# EDGAR Filing Document

**Accession Number:** 0000763852
**File Stem:** 0002071691-25-004174
**Filing Date:** 2025-10
**Character Count:** 154503
**Document Hash:** e2acfea5d62d75965f20e638ccbee19f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-25-004174.hdr.sgml**: 20251029

**ACCESSION NUMBER**: 0002071691-25-004174

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251029

**DATE AS OF CHANGE**: 20251029

**PERIOD START**: 20260228

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** JPMORGAN TRUST II
- **CENTRAL INDEX KEY:** 0000763852

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04236
- **FILM NUMBER:** 251429188

**BUSINESS ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172
- **BUSINESS PHONE:** 800-480-4111

**MAIL ADDRESS:**
- **STREET 1:** 277 PARK AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10172

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP MUTUAL FUNDS
- **DATE OF NAME CHANGE:** 20000721

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ONE GROUP
- **DATE OF NAME CHANGE:** 19931105

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** HELMSMAN FUND
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### JPMorgan Government Bond Fund (Series ID: S000003485)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000009631 | Class R6     | OGGYX           |
| C000009632 | Class I      | HLGAX           |
| C000009633 | Class A      | OGGAX           |
| C000009635 | Class C      | OGVCX           |
| C000070640 | Class R2     | JGBZX           |
| C000171356 | Class R3     | OGGPX           |
| C000171357 | Class R4     | OGGQX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** JPMorgan Trust II

- **b. Investment Company Act file number:** 811-04236

- **c. CIK number of Registrant:** 0000763852

- **d. LEI of Registrant:** 549300IMXLYKELY96B40

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

  - **Street Address 1:** 277 Park Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10172

  - **Telephone number:** 800-480-4111

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

- **a. Name of Series:** JPMorgan Government Bond Fund

- **b. EDGAR series identifier (if any):** S000003485

- **c. LEI of Series:** 549300SMSIKAH2NAKR95

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

- **a. Date of fiscal year-end:** 2026-02-28

- **b. Date as of which information is reported:** 2025-08-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1899684198.82

**Total Liabilities:** $809883.81

**Net Assets:** $1898874315.01

**Cash Not Reported:** $621018.75

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 300.29422000 | **1-Year:** 37900.41989000 | **5-Year:** 319667.88362000 | **10-Year:** 266488.34128000 | **30-Year:** 0.00000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000009633 | 1.30%                | -0.37%               | 1.29%                |
| Class ID C000070640 | 1.27%                | -0.41%               | 1.26%                |
| Class ID C000009631 | 1.33%                | -0.34%               | 1.33%                |
| Class ID C000171357 | 1.31%                | -0.36%               | 1.30%                |
| Class ID C000009632 | 1.32%                | -0.35%               | 1.31%                |
| Class ID C000171356 | 1.29%                | -0.43%               | 1.30%                |
| Class ID C000009635 | 1.37%                | -0.42%               | 1.14%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-95997.80               | $21290796.71                               |
| Month 2  | $-6305714.72             | $-6492212.70                               |
| Month 3  | $-5132299.28             | $23886728.57                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                       | Title                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140KRYQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6288982 | PA      | $5275383.31   | 0.28%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138ETTS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2859540 | PA      | $2756455.79   | 0.15%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 3132XXQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2784363 | PA      | $2668613.84   | 0.14%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HVY57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14898834 | PA      | $12802303.97  | 0.67%             | 2034-10-01      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Inflation Indexed Bonds                                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  38060825 | PA      | $31809495.87  | 1.68%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $8864843.80   | 0.47%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4365, Class HZ                                               | CUSIP: 3137BCP85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2677214 | PA      | $2516792.68   | 0.13%             | 2040-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HVVH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6663898 | PA      | $5591138.99   | 0.29%             | 2036-09-01      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2647, Class A                                                | CUSIP: 31394GBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24936 | PA      | $24436.81     | 0.00%             | 2032-04-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 267, Class 30                                               | CUSIP: 3128HXRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1539684 | PA      | $1409949.35   | 0.07%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140W1MC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11268462 | PA      | $11422333.58  | 0.60%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2025-100, Class JS                                                   | CUSIP: 38385G2J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6969441 | PA      | $6798388.96   | 0.36%             | 2055-06-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140FHCP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106365 | PA      | $99266.75     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K087, Class A1   | CUSIP: 3137FKUN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1316822 | PA      | $1311998.29   | 0.07%             | 2027-10-25      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 406                                                         | CUSIP: 3133Q3G96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6939195 | PA      | $5768964.34   | 0.30%             | 2053-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2014-2, Class QB                                              | CUSIP: 3136AJBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2745397 | PA      | $2656201.25   | 0.14%             | 2034-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2009-42, Class TX                                                    | CUSIP: 38374UC74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2573353 | PA      | $2601325.07   | 0.14%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 3132XXNU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1748841 | PA      | $1666329.08   | 0.09%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140H2Z84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3154009 | PA      | $3018515.96   | 0.16%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LMMN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5941384 | PA      | $5599420.23   | 0.29%             | 2033-03-01      | Fixed         | 3.33%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2006-51, Class FP                                             | CUSIP: 31395DS34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    459846 | PA      | $458929.68    | 0.02%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4458, Class BW                                               | CUSIP: 3137BHE52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6510828 | PA      | $6225370.99   | 0.33%             | 2035-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-115, Class ME                                            | CUSIP: 3136A9CG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1220444 | PA      | $1151500.38   | 0.06%             | 2042-03-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 264, Class 30                                               | CUSIP: 3128HXMV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2645780 | PA      | $2431097.35   | 0.13%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $24577929.60  | 1.29%             | 2047-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3927, Class PC                                               | CUSIP: 3137AFE73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3299646 | PA      | $3299156.23   | 0.17%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                   | Resolution Funding Corp. STRIPS                                                   | CUSIP: 76116FAC1<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |   5000000 | PA      | $4174093.85   | 0.22%             | 2030-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4925, Class PA                                               | CUSIP: 3137FPBV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7276991 | PA      | $6706459.86   | 0.35%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403NJF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164712 | PA      | $167561.13    | 0.01%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292GZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17138 | PA      | $17773.66     | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140JAFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5200591 | PA      | $5024218.98   | 0.26%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2025-79, Class NM                                                    | CUSIP: 38385GWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8010893 | PA      | $7019071.55   | 0.37%             | 2051-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q013, Class APT2 | CUSIP: 3137FWGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9435934 | PA      | $9023065.98   | 0.48%             | 2050-05-25      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-47, Class MB                                             | CUSIP: 31398PNS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1011389 | PA      | $1041630.02   | 0.05%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3622A2N32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    329581 | PA      | $318772.80    | 0.02%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3926, Class MW                                               | CUSIP: 3137AFC34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    145850 | PA      | $145461.00    | 0.01%             | 2026-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                   | Resolution Funding Corp. STRIPS                                                   | CUSIP: 76116EHK9<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  15000000 | PA      | $13586620.05  | 0.72%             | 2028-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-65, Class LD                                             | CUSIP: 3136AP3R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7057000 | PA      | $6783505.26   | 0.36%             | 2036-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3325, Class JL                                               | CUSIP: 31397JE75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1041233 | PA      | $1096754.45   | 0.06%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  75300000 | PA      | $65196269.34  | 3.43%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31419BK61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690823 | PA      | $651336.14    | 0.03%             | 2041-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CJF9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25944336.00  | 1.37%             | 2028-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-1, Class M55G              | CUSIP: 35563PPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  11170967 | PA      | $10073626.01  | 0.53%             | 2059-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series Q007, Class APT2 | CUSIP: 3137FHQC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1135799 | PA      | $1132771.71   | 0.06%             | 2047-10-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3798, Class AY                                               | CUSIP: 3137A66S6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31092 | PA      | $30975.30     | 0.00%             | 2026-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WFH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1815290 | PA      | $1684072.50   | 0.09%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4443156 | PA      | $3789098.90   | 0.20%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4047, Class PB                                               | CUSIP: 3137AQSD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    558686 | PA      | $556016.37    | 0.03%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2162, Class TH                                               | CUSIP: 3133TLBV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     53366 | PA      | $54128.07     | 0.00%             | 2029-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  27000000 | PA      | $18512929.62  | 0.97%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4062, Class GY                                               | CUSIP: 3137ARFY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6109000 | PA      | $5994666.40   | 0.32%             | 2042-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3188, Class GE                                               | CUSIP: 31396UNR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28092 | PA      | $28114.68     | 0.00%             | 2026-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-51, Class 1A    | CUSIP: 31392W7B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    795344 | PA      | $821837.11    | 0.04%             | 2043-09-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LMK28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4140706 | PA      | $3917666.44   | 0.21%             | 2033-02-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $13328320.35  | 0.70%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 15 Year                                                                | CUSIP: 3140X75K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3987231 | PA      | $3907308.80   | 0.21%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4448, Class DY                                               | CUSIP: 3137BGYD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5541618 | PA      | $5300446.23   | 0.28%             | 2035-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140J5GT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1897105 | PA      | $1844844.76   | 0.10%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                        | U.S. Treasury Ultra Bond                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        57 | NC      | $-39936.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-71, Class CA                                             | CUSIP: 3136B6ZZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8778450 | PA      | $8231928.70   | 0.43%             | 2046-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2011-145, Class PB                                            | CUSIP: 3136A3BT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5049739 | PA      | $4960515.84   | 0.26%             | 2032-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4039, Class SA                                               | CUSIP: 3137AQR26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2195968 | PA      | $266408.42    | 0.01%             | 2042-05-15      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140Q9XT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    832165 | PA      | $813601.37    | 0.04%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-164, Class AO                                                   | CUSIP: 38384XSY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5108691 | PA      | $4124729.10   | 0.22%             | 2054-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140JG3M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    878522 | PA      | $803634.69    | 0.04%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403ASQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140860 | PA      | $142392.85    | 0.01%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QTDZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12536702 | PA      | $12096280.13  | 0.64%             | 2053-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2022-94, Class AO                                                    | CUSIP: 38383RX44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7414542 | PA      | $5241389.41   | 0.28%             | 2052-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4336, Class YB                                               | CUSIP: 3137BAZY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    279947 | PA      | $278142.53    | 0.01%             | 2029-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36202CSM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       407 | PA      | $407.94       | 0.00%             | 2026-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan U.S. Government Money Market Fund | JPMorgan U.S. Government Money Market Fund, Class Institutional                   | CUSIP: 4812C2684<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        |  48858366 | NS      | $48858366.06  | 2.57%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA                                       | GNMA, Series 2008-15, Class NB                                                    | CUSIP: 383742RV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    154913 | PA      | $154732.42    | 0.01%             | 2038-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2005-W1, Class 1A2                          | CUSIP: 31394CB43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    708943 | PA      | $737115.57    | 0.04%             | 2044-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  30000000 | PA      | $29769140.70  | 1.57%             | 2030-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292HNH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9333 | PA      | $9590.24      | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2002-92, Class FB                                             | CUSIP: 31392HBQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95655 | PA      | $95853.80     | 0.01%             | 2030-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 36209JCQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        89 | PA      | $90.18        | 0.00%             | 2028-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31414LYD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31651 | PA      | $31420.20     | 0.00%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HTEY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12436528 | PA      | $12230827.08  | 0.64%             | 2029-03-01      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2020-133, Class KB                                                   | CUSIP: 38382JG91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7438361 | PA      | $6024587.10   | 0.32%             | 2050-08-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3737, Class DG                                               | CUSIP: 3137GAU39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1877 | PA      | $1873.08      | 0.00%             | 2030-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LKSP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3722789 | PA      | $3638512.19   | 0.19%             | 2027-10-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2915, Class MU                                               | CUSIP: 31395LE98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    624419 | PA      | $640688.72    | 0.03%             | 2035-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138EQ4Q2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1793841 | PA      | $1720899.88   | 0.09%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CDY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $17720312.40  | 0.93%             | 2032-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5072, Class QC                                               | CUSIP: 3137F9AR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6713734 | PA      | $5368943.30   | 0.28%             | 2050-10-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2020-61, Class HC                                                    | CUSIP: 38382EU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11035229 | PA      | $9005000.36   | 0.47%             | 2048-01-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3413, Class B                                                | CUSIP: 31397RCQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    200745 | PA      | $211715.53    | 0.01%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 9128285M8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $24643554.75  | 1.30%             | 2028-11-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $4712109.40   | 0.25%             | 2050-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2003-21, Class PZ                                             | CUSIP: 31392JV63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    478888 | PA      | $470347.75    | 0.02%             | 2033-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LMNK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4435652 | PA      | $4252177.98   | 0.22%             | 2030-02-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403RN87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    205470 | PA      | $208554.66    | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31371FJU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       778 | PA      | $806.40       | 0.00%             | 2026-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140FXVK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4757267 | PA      | $3781051.52   | 0.20%             | 2062-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133WAQ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5445288 | PA      | $5483946.32   | 0.29%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31419BMJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    446243 | PA      | $414488.15    | 0.02%             | 2041-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140Q7N52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3759408 | PA      | $3606952.33   | 0.19%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140LDRY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4599199 | PA      | $3901074.36   | 0.21%             | 2033-09-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DTJB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8373865 | PA      | $8484615.64   | 0.45%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-50, Class HY                                             | CUSIP: 3136A52B1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5566000 | PA      | $5240824.82   | 0.28%             | 2042-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC Gold Pools, Other                                                           | CUSIP: 3132WVBJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10290604 | PA      | $9436431.76   | 0.50%             | 2034-04-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3699, Class QH                                               | CUSIP: 3137A0AV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    370372 | PA      | $382552.20    | 0.02%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WAGW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2759855 | PA      | $2669595.68   | 0.14%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4156, Class SB                                               | CUSIP: 3137AXTU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    581874 | PA      | $525841.72    | 0.03%             | 2033-01-15      | Floating      | 0.11%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2018-M4, Class A2                                               | CUSIP: 3136B1XJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10600701 | PA      | $10360212.30  | 0.55%             | 2028-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3622A2U91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3202186 | PA      | $3040149.06   | 0.16%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2000-8, Class Z                                               | CUSIP: 31359XYK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35171 | PA      | $36611.91     | 0.00%             | 2030-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 1999, Class PU                                               | CUSIP: 3133TBT26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2018 | PA      | $2017.33      | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31409CVM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    165458 | PA      | $171171.51    | 0.01%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3772, Class PE                                               | CUSIP: 3137A4J99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2487619 | PA      | $2503099.56   | 0.13%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133KPZA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  12206011 | PA      | $12130428.31  | 0.64%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-11, Class AQ                                             | CUSIP: 3136AMXV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4278865 | PA      | $4063495.17   | 0.21%             | 2035-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3181, Class OP                                               | CUSIP: 31396URH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429224 | PA      | $374186.27    | 0.02%             | 2036-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4122, Class PY                                               | CUSIP: 3137AV2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2733097.20   | 0.14%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QNPF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6560654 | PA      | $5701031.11   | 0.30%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 36291FPX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175327 | PA      | $169544.51    | 0.01%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LCT54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6500000 | PA      | $6458822.18   | 0.34%             | 2026-01-01      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| N/A                                        | U.S. Treasury 10 Year Ultra Note                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -477 | NC      | $-251850.72   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-11, Class CB                                             | CUSIP: 31398GA33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51099 | PA      | $49650.48     | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140FHCL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1065826 | PA      | $980809.38    | 0.05%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-4, Class SL                                              | CUSIP: 31398GU23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45648 | PA      | $37937.67     | 0.00%             | 2040-02-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31402JYG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147486 | PA      | $149691.09    | 0.01%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31298GDX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100799 | PA      | $106058.33    | 0.01%             | 2029-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140M5PP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12017430 | PA      | $11893449.86  | 0.63%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31406JZU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    530054 | PA      | $557163.04    | 0.03%             | 2035-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-56, Class A     | CUSIP: 31393RGJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    590142 | PA      | $572729.27    | 0.03%             | 2043-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5000, Class CB                                               | CUSIP: 3137FVEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3059938 | PA      | $2748341.62   | 0.14%             | 2035-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3809, Class BC                                               | CUSIP: 3137A6EZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20831 | PA      | $20705.87     | 0.00%             | 2026-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3622AAKJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7704290 | PA      | $6677175.15   | 0.35%             | 2049-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XHZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3533144 | PA      | $3088323.34   | 0.16%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2016-38, Class NA                                             | CUSIP: 3136ASMM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4821188 | PA      | $4572419.71   | 0.24%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133AQ3S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4487983 | PA      | $3776225.11   | 0.20%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140KMDR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3783940 | PA      | $3058731.73   | 0.16%             | 2050-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WWC64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1145199 | PA      | $1107629.26   | 0.06%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138NJBJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1689580 | PA      | $1661762.19   | 0.09%             | 2027-06-01      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2022-120, Class LN                                                   | CUSIP: 38383TA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7000000 | PA      | $6112220.80   | 0.32%             | 2052-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2023-M8, Class A2                                               | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $6035884.20   | 0.32%             | 2033-03-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA, Grantor Trust                        | FNMA, Grantor Trust, Series 2017-T1, Class A                                      | CUSIP: 3136AV6R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  28667525 | PA      | $28037599.48  | 1.48%             | 2027-06-25      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2020-M8, Class AL                                               | CUSIP: 3136B86L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17852309 | PA      | $14463901.14  | 0.76%             | 2035-03-25      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-81, Class JA                                             | CUSIP: 3136B8FR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8770897 | PA      | $7610248.37   | 0.40%             | 2049-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138W2WH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1628000 | PA      | $1483594.35   | 0.08%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 1998-58, Class PC                                             | CUSIP: 31359UZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65976 | PA      | $66841.78     | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3622A2P22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2226207 | PA      | $2113624.07   | 0.11%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-141, Class PB                                            | CUSIP: 3136AAAF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3305000 | PA      | $2756520.05   | 0.15%             | 2042-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138LXN47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1601598 | PA      | $1556808.29   | 0.08%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 912828ZE3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $19067968.80  | 1.00%             | 2027-03-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2019-M31, Class A2                                              | CUSIP: 3136B7S77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5500000 | PA      | $4860125.60   | 0.26%             | 2034-04-25      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1511, Class A3 | CUSIP: 3137FLYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9343203.00   | 0.49%             | 2034-03-25      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-59, Class EB                                             | CUSIP: 3136APVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4002706 | PA      | $3818352.84   | 0.20%             | 2035-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HWCN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $13717071.15  | 0.72%             | 2031-10-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2003-67, Class SA                                             | CUSIP: 31393DNZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8288 | PA      | $9502.72      | 0.00%             | 2031-10-25      | Floating      | 16.49%                | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA I, 30 Year                                                                   | CUSIP: 3617N65U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8272568 | PA      | $7409660.48   | 0.39%             | 2050-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2035, Class PC                                               | CUSIP: 3133TDBK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     36618 | PA      | $36955.57     | 0.00%             | 2028-03-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K149, Class A2   | CUSIP: 3137H93C1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6000000 | PA      | $5721650.40   | 0.30%             | 2032-08-25      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2023-41                                                       | CUSIP: 3136BQFH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4471809 | PA      | $3536081.40   | 0.19%             | 2053-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140J72K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2723988 | PA      | $2595866.37   | 0.14%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4606, Class KP                                               | CUSIP: 3137BR4Y8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8322185 | PA      | $7343403.76   | 0.39%             | 2046-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-51, Class LY                                             | CUSIP: 3136APJG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2549129 | PA      | $2436062.58   | 0.13%             | 2035-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 2A                           | CUSIP: 31392GWB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125287 | PA      | $125823.28    | 0.01%             | 2042-12-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LGKW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7384643 | PA      | $7194695.11   | 0.38%             | 2029-01-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XCCR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2773654 | PA      | $2313454.23   | 0.12%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2018-M8, Class A2                                               | CUSIP: 3136B2GX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7841924 | PA      | $7726478.65   | 0.41%             | 2028-06-25      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DSQ62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11512700 | PA      | $11373747.39  | 0.60%             | 2053-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-60, Class EP                                             | CUSIP: 3136A6MJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    470396 | PA      | $450624.89    | 0.02%             | 2042-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HY4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7953541 | PA      | $6201258.49   | 0.33%             | 2037-06-01      | Fixed         | 2.04%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2007-76, Class PE                                             | CUSIP: 31396WZ41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    448520 | PA      | $477236.18    | 0.03%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140JAA32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1972678 | PA      | $1896399.74   | 0.10%             | 2030-03-01      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1511, Class A1 | CUSIP: 3137FLYH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7516505 | PA      | $7376198.96   | 0.39%             | 2030-10-25      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2017-M3, Class A2                                               | CUSIP: 3136AVYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3735641 | PA      | $3656469.21   | 0.19%             | 2026-12-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-100, Class AY                                            | CUSIP: 3136A8PH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4298049 | PA      | $4173770.32   | 0.22%             | 2032-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-28, Class GB                                             | CUSIP: 3136ANVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4000000 | PA      | $3902116.80   | 0.21%             | 2035-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140H6EN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1319461 | PA      | $1262786.64   | 0.07%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2022-M2S, Class A2                                              | CUSIP: 3136BPHK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4800000 | PA      | $4622694.24   | 0.24%             | 2032-08-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K088, Class A2   | CUSIP: 3137FKZZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8700000 | PA      | $8631491.85   | 0.45%             | 2029-01-25      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4748, Class HE                                               | CUSIP: 3137FCZZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6567000 | PA      | $5940319.73   | 0.31%             | 2048-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $20204296.70  | 1.06%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2017-M7, Class A2                                               | CUSIP: 3136AV7G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3379092 | PA      | $3323601.72   | 0.18%             | 2027-02-25      | Variable      | 2.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2064, Class PD                                               | CUSIP: 3133TELJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     24350 | PA      | $24755.63     | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-106, Class PY                                            | CUSIP: 3136AGG48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2747865 | PA      | $2646688.09   | 0.14%             | 2033-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138Y7D25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604703 | PA      | $539554.26    | 0.03%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810RM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  31000000 | PA      | $23501875.00  | 1.24%             | 2045-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2611, Class QZ                                               | CUSIP: 31393QYN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    594944 | PA      | $594402.09    | 0.03%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHA2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4987695.30   | 0.26%             | 2028-04-30      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2019-M5, Class A2                                               | CUSIP: 3136B4KB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8086060 | PA      | $7912614.04   | 0.42%             | 2029-02-25      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5258, Class KZ                                               | CUSIP: 3137H8YN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  19861891 | PA      | $16822797.40  | 0.89%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2031, Class PG                                               | CUSIP: 3133TCTN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14119 | PA      | $14305.58     | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Structured Pass-Through Certificates, Whole Loan, Series T-54, Class 2A    | CUSIP: 31393LFK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    855722 | PA      | $856364.81    | 0.05%             | 2043-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4974, Class PH                                               | CUSIP: 3137FTE29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    973505 | PA      | $784952.92    | 0.04%             | 2048-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-83, Class LA                                             | CUSIP: 31394FH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113382 | PA      | $116635.19    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K753, Class A2   | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7805000 | PA      | $7909197.53   | 0.42%             | 2030-10-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140FHCV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1851785 | PA      | $1762582.38   | 0.09%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4188, Class JG                                               | CUSIP: 3137B1E65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2348123 | PA      | $2229463.51   | 0.12%             | 2033-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 1999-W4, Class A9                           | CUSIP: 31359VA94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15568 | PA      | $15753.03     | 0.00%             | 2029-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140Q8DL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3205353 | PA      | $3067037.15   | 0.16%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-34, Class WA                                             | CUSIP: 3136B5KL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4443827 | PA      | $4271585.19   | 0.22%             | 2048-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2095, Class PE                                               | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23458 | PA      | $23814.95     | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2152, Class BD                                               | CUSIP: 3133TKX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6636 | PA      | $6695.70      | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140JQG23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2142469 | PA      | $1958526.49   | 0.10%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-138, Class YS                                            | CUSIP: 3136AAEW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3469270 | PA      | $2515477.84   | 0.13%             | 2042-12-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2006-110                                                      | CUSIP: 31396LVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    143693 | PA      | $124719.27    | 0.01%             | 2036-11-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2024-6, Class AL                                              | CUSIP: 3136BQ2K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11863000 | PA      | $8973626.37   | 0.47%             | 2044-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-77, Class ZL                                             | CUSIP: 3136B7L66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18112758 | PA      | $15829941.68  | 0.83%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CBZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11120000 | PA      | $10466265.65  | 0.55%             | 2028-04-30      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140LDAU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9634138 | PA      | $7726284.41   | 0.41%             | 2036-08-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-38, Class PC                                             | CUSIP: 3136B5FZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4395378 | PA      | $4172737.70   | 0.22%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31418DGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1454483 | PA      | $1328990.46   | 0.07%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31417B6Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1637772 | PA      | $1538555.10   | 0.08%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4867, Class WF                                               | CUSIP: 3137FL2H6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2816547 | PA      | $2783474.93   | 0.15%             | 2037-04-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140J8ES8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5537393 | PA      | $5316337.31   | 0.28%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                        | U.S. Treasury 2 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       440 | NC      | $124275.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4161060 | PA      | $3530231.02   | 0.19%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133KJGM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6020672 | PA      | $5276773.10   | 0.28%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2020-12, Class JC                                             | CUSIP: 3136B8G60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15974611 | PA      | $13426874.44  | 0.71%             | 2050-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-41, Class AY                                             | CUSIP: 3136ANYY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4653181 | PA      | $4378357.62   | 0.23%             | 2035-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36202CS95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       985 | PA      | $986.89       | 0.00%             | 2026-12-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FFCB Funding Corp.                         | FFCB Funding Corp.                                                                | CUSIP: 31331VYY6<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGA              | US        |  10000000 | PA      | $10118751.30  | 0.53%             | 2026-05-11      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XCXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14364919 | PA      | $12084172.57  | 0.64%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2004-54, Class FL                                             | CUSIP: 31394AGS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    149004 | PA      | $148701.54    | 0.01%             | 2034-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QB4R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2951076 | PA      | $2692345.26   | 0.14%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4152933 | PA      | $3591082.11   | 0.19%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2016-28, Class DW                                             | CUSIP: 3136AR2V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4491425 | PA      | $4252570.12   | 0.22%             | 2036-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2025-18, Class MA                                             | CUSIP: 3136BVLQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17608688 | PA      | $14551571.28  | 0.77%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31283HCS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       755 | PA      | $763.22       | 0.00%             | 2028-07-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4061, Class LB                                               | CUSIP: 3137ARCM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3569638 | PA      | $2975646.67   | 0.16%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31410FX67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53153 | PA      | $55068.88     | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K067, Class A2   | CUSIP: 3137FAWS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6558000 | PA      | $6464202.24   | 0.34%             | 2027-07-25      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HUUN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11797234 | PA      | $10212716.45  | 0.54%             | 2034-09-01      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140X5GY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6420221 | PA      | $5694242.34   | 0.30%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810FF0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  20000000 | PA      | $20981250.00  | 1.10%             | 2028-11-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140FHCQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1732560 | PA      | $1647840.42   | 0.09%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133KPRC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6226143 | PA      | $6187589.56   | 0.33%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, STRIPS, Series 358, Class 300                                              | CUSIP: 3132J0Q67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8586875 | PA      | $7709694.93   | 0.41%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31296QZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40135 | PA      | $41486.63     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-128, Class AO                                            | CUSIP: 3136AHMU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3460188 | PA      | $2672982.66   | 0.14%             | 2043-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2015-48, Class DE                                             | CUSIP: 3136APKU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11835820 | PA      | $11163808.17  | 0.59%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2009-69, Class WM                                                    | CUSIP: 38373AN69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    650436 | PA      | $669650.02    | 0.04%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292K7A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253744 | PA      | $253827.19    | 0.01%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                        | U.S. Treasury 5 Year Note                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       417 | NC      | $188160.40    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140J2AZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19727441 | PA      | $17194348.97  | 0.91%             | 2030-11-01      | Fixed         | 1.22%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series W5FX, Class AFX  | CUSIP: 3137FG6Q3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3436000 | PA      | $3373348.66   | 0.18%             | 2028-04-25      | Variable      | 3.34%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31407HVA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    250842 | PA      | $259503.56    | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-22, Class EH                                             | CUSIP: 31394DDD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1020415 | PA      | $1043271.86   | 0.05%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LKRW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3167099 | PA      | $3106738.28   | 0.16%             | 2027-09-01      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4394, Class PL                                               | CUSIP: 3137BEUR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4626194.00   | 0.24%             | 2044-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2009-W1, Class A                            | CUSIP: 31398F7A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    142718 | PA      | $148058.60    | 0.01%             | 2049-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-197, Class BN                                                   | CUSIP: 38385BGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10947608 | PA      | $10200692.55  | 0.54%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2017-M4, Class A2                                               | CUSIP: 3136AVY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3627790 | PA      | $3553287.39   | 0.19%             | 2026-12-25      | Variable      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2016-45, Class PC                                             | CUSIP: 3136ASZB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4264842 | PA      | $3948707.53   | 0.21%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2003-W1, Class 1A1                          | CUSIP: 31392GVX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216771 | PA      | $217507.33    | 0.01%             | 2042-12-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 31378QDZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       138 | PA      | $137.34       | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4429, Class HB                                               | CUSIP: 3137BG6W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6292600 | PA      | $5956549.36   | 0.31%             | 2035-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QSS85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12263281 | PA      | $12375284.25  | 0.65%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 15 Year                                                                | CUSIP: 3140QE3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11568942 | PA      | $10887659.62  | 0.57%             | 2035-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4314, Class DY                                               | CUSIP: 3137B9EY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    626611 | PA      | $621476.35    | 0.03%             | 2029-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-116, Class PC                                            | CUSIP: 31394VBX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    398483 | PA      | $410128.02    | 0.02%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140MSPN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4114621 | PA      | $4076841.46   | 0.21%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 3132WEJX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10543771 | PA      | $9802799.66   | 0.52%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2004-46, Class QD                                             | CUSIP: 31393YU37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17612 | PA      | $17686.44     | 0.00%             | 2034-03-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31401ALQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    350416 | PA      | $358820.21    | 0.02%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHK0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25279297.00  | 1.33%             | 2028-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CKC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  25000000 | PA      | $25602539.00  | 1.35%             | 2031-02-28      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4594, Class GN                                               | CUSIP: 3137BQK22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1341490 | PA      | $1254162.74   | 0.07%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3132ADXW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    805125 | PA      | $736780.01    | 0.04%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Resolution Funding Corp.                   | Resolution Funding Corp. STRIPS                                                   | CUSIP: 76116FAB3<br>LEI: N/A                  | Long             | DBT              | USGA              | US        |  15700000 | PA      | $13251395.34  | 0.70%             | 2030-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHB0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $9978437.50   | 0.53%             | 2026-05-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3140HUHW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1700000 | PA      | $1536066.14   | 0.08%             | 2034-07-01      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K078, Class A2   | CUSIP: 3137FGR31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5779000 | PA      | $5765060.47   | 0.30%             | 2028-06-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4170, Class TS                                               | CUSIP: 3137AYZG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3707780 | PA      | $3314910.91   | 0.17%             | 2033-02-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-130, Class GY                                            | CUSIP: 3136AHE55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3699000 | PA      | $3595004.46   | 0.19%             | 2034-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138Y7EU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    869274 | PA      | $780961.03    | 0.04%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Grantor Trust, Whole Loan, Series 2004-T1, Class 1A2                        | CUSIP: 31393XFT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     92587 | PA      | $95380.26     | 0.01%             | 2044-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138Y7EV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1366028 | PA      | $1266740.83   | 0.07%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138L77M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2798852 | PA      | $2769551.25   | 0.15%             | 2026-11-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2024-41, Class HV                                             | CUSIP: 3136BSMV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4896108 | PA      | $3639376.96   | 0.19%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2019-M14, Class AL2                                             | CUSIP: 3136B5RA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5995227 | PA      | $5574613.15   | 0.29%             | 2048-04-25      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2367, Class ME                                               | CUSIP: 31339GK42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79479 | PA      | $83041.04     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2001-33, Class ID                                             | CUSIP: 31359S6G0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62083 | PA      | $6537.27      | 0.00%             | 2031-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-159, Class PA                                                   | CUSIP: 38384YHQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  15715387 | PA      | $15405976.57  | 0.81%             | 2054-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31382JNT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33301 | PA      | $33924.49     | 0.00%             | 2029-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XPR43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18602037 | PA      | $16957804.00  | 0.89%             | 2052-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA ACES, Series 2020-M24, Class A3                                              | CUSIP: 3136B9J81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15000000 | PA      | $12166896.00  | 0.64%             | 2037-01-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3142GTG67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9369778 | PA      | $9671841.26   | 0.51%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31401JEN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99288 | PA      | $100169.70    | 0.01%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  40000000 | PA      | $38959375.20  | 2.05%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2005-58, Class EP                                             | CUSIP: 31394ECS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63209 | PA      | $63949.75     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 36202CYH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5417 | PA      | $5502.74      | 0.00%             | 2027-11-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WGBN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1712985 | PA      | $1589869.26   | 0.08%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2023-1, Class E                                                      | CUSIP: 38383VDS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4564807 | PA      | $4420197.23   | 0.23%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2004-27, Class PD                                                    | CUSIP: 38374GFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    434132 | PA      | $433732.46    | 0.02%             | 2034-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4206, Class DA                                               | CUSIP: 3137B2FD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1677563 | PA      | $1594125.17   | 0.08%             | 2033-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K-1512, Class A3 | CUSIP: 3137FMTT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $8961635.00   | 0.47%             | 2034-04-25      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust        | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MAU                     | CUSIP: 35563PZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  13618457 | PA      | $12474639.78  | 0.66%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-65, Class PA                                             | CUSIP: 3136B7AE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4874254 | PA      | $4463869.99   | 0.24%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140KNKM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5792384 | PA      | $4874892.38   | 0.26%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WDQ38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1257407 | PA      | $1199317.45   | 0.06%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2019-42, Class KA                                             | CUSIP: 3136B5VN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7880527 | PA      | $7209105.87   | 0.38%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2013-50, Class YO                                             | CUSIP: 3136AD5U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1683041 | PA      | $1450406.08   | 0.08%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140KLZK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5187351 | PA      | $4380178.12   | 0.23%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHU8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $35158867.10  | 1.85%             | 2026-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133KMFR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4503294 | PA      | $3801316.79   | 0.20%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 2480, Class EJ                                               | CUSIP: 31392TF85<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117905 | PA      | $123018.49    | 0.01%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140Q8QP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2723542 | PA      | $2497169.10   | 0.13%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2011-29, Class Z                                                     | CUSIP: 38377QQD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10478932 | PA      | $10564721.69  | 0.56%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403DRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    264666 | PA      | $278751.94    | 0.01%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  17330000 | PA      | $17376032.81  | 0.92%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QEB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4841409 | PA      | $4107261.85   | 0.22%             | 2050-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133KHXM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3806578 | PA      | $3345657.36   | 0.18%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2012-126, Class BE                                                   | CUSIP: 38378H3C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4000000 | PA      | $3247741.60   | 0.17%             | 2042-10-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4091, Class BQ                                               | CUSIP: 3137ATCU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4910661 | PA      | $4468667.99   | 0.24%             | 2042-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31403FSR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    206103 | PA      | $207161.78    | 0.01%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31384JEW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1024 | PA      | $1023.50      | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2024-151, Class CM                                                   | CUSIP: 38384WCZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $7747767.20   | 0.41%             | 2054-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, Multi-Family Structured Pass-Through Certificates, Series K158, Class A1   | CUSIP: 3137FJY52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7246611 | PA      | $7228266.27   | 0.38%             | 2030-07-25      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2019-123, Class MA                                                   | CUSIP: 38382AKS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9352203 | PA      | $8477562.34   | 0.45%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2010-155, Class B                                             | CUSIP: 31397Q5Q7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47916 | PA      | $47674.46     | 0.00%             | 2026-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QQEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19277255 | PA      | $19652998.53  | 1.03%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3341, Class PE                                               | CUSIP: 31397JNJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    687714 | PA      | $729670.59    | 0.04%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XLSR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4321167 | PA      | $4039951.45   | 0.21%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QPAK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8344136 | PA      | $7563130.48   | 0.40%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust  | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D              | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1243550 | PA      | $1170283.50   | 0.06%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4091, Class PB                                               | CUSIP: 3137ATFQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3672531 | PA      | $3136586.80   | 0.17%             | 2042-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                 | FHLMC UMBS, 30 Year                                                               | CUSIP: 3133A8G50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4949417 | PA      | $4167530.28   | 0.22%             | 2050-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140KFET8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10863514 | PA      | $9511316.51   | 0.50%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31408AV31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123174 | PA      | $127425.91    | 0.01%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC Trust, Whole Loan, Series 2002-W7, Class A4                           | CUSIP: 31392DD41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    330899 | PA      | $332672.50    | 0.02%             | 2029-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31418DJS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1437236 | PA      | $1312783.42   | 0.07%             | 2049-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31292G2S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6300 | PA      | $6533.19      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140JG3R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    697053 | PA      | $636891.03    | 0.03%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA II, 30 Year                                                                  | CUSIP: 3617WTN47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10087006 | PA      | $9059472.17   | 0.48%             | 2051-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 5190, Class PH                                               | CUSIP: 3137H5HE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5125956 | PA      | $4731152.93   | 0.25%             | 2052-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140JVSR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2175434 | PA      | $1986625.58   | 0.10%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140Q75X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3369754 | PA      | $3094165.97   | 0.16%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3138WF3S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    592217 | PA      | $559460.63    | 0.03%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4186, Class JE                                               | CUSIP: 3137B0S70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3585323 | PA      | $3404646.99   | 0.18%             | 2033-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140J5EX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5523668 | PA      | $5258737.57   | 0.28%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140X5V75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7549965 | PA      | $6621074.57   | 0.35%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2025-31, Class MA                                             | CUSIP: 3136BVYZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1706280 | PA      | $1431032.03   | 0.08%             | 2054-09-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 3132Y3YZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3506332 | PA      | $3338524.18   | 0.18%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC Gold Pools, 30 Year                                                         | CUSIP: 31335BPT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1966026 | PA      | $1893253.40   | 0.10%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140JVSG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2195906 | PA      | $2006010.81   | 0.11%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, Other                                                                       | CUSIP: 3138LNRG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12039094 | PA      | $11911395.47  | 0.63%             | 2028-06-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 3085, Class VS                                               | CUSIP: 31396FSL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    110045 | PA      | $132302.36    | 0.01%             | 2035-12-15      | Floating      | 10.89%                | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 912828V98<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  35000000 | PA      | $34274023.35  | 1.80%             | 2027-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                       | GNMA, Series 2008-40, Class SA                                                    | CUSIP: 38375QKS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    729869 | PA      | $36336.88     | 0.00%             | 2038-05-16      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA                                                                              | CUSIP: 31389AZ22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1948 | PA      | $1924.38      | 0.00%             | 2027-11-01      | Variable      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140QQVZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12376386 | PA      | $12271680.53  | 0.65%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2006-81, Class FA                                             | CUSIP: 31396KM33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12778 | PA      | $12672.24     | 0.00%             | 2036-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 3140XJYT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5638279 | PA      | $5582440.08   | 0.29%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4002, Class CY                                               | CUSIP: 3137ALZ93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4819000 | PA      | $4211993.94   | 0.22%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                      | FHLMC, REMIC, Series 4933, Class PA                                               | CUSIP: 3137FQJK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5346072 | PA      | $4540122.37   | 0.24%             | 2049-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA UMBS, 30 Year                                                                | CUSIP: 31385JEL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43177 | PA      | $45165.63     | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Notes                                                               | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5135000 | PA      | $5033904.69   | 0.27%             | 2034-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States of America                   | U.S. Treasury Bonds                                                               | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14500000 | PA      | $9964785.12   | 0.52%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA                                       | FNMA, REMIC, Series 2012-139, Class JA                                            | CUSIP: 3136AALT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2224308 | PA      | $2127242.32   | 0.11%             | 2042-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-09-30

**Name of Applicant:** JPMorgan Trust II

**Signature:** Timothy J. Clemens

**Name of Signer:** Timothy J. Clemens

**Title:** Treasurer and Principal Financial Officer