value is included in the Statement of Assets and Liabilities in the investments in securities, at value line-item.

(d)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of September 30, 2025** | **As of September 30, 2025** | **As of September 30, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $47,185,067,877) | $45779029261 |  |
| Fidelity Central Funds (cost $517,948,989) | 517949578 |  |
| Total Investment in Securities (cost $47,703,016,866) |  | $46296978839 |
| Cash |  | 189563 |
| Receivable for investments sold |  |  |
| Regular delivery |  | 827116 |
| Delayed delivery |  | 88643369 |
| Receivable for TBA sale commitments |  | 2423726553 |
| Receivable for fund shares sold |  | 1832886 |
| Interest receivable |  | 357143700 |
| Distributions receivable from Fidelity Central Funds |  | 1790060 |
| Receivable for daily variation margin on futures contracts |  | 200150 |
| Bi-lateral OTC swaps, at value |  | 2041397 |
| Other receivables |  | 185237 |
| **Total assets** |  | 49173558870 |
| **Liabilities** |  |  |
| Payable for investments purchased |  |  |
| Regular delivery | $314821870 |  |
| Delayed delivery | 4370033164 |  |
| TBA sale commitments, at value | 2416865849 |  |
| Payable for fund shares redeemed | 1495551 |  |
| Bi-lateral OTC swaps, at value | 1274551 |  |
| Payable for daily variation margin on centrally cleared swaps | 344943 |  |
| Other payables and accrued expenses | 187397 |  |
| **Total liabilities** |  | 7105023325 |
| **Net Assets**  |  | $42068535545 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $45642202100 |
| Total accumulated earnings (loss) |  | (3573666555) |
| **Net Assets** |  | $42068535545 |
| **Net Asset Value**, offering price and redemption price per share ($42,068,535,545 ÷ 421,879,757 shares) |  | $99.72 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended September 30, 2025** | <br> **Year ended September 30, 2025** | <br> **Year ended September 30, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $1745694911 |
| Income from Fidelity Central Funds (including $281,900 from security lending)  |  | 32460844 |
| **Total income** |  | 1778155755 |
| **Expenses** |  |  |
| Custodian fees and expenses | $17733 |  |
| Independent trustees' fees and expenses | 100427 |  |
| Total expenses before reductions | 118160 |  |
| Expense reductions | (21234) |  |
| Total expenses after reductions |  | 96926 |
| **Net Investment income (loss)** |  | 1778058829 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (409002939) |  |
| Fidelity Central Funds | (2052) |  |
| Futures contracts | (8671130) |  |
| Swaps | 24410426 |  |
| Written options | 388690 |  |
| Total net realized gain (loss) |  | (392877005) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (2308932) |  |
| Futures contracts | 5936713 |  |
| Swaps | 2246143 |  |
| TBA sale commitments | (9026695) |  |
| Total change in net unrealized appreciation (depreciation) |  | (3152771) |
| **Net gain (loss)** |  | (396029776) |
| **Net increase (decrease) in net assets resulting from operations** |  | $1382029053 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **September 30, 2025** | **Year ended**<br> **September 30, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $1778058829 | $1681597973 |
| &nbsp;&nbsp;Net realized gain (loss) | (392877005)<br>| (482893307)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (3152771) | 3388931054<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 1382029053<br>| 4587635720<br>|
| Distributions to shareholders | (1795789335)<br>| (1677228498)<br>|
|  Affiliated share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 3385547343 | 2177625569 |
| Reinvestment of distributions | 1785901814<br>| 1677228498<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (3692455755) | (2756697727) |
| **Net increase (decrease) in net assets resulting from share transactions** | 1478993402<br>| 1098156340<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 1065233120<br>| 4008563562<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 41003302425 | 36994738863<br>|
| &nbsp;&nbsp;End of period | $42068535545 | $41003302425 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 34570929 | 22306502 |
| Issued in reinvestment of distributions | 18165882<br>| 17255967<br>|
| &nbsp;&nbsp;Redeemed | (37615951) | (28023917) |
| &nbsp;&nbsp;Net increase (decrease) | 15120860 | 11538552 |

---

**Financial Highlights** 

**Fidelity® Investment Grade Bond Central Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended September 30,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $100.80 | $93.61 | $95.82 | $114.50 | $118.41 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | 4.302  | 4.155  | 3.682  | 2.699  | 2.569  |
| Net realized and unrealized gain (loss)  | (1.037)  | 7.187  | (2.239)  | (18.662)  | (1.197)  |
| Total from investment operations  | 3.265  | 11.342  | 1.443  | (15.963)  | 1.372  |
| Distributions from net investment income  | (4.345)  | (4.152)  | (3.653)  | (2.717)  | (2.615)  |
| Distributions from net realized gain  | -  | -  | -  | -  | (2.667)  |
| Total distributions  | (4.345)  | (4.152)  | (3.653)  | (2.717)  | (5.282)  |
| Net asset value, end of period  | $99.72 | $100.80 | $93.61 | $95.82 | $114.50 |
| **Total Return** C | 3.39% <br>| 12.37%  | 1.43%  | (14.14)%  | 1.18%  |
| **Ratios to Average Net Assets** B,D,E |  |  |  |  |  |
| Expenses before reductions F | -%  | -%  | -%  | -%  | -%  |
| Expenses net of fee waivers, if any F | -% <br>| -%  | -%  | -%  | -%  |
| Expenses net of all reductions, if any F | -%  | -%  | -%  | -%  | -%  |
| Net investment income (loss)  | 4.39%  | 4.28%  | 3.79%  | 2.53%  | 2.22%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $42068536 | $41003302 | $36994739 | $31934099 | $32962327 |
| Portfolio turnover rate G | 175% <br>| 206%  | 174%  | 181%  | 245%  |

---

A*Calculated based on average shares outstanding during the period.*

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

C*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

D*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

E*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

F*Amount represents less than .005%.*

G*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements**

For the period ended September 30, 2025

**1. Organization.**

Fidelity Investment Grade Bond Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company LLC (FMR), or its affiliates (the Investing Funds). The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Directors (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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's 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. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. 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. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. 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, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using service or broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of September 30, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and include proceeds received from litigation. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Deferred Director Compensation.** Under a Deferred Compensation Plan (the Plan) for certain Funds, certain independent Directors have elected to defer receipt of a portion of their annual compensation. Deferred amounts are invested in affiliated mutual funds, are marked-to-market and remain in a fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Directors presented below are included in the accompanying Statement of Assets and Liabilities in other receivables and other payables and accrued expenses, as applicable.

---

| | |
|:---|:---|
| **Fidelity Investment Grade Bond Central Fund** | $179081 |

---

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of September 30, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, swaps, capital loss carryforwards, losses deferred due to wash sales and futures contracts.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $446650995 |
| **Gross unrealized depreciation**  | <u>(1858459692)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$(1411808697)</u> |
| **Tax Cost**  | <u>$47723044447</u> |

---

The tax-based components of distributable earnings as of period end were as follows:

---

| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$(2128309345)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(1430366240)</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(708369878) |
| Long-term | <u>(1419939467)</u> |
| **Total capital loss carryforward** | <u>$(2128309345)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **September 30, 2025** | **September 30, 2024** |
| **Ordinary Income** | <u>$1795789335</u> | <u>$1677228498</u> |
| **Total** | <u>$1795789335</u> | <u>$1677228498</u> |

---

**Delayed Delivery Transactions and When-Issued Securities.** During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Securities purchased on a delayed delivery or when-issued basis are identified as such in the Schedule of Investments. Compensation for interest forgone in the purchase of a delayed delivery or when-issued debt security may be received. With respect to purchase commitments, each applicable Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the Statement of Assets and Liabilities under the caption "Delayed delivery", as applicable. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

**To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls.** TBA securities involve buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. Funds may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or a fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to a fund's portfolio turnover rate.

Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.

TBA securities subject to a forward commitment to sell at period end are included at the end of the Schedule of Investments under the caption "TBA Sale Commitments." The value of these commitments and proceeds to be received at contractual settlement date are reflected in the Statement of Assets and Liabilities as "TBA sale commitments, at value" and "Receivable for TBA sale commitments," respectively. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, a fund realizes a gain or loss. If a fund delivers securities under the commitment, a fund realizes a gain or loss from the sale of the securities based upon the price established at the date the commitment was entered into.

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. 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.

Derivatives were used to increase returns, to gain exposure to certain types of assets and 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 objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

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| | |
|:---|:---|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| 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. |

---

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

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. 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.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

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| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Investment Grade Bond Central Fund** |  |  |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>(2428615)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2398864</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>(2428615)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2398864</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | (8671130) | 5936713 |
| Purchased Options | (8187279) | 100732 |
| Written Options | 388690 | - |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>26839041</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(152721)</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>10369322</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>5884724</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>7940707</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>8283588</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**Options.** Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. OTC options, such as swaptions, which are options where the underlying instrument is a swap, were used to manage exposure to fluctuations in interest rates.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period.

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**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. A fund enters 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.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Investment Grade Bond Central Fund** | 36302394639 | 37933268016 |

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**6. Fees and Other Transactions with Affiliates.**

**Management Fee and Expense Contract.** Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**Other.** During the period, the investment adviser reimbursed the Fund for certain losses as follows:

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| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Investment Grade Bond Central Fund** | 4932 |

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**7. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral less rebates paid to borrowers, plus any premium income received, or for non-cash collateral, fees received from borrowers as compensation for the securities loaned. Securities lending income is reduced by any lending agent fees associated with the loan. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations as a component of interest. Affiliated security lending activity, if any, was as follows:

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| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Investment Grade Bond Central Fund** | 28660 | - | - |

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**8. Expense Reductions.** 

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $21,234.

**9. Other.**

A fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

**10. Credit Risk.** 

The Fund invests a significant portion of its assets in structured securities of issuers backed by residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Central Investment Portfolios II LLC and the Shareholders of Fidelity Investment Grade Bond Central Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Investment Grade Bond Central Fund (the "Fund"), a fund of Fidelity Central Investment Portfolios II LLC, including the schedule of investments, as of September 30, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of September 30, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

November 13, 2025

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

A total of 42.00% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $1,502,640,678 of distributions paid in the calendar year 2024 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $1,795,789,335 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity Investment Grade Bond Central Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board's Operations Committee, of which all the Independent Trustees are members, meets regularly throughout the year and requests, receives and considers, among other matters, information related to the annual consideration of the renewal of the fund's Advisory Contracts before making its recommendation to the Board. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet from time to time with trustees of other Fidelity U.S. registered funds (Fidelity funds) through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2025 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. The Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable in light of all of the surrounding circumstances. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

**Nature, Extent, and Quality of Services Provided.** The Board considered the Investment Advisers' staffing as it relates to the fund, including the backgrounds and experience of investment personnel, and also considered the Investment Advisers' implementation of the fund's investment program. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such as size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that the Investment Advisers' investment professionals have sufficient access to information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, technology and operations capabilities and resources, which are integral parts of the investment management process.

<u>Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted by Fidelity to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity risk management. The Board also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

<u>Investment Performance</u>. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other Fidelity funds and accounts and ultimately to enhance the performance of those funds and accounts.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Expense Ratio.** The Board considered that while the fund does not pay a management fee, FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund with certain limited exceptions (i.e., custody fees, interest, taxes, fees and expenses of the Independent Trustees, proxy and shareholder meeting expenses, and extraordinary expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable. Based on its review, the Board concluded that the fact that FMR does not receive a management fee from the fund for providing services to the fund and the fund's total expense ratio were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the profitability of the funds that invest in the fund, as well as Fidelity's profits in respect of the fund and all the Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund with certain limited exceptions.

**Economies of Scale.** The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contract.

**Additional Information Requested by the Board.** In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) portfolio manager changes that have occurred during the past year; (ii) hiring, training, compensating, and retaining adviser and sub-adviser personnel; (iii) the terms of the funds' various management fee structures and arrangements for transfer agent and pricing and bookkeeping services; (iv) Fidelity's fund profitability methodology, profitability trends for certain funds and asset classes, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (v) information about the role of fund profitability in considering changes to the lineup of the Fidelity funds; (vi) the types of management fee and total expense comparisons provided, and challenges and limitations associated with such information; (vii) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons; (viii) matters related to money market funds, bond funds, allocation funds, exchange-traded funds, and target date funds; (ix) the arrangements with and compensation paid to certain fund sub-advisers and the treatment of such compensation within Fidelity's fund profitability methodology; and (x) the terms of management contracts between Fidelity and other funds and products not overseen by the Board.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that the fund's Advisory Contracts should be renewed through September 30, 2026.

![](img116050_4.jpg)<br>

1.822351.120 TP1-ANN-1125

**Fidelity® Inflation-Protected Bond Index Central Fund**

**Annual Report**

**September 30, 2025**

![](img116052_1.jpg)

![](img116052_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_IPB-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Inflation-Protected Bond Index Central Fund](#Sub_Sec_Fund_2398_IPB-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements2398_IPB-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_IPB-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_IPB-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_IPB-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_IPB-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_IPB-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_IPB-ANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

"BLOOMBERG®" and the Bloomberg indices listed herein (the "Indices") are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited ("BISL"), the administrator of the Indices (collectively, "Bloomberg") and have been licensed for use for certain purposes by Fidelity. Bloomberg is not affiliated with Fidelity, and Bloomberg does not approve, endorse, review, or recommend the fund. Bloomberg does not guarantee the timeliness, accuracy, or completeness of any data or information relating to the fund.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)**

**Fidelity® Inflation-Protected Bond Index Central Fund**

**Schedule of Investments September 30, 2025**

Showing Percentage of Net Assets

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 99.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 99.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 99.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 99.5%** |
|  | Yield (%) (a) | Principal<br> Amount (b)<br>| Value ($)<br>|
| US Treasury Bonds Inflation-Indexed 1.75% 1/15/2028  | 0.18 to 2.33 | 7141095 | 7260115 |
| US Treasury Bonds Inflation-Indexed 2.375% 1/15/2027  | -1.58 to 2.46 | 6580646 | 6698955 |
| US Treasury Bonds Inflation-Indexed 2.5% 1/15/2029  | -1.18 to 2.24 | 15916188 | 16635003 |
| US Treasury Bonds Inflation-Indexed 3.375% 4/15/2032  | -0.09 to 2.28 | 3457981 | 3871806 |
| US Treasury Bonds Inflation-Indexed 3.625% 4/15/2028  | -1.65 to 1.75 | 5233005 | 5568744 |
| US Treasury Bonds Inflation-Indexed 3.875% 4/15/2029  | -1.10 to 1.87 | 7899662 | 8638968 |
| US Treasury Notes Inflation-Indexed 0.125% 1/15/2030  | -1.03 to 2.23 | 23832733 | 22759655 |
| US Treasury Notes Inflation-Indexed 0.125% 1/15/2031  | -1.19 to 2.51 | 28171487 | 26460765 |
| US Treasury Notes Inflation-Indexed 0.125% 1/15/2032  | -0.73 to 2.17 | 36872940 | 33962017 |
| US Treasury Notes Inflation-Indexed 0.125% 10/15/2026  | -1.75 to 2.62 | 33961347 | 33775095 |
| US Treasury Notes Inflation-Indexed 0.125% 4/15/2027  | -0.44 to 2.44 | 21601552 | 21305980 |
| US Treasury Notes Inflation-Indexed 0.125% 7/15/2030  | -1.14 to 2.17 | 30060603 | 28589091 |
| US Treasury Notes Inflation-Indexed 0.125% 7/15/2031  | -1.17 to 2.15 | 22217479 | 20754091 |
| US Treasury Notes Inflation-Indexed 0.25% 7/15/2029  | -1.29 to 1.95 | 21390076 | 20755404 |
| US Treasury Notes Inflation-Indexed 0.375% 1/15/2027  | -1.87 to 2.17 | 16633959 | 16507244 |
| US Treasury Notes Inflation-Indexed 0.375% 7/15/2027  | -1.53 to 1.87 | 30672720 | 30468598 |
| US Treasury Notes Inflation-Indexed 0.5% 1/15/2028  | -1.66 to 2.07 | 24911043 | 24625996 |
| US Treasury Notes Inflation-Indexed 0.625% 7/15/2032  | 0.09 to 2.22 | 28619276 | 27095836 |
| US Treasury Notes Inflation-Indexed 0.75% 7/15/2028  | -1.63 to 1.83 | 16246583 | 16173916 |
| US Treasury Notes Inflation-Indexed 0.875% 1/15/2029  | -1.03 to 1.80 | 20214362 | 20064264 |
| US Treasury Notes Inflation-Indexed 1.125% 1/15/2033  | 1.15 to 2.52 | 30778110 | 29839287 |
| US Treasury Notes Inflation-Indexed 1.25% 4/15/2028  | 1.33 to 1.97 | 21798682 | 21884949 |
| US Treasury Notes Inflation-Indexed 1.375% 7/15/2033  | 1.57 to 2.23 | 32442240 | 31953219 |
| US Treasury Notes Inflation-Indexed 1.625% 10/15/2027  | 0.70 to 2.28 | 30382444 | 30874224 |
| US Treasury Notes Inflation-Indexed 1.625% 10/15/2029  | 0.99 to 1.99 | 27119488 | 27662655 |
| US Treasury Notes Inflation-Indexed 1.625% 4/15/2030  | 1.41 to 1.60 | 24741312 | 25127221 |
| US Treasury Notes Inflation-Indexed 1.75% 1/15/2034  | 1.68 to 2.13 | 29005944 | 29151797 |
| US Treasury Notes Inflation-Indexed 1.875% 7/15/2034  | 1.60 to 2.25 | 33933309 | 34438315 |
| US Treasury Notes Inflation-Indexed 1.875% 7/15/2035  | 1.78 to 1.97 | 24045073 | 24246107 |
| US Treasury Notes Inflation-Indexed 2.125% 1/15/2035  | 1.83 to 2.12 | 35069906 | 36113149 |
| US Treasury Notes Inflation-Indexed 2.125% 4/15/2029  | 1.21 to 2.29 | 31482996 | 32503018 |
| US Treasury Notes Inflation-Indexed 2.375% 10/15/2028  | 1.25 to 2.43 | 27548764 | 28699237 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $732,914,551) |  |  | **744464721** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.3%** | &nbsp;&nbsp;**Money Market Funds - 0.3%** | &nbsp;&nbsp;**Money Market Funds - 0.3%** | &nbsp;&nbsp;**Money Market Funds - 0.3%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (c)<br>(Cost $1,993,619)<br>| 4.21 | 1993220 | **1993619** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.8%**<br> (Cost $734,908,170)<br>| <br>**746458340** |
| **NET OTHER ASSETS (LIABILITIES) - 0.2%**  | **1577444** |
| **NET ASSETS - 100.0%** | **748035784** |

---

**Legend**

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

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

(c) 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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 1675903 | 56737845 | 56420113 | 81589 | (16) | - | 1993619 | 1993220 | 0.0% |
| Total | 1675903 | 56737845 | 56420113 | 81589 | (16) | - | 1993619 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of September 30, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **U.S. Treasury Obligations** | 744464721 | - | 744464721 | - |
|  **Money Market Funds** | 1993619 | 1993619 | - | - |
| **Total Investments in Securities:** | 746458340 | 1993619 | 744464721 | - |

---

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of September 30, 2025** | **As of September 30, 2025** | **As of September 30, 2025** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $732,914,551) | $744464721 |  |
| Fidelity Central Funds (cost $1,993,619) | 1993619 |  |
| Total Investment in Securities (cost $734,908,170) |  | $746458340 |
| Receivable for investments sold |  | 9840195 |
| Receivable for fund shares sold |  | 161869 |
| Interest receivable |  | 2700893 |
| Distributions receivable from Fidelity Central Funds |  | 4690 |
| **Total assets** |  | 759165987 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $11058690 |  |
| Payable for fund shares redeemed | 71438 |  |
| Other payables and accrued expenses | 75 |  |
| **Total liabilities** |  | 11130203 |
| **Net Assets**  |  | $748035784 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $762434890 |
| Total accumulated earnings (loss) |  | (14399106) |
| **Net Assets** |  | $748035784 |
| **Net Asset Value**, offering price and redemption price per share ($748,035,784 ÷ 8,110,503 shares) |  | $92.23 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended September 30, 2025** | <br> **Year ended September 30, 2025** | <br> **Year ended September 30, 2025** |
| **Investment Income** |  |  |
| Interest  |  | $30715972 |
| Income from Fidelity Central Funds  |  | 81589 |
| **Total income** |  | 30797561 |
| **Expenses** |  |  |
| Custodian fees and expenses | $875 |  |
| Independent trustees' fees and expenses | 1589 |  |
| **Total expenses** |  | 2464 |
| **Net Investment income (loss)** |  | 30795097 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (3486423) |  |
| Fidelity Central Funds | (16) |  |
| Total net realized gain (loss) |  | (3486439) |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | 12015755 |
| **Net gain (loss)** |  | 8529316 |
| **Net increase (decrease) in net assets resulting from operations** |  | $39324413 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **September 30, 2025** | **Year ended**<br> **September 30, 2024** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $30795097 | $20962579 |
| &nbsp;&nbsp;Net realized gain (loss) | (3486439)<br>| (13678773)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 12015755 | 33657042<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 39324413<br>| 40940848<br>|
| Distributions to shareholders | (23438941)<br>| (26643897)<br>|
|  Affiliated share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 534027025 | 215028822 |
| Reinvestment of distributions | 23438941<br>| 26643897<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (267772462) | (237216801) |
| **Net increase (decrease) in net assets resulting from share transactions** | 289693504<br>| 4455918<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 305578976<br>| 18752869<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 442456808 | 423703939<br>|
| &nbsp;&nbsp;End of period | $748035784 | $442456808 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 5949672 | 2417895 |
| Issued in reinvestment of distributions | 262101<br>| 302854<br>|
| &nbsp;&nbsp;Redeemed | (2949113) | (2687702) |
| &nbsp;&nbsp;Net increase (decrease) | 3262660 | 33047 |

---

**Financial Highlights** 

**Fidelity® Inflation-Protected Bond Index Central Fund** <br>

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Years ended September 30,** | **2025**  | **2024**  | **2023**  | **2022**  | **2021**  |
| **Selected Per-Share Data**  |  |  |  |  |  |
| Net asset value, beginning of period  | $91.27 | $88.00 | $96.61 | $113.48 | $108.93 |
| Income from Investment Operations  |  |  |  |  |  |
| Net investment income (loss) A,B | 4.098  | 3.663  | 3.381  | 7.596  | 5.098  |
| Net realized and unrealized gain (loss)  | .558  | 4.042  | (1.285)  | (15.349)  | 1.090  |
| Total from investment operations  | 4.656  | 7.705  | 2.096  | (7.753)  | 6.188  |
| Distributions from net investment income  | (3.696)  | (4.435)  | (8.189)  | (7.113)  | (.222)  |
| Distributions from net realized gain  | -  | -  | (2.517)  | (2.004)  | (1.416)  |
| Total distributions  | (3.696)  | (4.435)  | (10.706)  | (9.117)  | (1.638)  |
| Net asset value, end of period  | $92.23 | $91.27 | $88.00 | $96.61 | $113.48 |
| **Total Return** C | 5.29% <br>| 9.01%  | 2.15%  | (7.47)%  | 5.74%  |
| **Ratios to Average Net Assets** B,D,E |  |  |  |  |  |
| Expenses before reductions F | -%  | -%  | -%  | -%  | -%  |
| Expenses net of fee waivers, if any F | -% <br>| -%  | -%  | -%  | -%  |
| Expenses net of all reductions, if any F | -%  | -%  | -%  | -%  | -%  |
| Net investment income (loss)  | 4.55%  | 4.13%  | 3.71%  | 7.12%  | 4.60%  |
| **Supplemental Data** |  |  |  |  |  |
| Net assets, end of period (000 omitted) | $748036 | $442457 | $423704 | $614245 | $1177340 |
| Portfolio turnover rate G | 56% <br>| 63%  | 33%  | 33%  | 24%  |

---

A*Calculated based on average shares outstanding during the period.*

B*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

C*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

D*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

E*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

F*Amount represents less than .005%.*

G*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Financial Statements**

For the period ended September 30, 2025

**1. Organization.**

Fidelity Inflation-Protected Bond Index Central Fund (the Fund) is a fund of Fidelity Central Investment Portfolios II LLC (the LLC) and is authorized to issue an unlimited number of shares. Shares of the Fund are only offered to other investment companies and accounts managed by Fidelity Management & Research Company LLC (FMR), or its affiliates (the Investing Funds). The LLC is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware Limited Liability Company.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Directors (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 Fund categorizes the inputs to valuation techniques used to value its investments 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 the Fund's 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 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Investments in open-end mutual funds, including the Fidelity Central 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. The aggregate value of investments by input level as of September 30, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. For Treasury Inflation-Protected Securities (TIPS) the principal amount is adjusted daily to keep pace with inflation. Interest is accrued based on the adjusted principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Such adjustments may result in negative Interest and may have a significant impact on the Fund's distributions.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of September 30, 2025, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $12609105 |
| **Gross unrealized depreciation**  | <u>(1780438)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$10828667</u> |
| **Tax Cost**  | <u>$735629673</u> |

---

The tax-based components of distributable earnings as of period end were as follows:

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$16289046</u> |
| **Capital loss carryforward**  | <u>$(41516817)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$10828667</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(6622757) |
| Long-term | <u>(34894060)</u> |
| **Total capital loss carryforward** | <u>$(41516817)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **September 30, 2025** | **September 30, 2024** |
| **Ordinary Income**  | $23438941 | $26643897 |

---

**New Accounting Pronouncements.** FASB Accounting Standards Update (ASU) 2023-07 Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures became effective in this reporting period. ASU 2023-07 enhances segment information disclosure in the notes to financial statements.

In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Fees and Other Transactions with Affiliates.**

**Management Fee and Expense Contract.** Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management services. The Fund does not pay any fees for these services. Pursuant to the Fund's expense contract, the investment adviser also pays all other expenses of the Fund, excluding custody fees, the compensation of the independent Directors, and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**5. Other.**

A fund's organizational documents provide former and current directors and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, mutual funds managed by the investment adviser or its affiliates were the owners of record of all of the outstanding shares of the Fund.

**6. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Central Investment Portfolios II LLC and the Shareholders of Fidelity Inflation-Protected Bond Index Central Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Inflation-Protected Bond Index Central Fund (the "Fund"), a fund of Fidelity Central Investment Portfolios II LLC, including the schedule of investments, as of September 30, 2025, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of September 30, 2025, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

November 13, 2025

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

A total of 99.78% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $19,946167 of distributions paid in the calendar year 2024 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $22,920,239 of distributions paid during the fiscal year ended 2025 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2026 of amounts for use in preparing 2025 income tax returns.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity Inflation-Protected Bond Index Central Fund**

Each year, the Board of Directors, including the Independent Directors (together, the Board), considers the renewal of the fund's management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Directors' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board's Operations Committee, of which all the Independent Directors are members, meets regularly throughout the year and requests, receives and considers, among other matters, information related to the annual consideration of the renewal of the fund's Advisory Contracts before making its recommendation to the Board. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet from time to time with trustees of other Fidelity U.S. registered funds (Fidelity funds) through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its September 2025 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. The Board considered all factors it believed relevant and reached a determination, with the assistance of fund counsel and Independent Directors' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of the fund and its shareholders and the fact that no fee is payable under the management contract was fair and reasonable in light of all of the surrounding circumstances. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

**Nature, Extent, and Quality of Services Provided.** The Board considered the Investment Advisers' staffing as it relates to the fund, including the backgrounds and experience of investment personnel, and also considered the Investment Advisers' implementation of the fund's investment program. The Independent Directors also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such as size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that the Investment Advisers' investment professionals have sufficient access to information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, technology and operations capabilities and resources, which are integral parts of the investment management process.

<u>Administrative Services</u>. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency and pricing and bookkeeping services for the fund; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors; and (iii) the resources devoted by Fidelity to, and the record of compliance with, the fund's compliance policies and procedures, including with respect to liquidity risk management. The Board also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

<u>Investment Performance</u>. The Board reviewed the fund's absolute investment performance, as well as the fund's relative investment performance. In this regard, the Board noted that the fund is designed to offer a liquid investment option for other Fidelity funds and accounts and ultimately to enhance the performance of those funds and accounts.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to the fund under the Advisory Contracts should continue to benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Expense Ratio.** The Board considered that while the fund does not pay a management fee, FMR receives fees for providing services to funds that invest in the fund. The Board also noted that FMR bears all expenses of the fund with certain limited exceptions (i.e., custody fees, interest, taxes, fees and expenses of the Independent Directors, proxy and shareholder meeting expenses, and extraordinary expenses). The Board further noted that the fund pays its non-operating expenses, including brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable. Based on its review, the Board concluded that the fact that FMR does not receive a management fee from the fund for providing services to the fund and the fund's total expense ratio were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the profitability of the funds that invest in the fund, as well as Fidelity's profits in respect of the fund and all the Fidelity funds.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board concluded that the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund were not relevant to the renewal of the Advisory Contracts because the fund pays no advisory fees and FMR bears all expenses of the fund with certain limited exceptions.

**Economies of Scale.** The Board concluded that because the fund pays no advisory fees and FMR bears all expenses of the fund with certain limited exceptions, the realization of economies of scale was not a material factor in the Board's decision to renew the fund's Advisory Contract.

**Additional Information Requested by the Board.** In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) portfolio manager changes that have occurred during the past year; (ii) hiring, training, compensating, and retaining adviser and sub-adviser personnel; (iii) the terms of the funds' various management fee structures and arrangements for transfer agent and pricing and bookkeeping services; (iv) Fidelity's fund profitability methodology, profitability trends for certain funds and asset classes, the allocation of various costs to different funds, and the impact of certain factors on fund profitability results; (v) information about the role of fund profitability in considering changes to the lineup of the Fidelity funds; (vi) the types of management fee and total expense comparisons provided, and challenges and limitations associated with such information; (vii) explanations regarding the relative total expense ratios and management fees of certain funds and classes, total expense and management fee competitive trends, and methodologies for total expense and management fee competitive comparisons; (viii) matters related to money market funds, bond funds, allocation funds, exchange-traded funds, and target date funds; (ix) the arrangements with and compensation paid to certain fund sub-advisers and the treatment of such compensation within Fidelity's fund profitability methodology; and (x) the terms of management contracts between Fidelity and other funds and products not overseen by the Board.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Directors, concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that the fund's Advisory Contracts should be renewed through September 30, 2026.

![](img116052_4.jpg)<br>

1.938133.113 IPB-ANN-1125

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.

Item 16.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.

Item 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(a) (1) [Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.](code.htm)

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.](ex99cert.htm)

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.](ex99906cert.htm)

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Central Investment Portfolios II LLC

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; November 20, 2025 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Laura M. Del Prato</u> |
|  | &nbsp;&nbsp; Laura M. Del Prato |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; November 20, 2025 |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
|  | &nbsp;&nbsp; Stephanie Caron |
|  | &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; November 20, 2025 |

---

## Ex-99.Code

**Fidelity Investments**

**FIDELITY FUNDS'**

**CODE OF ETHICS**

**FOR PRESIDENT, TREASURER**

**AND PRINCIPAL ACCOUNTING OFFICER**

2023

**FIDELITY FUNDS' CODE OF ETHICS FOR**

**PRESIDENT, TREASURER AND PRINCIPAL ACCOUNTING OFFICER**

**I. Purposes of the Code/Covered Officers**

This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. The Code applies to the Fidelity Funds' President and Treasurer, and Chief Financial Officer (Covered Officers). Fidelity's Ethics Office, within Enterprise Compliance, administers the Code.

The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· full, fair, accurate, timely and understandable disclosure in reports and documents that the Fidelity Funds submit to the Securities and Exchange Commission (SEC), and in other public communications by a Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· compliance with applicable laws and governmental rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

**II.** **Covered Officers Should Handle Ethically** 

**Actual and Apparent Conflicts of Interest**

**Overview.** A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or their service to, the Fidelity Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of their family, receives improper personal benefits as a result of their position with the Fidelity Funds.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Fidelity Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a Fidelity Fund because of their status as "affiliated persons" of the Fund. Separate compliance programs and procedures of the Fidelity Funds, Fidelity Management & Research Company (FMR) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fidelity Funds, FMR or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Fidelity Funds, FMR and other Fidelity companies. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) and is consistent with the performance by the Covered Officers of their duties as officers of the Fidelity Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Board of Trustees (Board) that the Covered Officers also may be officers or employees of one or more other Fidelity Funds covered by this Code.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fidelity Fund.

\* \* \*

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not use their personal influence or personal relationships improperly to influence investment decisions or financial reporting by any Fidelity Fund whereby the Covered Officer would benefit personally to the detriment of any Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not cause a Fidelity Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not engage in any outside business activity, including serving as a director or trustee, that prevents the Covered Officer from devoting appropriate time and attention to the Covered Officer's responsibilities with the Fidelity Funds;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not have a consulting or employment relationship with any of the Fidelity Funds' service providers that are not affiliated with Fidelity; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not retaliate against any employee or Covered Officer for reports of actual or potential misconduct, which are made in good faith.

With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Fidelity Ethics Office for resolution. Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Fidelity Ethics Office immediately.

**III. Disclosure and Compliance**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should familiarize themself with the disclosure requirements generally applicable to the Fidelity Funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about any Fidelity Fund to others, whether within or outside Fidelity, including to the Board and auditors, and to governmental regulators and self-regulatory organizations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should, to the extent appropriate within their area of responsibility, consult with other officers and employees of the Fidelity Funds, FMR and the Fidelity service providers, and with the Board's Compliance Committee, with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fidelity Funds file with, or submit to, the SEC and in other public communications made by the Fidelity Funds; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

**IV. Reporting and Accountability**

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· upon receipt of the Code, and annually thereafter, submit to the Fidelity Ethics Office an acknowledgement stating that they have received, read, and understand the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· notify the Fidelity Ethics Office promptly if they know of any violation of the Code. <u>Failure to do so is itself a violation of this Code</u>.

The Fidelity Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it. Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below. The Covered Officer will be informed of any action determined to be appropriate. The Fidelity Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response. Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities. Additionally, other legal remedies may be pursued.

The policies and procedures described in the Code do not create any obligations to any person or entity other than the Fidelity Funds. The Code is intended solely for the internal use by the Fidelity Funds and does not constitute a promise, contract or an admission by or on behalf of any Fidelity Fund as to any fact, circumstance, or legal conclusion. The Fidelity Funds, the Fidelity companies and the Fidelity Head of Ethics retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.

**V. Oversight**

Material violations of this Code will be reported promptly by FMR (or another Fidelity company) to the Board's Compliance Committee. In addition, at least once each year, FMR (or another Fidelity company) will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.

**VI. Other Policies and Procedures** 

This Code shall be the sole code of ethics adopted by the Fidelity Funds for purposes of Section 406 of the Sarbanes-Oxley Act. Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others) and are not part of this Code.

**VII. Amendments**

Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Fidelity Funds.

**VIII. Records and Confidentiality**

Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Fidelity Ethics Office. All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fidelity Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.

2023

## Ex-99.Cert

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<u>Exhibit EX-99.CERT</u>

I, Laura M. Del Prato, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Central Investment Portfolios II LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

November 20, 2025

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Laura M. Del Prato</u> |
| &nbsp;&nbsp;Laura M. Del Prato |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

I, Stephanie Caron, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Central Investment Portfolios II LLC;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

November 20, 2025

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

---

## Exhibit 99.906

<u>Exhibit EX-99.906CERT</u>

**Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)**

In connection with the attached Report of Fidelity Central Investment Portfolios II LLC (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: November 20, 2025

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Laura M. Del Prato</u> |
| &nbsp;&nbsp;Laura M. Del Prato |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

Dated: November 20, 2025

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

---

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

<br>