# EDGAR Filing Document

**Accession Number:** 0000795422
**File Stem:** 0001752724-25-176653
**Filing Date:** 2025-7
**Character Count:** 830903
**Document Hash:** 39a1e418055f94808130946f18d7d130
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-176653.hdr.sgml**: 20250724

**ACCESSION NUMBER**: 0001752724-25-176653

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250724

**DATE AS OF CHANGE**: 20250724

**PERIOD START**: 20250831

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** FIDELITY ADVISOR SERIES II
- **CENTRAL INDEX KEY:** 0000795422

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1031

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04707
- **FILM NUMBER:** 251146241

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIDELITY DIVERSIFIED TRUST
- **DATE OF NAME CHANGE:** 19930706

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH FUND
- **DATE OF NAME CHANGE:** 19920130

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PLYMOUTH INVESTMENT SERIES
- **DATE OF NAME CHANGE:** 19911204

## Series and Classes Contracts Data

### Fidelity Advisor Mortgage Securities Fund (Series ID: S000005133)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000014042 | Class A                           | FMGAX           |
| C000014044 | Class C                           | FOMCX           |
| C000014045 | Class M                           | FMSAX           |
| C000014046 | Class I                           | FMSCX           |
| C000014129 | Fidelity Mortgage Securities Fund | FMSFX           |
| C000204997 | Class Z                           | FIKUX           |

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity Advisor® Mortgage Securities Fund**

**May 31, 2025**

AMOR-NPRT3-0725

1.804866.121 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 6.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.7%** | &nbsp;&nbsp;**Asset-Backed Securities - 6.7%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (b) | 87016 | 88069 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (b) | 174330 | 175916 |
| TOTAL CANADA |  | 263985 |
| UNITED STATES - 6.7%  |  |  |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (b) | 400000 | 401651 |
| Affirm Asset Securitization Trust Series 2024-X1 Class A, 6.27% 5/15/2029 (b) | 25082 | 25110 |
| American Express Credit Account Master Trust Series 2023-1 Class A, 4.87% 5/15/2028  | 1141000 | 1145849 |
| Amur Equip Fin Receivables Xv LLC Series 2025-1A Class A2, 4.7% 9/22/2031 (b) | 1315000 | 1317746 |
| Ari Fleet Lease Trust 2024-B Series 2024-B Class A2, 5.54% 4/15/2033 (b) | 98681 | 99196 |
| Ari Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (b) | 130000 | 129389 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-1A Class A, 4.8% 8/20/2029 (b) | 345000 | 345363 |
| Avis Budget Rental Car Funding AESOP LLC Series 2025-2A Class A, 5.12% 8/20/2031 (b) | 1010000 | 1012909 |
| Bankers Healthcare Group Securitization Trust Series 2025-1CON Class A, 4.82% 4/17/2036 (b) | 651591 | 650192 |
| BMW Vehicle Owner Trust Series 2025-A Class A3, 4.56% 9/25/2029  | 200000 | 201036 |
| BofA Auto Trust Series 2025-1A Class A3, 4.35% 11/20/2029 (b) | 400000 | 399765 |
| CarMax Auto Owner Trust Series 2024-2 Class A3, 5.5% 1/16/2029  | 158000 | 160072 |
| Carmax Auto Owner Trust Series 2024-4 Class A3, 4.6% 10/15/2029  | 200000 | 201245 |
| Carmax Auto Owner Trust Series 2025-2 Class A2A, 4.59% 7/17/2028  | 830000 | 830363 |
| Carmax Select Receivables Trust Series 2025-A Class A3, 4.77% 9/17/2029  | 325000 | 326315 |
| Carvana Auto Receivables Trust Series 2025-P1 Class A2, 4.5% 6/12/2028  | 485000 | 484223 |
| Ccg Receivables Trust. Series 2025-1 Class A2, 4.48% 10/14/2032 (b) | 120000 | 119990 |
| CFMT LLC Series 2023-HB12 Class A, 4.25% 4/25/2033 (b) | 84693 | 83811 |
| Dell Equip Fin Trust Series 2025-1 Class A3, 4.61% 2/24/2031 (b) | 400000 | 401952 |
| DLLAA Series 2023-1A Class A2, 5.93% 7/20/2026 (b) | 18114 | 18142 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (b) | 106000 | 107198 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (b) | 466148 | 466841 |
| Enterprise Fleet Financing LLC Series 2022-3 Class A3, 4.29% 7/20/2029 (b) | 315000 | 313721 |
| Enterprise Fleet Financing LLC Series 2023-1 Class A2, 5.51% 1/22/2029 (b) | 1056974 | 1060235 |
| Enterprise Fleet Financing LLC Series 2024-4 Class A3, 4.56% 11/20/2028 (b) | 355000 | 355489 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (b) | 201367 | 202243 |
| Exeter Automobile Receivables Trust Series 2025-2A Class A3, 4.74% 1/16/2029  | 1080000 | 1080917 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 65000 | 64945 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 55000 | 54922 |
| Ford Credit Auto Lease Trust Series 2024-B Class A3, 4.99% 12/15/2027  | 1600000 | 1608684 |
| Ford Credit Floorplan Master Owner Trust A Series 2023-1 Class A1, 4.92% 5/15/2028 (b) | 5100000 | 5116090 |
| GM Financial Consumer Automobile Receivables Trust Series 2023-3 Class A3, 5.45% 6/16/2028  | 213861 | 215179 |
| GM Financial Leasing Trust Series 2023-3 Class A3, 5.38% 11/20/2026  | 72234 | 72378 |
| GMF Floorplan Owner Revolving Trust Series 2025-1A Class A1, 4.59% 3/15/2029 (b) | 235000 | 235313 |
| GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/2034 (b)(c) | 10808 | 8407 |
| Honda Auto Receivables 2023-3 Owner Tr Series 2023-3 Class A3, 5.41% 2/18/2028  | 559539 | 562958 |
| Honda Auto Receivables Owner Trust Series 2025-1 Class A2, 4.53% 8/23/2027  | 1300000 | 1300811 |
| Hyundai Auto Lease Securitization Trust Series 2024-A Class A3, 5.02% 3/15/2027 (b) | 2200000 | 2206142 |
| Hyundai Auto Lease Securitization Trust Series 2024-C Class A3, 4.62% 4/17/2028 (b) | 1000000 | 1002234 |
| Hyundai Auto Receivables Trust Series 2024-A Class A3, 4.99% 2/15/2029  | 234000 | 235717 |
| John Deere Owner Trust Series 2025-A Class A2A, 4.23% 3/15/2028  | 700000 | 698516 |
| Marlette Funding Trust Series 2024-1A Class A, 5.95% 7/17/2034 (b) | 21244 | 21277 |
| Mercedes-Benz Auto Lease Trust Series 2024-A Class A3, 5.32% 1/18/2028  | 302000 | 305177 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (b) | 252086 | 253626 |
| OneMain Financial Issuance Trust Series 2020-2A Class A, 1.75% 9/14/2035 (b) | 885000 | 860786 |
| Oportun Funding Trust Series 2024-3 Class A, 5.26% 8/15/2029 (b) | 143212 | 143202 |
| Peac Solutions Receivables Series 2025-1A Class A2, 4.94% 10/20/2028 (b) | 245000 | 245303 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.8% 7/25/2054 (b)(d)(e) | 594578 | 590990 |
| Santander Drive Auto Receivables Trust Series 2024-5 Class A3, 4.62% 11/15/2028  | 1800000 | 1798742 |
| Santander Drive Auto Receivables Trust Series 2025-2 Class A3, 4.67% 8/15/2029  | 600000 | 601798 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (b) | 241000 | 240764 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (b) | 153000 | 154616 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (b) | 992978 | 913263 |
| Tesla Auto Lease Trust 23-A Series 2023-A Class A3, 5.89% 6/22/2026 (b) | 73666 | 73765 |
| Tesla Series 2024-A Class A2A, 5.37% 6/22/2026 (b) | 18005 | 18019 |
| Towd PT Mtg Trust Series 2018-5 Class A1A, 3.25% 7/25/2058 (b) | 1231696 | 1214025 |
| Toyota Auto Receivables Owner Trust Series 2025-B Class A3, 4.34% 11/15/2029  | 1700000 | 1701052 |
| Toyota Lease Owner Trust Series 2023-A Class A3, 4.93% 4/20/2026 (b) | 29578 | 29584 |
| Toyota Lease Owner Trust Series 2024-B Class A3, 4.21% 9/20/2027 (b) | 1300000 | 1296643 |
| Upgrade Receivables Trust Series 2024-1A Class A, 5.37% 2/18/2031 (b) | 175334 | 175426 |
| Verd Series 2025-1A Class A2, 4.85% 3/13/2028 (b) | 190000 | 190165 |
| Volvo Financial Equipment LLC Series 2025-1A Class A2, 4.41% 11/15/2027 (b) | 400000 | 399393 |
| Wheels Fleet Lease Funding 1 LLC Series 2023-1A Class A, 5.8% 4/18/2038 (b) | 428279 | 430826 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-2A Class A1, 4.87% 6/21/2039 (b) | 415000 | 416122 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-1A Class A1, 4.57% 1/18/2040 (b) | 2400000 | 2402278 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 127000 | 127431 |
| World Omni Automobile Lease Securitization Trust Series 2025-A Class A2A, 4.35% 12/15/2027  | 700000 | 698898 |
| TOTAL UNITED STATES |  | 40626430 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $40,928,281) |  | <br> **40890415** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.0%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 10.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 10.0%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 5.115% 1/25/2061 (b) | 154562 | 154494 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (b) | 1616822 | 1394772 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (b)(c) | 500000 | 500252 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (b)(d) | 151911 | 148962 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (b)(d) | 80011 | 79158 |
| CFMT Series 2025-HB16 Class A, 3% 3/25/2035 (b)(d) | 102264 | 99707 |
| CIM Trust Series 2025-NR1 Class A1, 5% 6/25/2064 (b) | 1126850 | 1086593 |
| CIM Trust Series 2025-R1 Class A1, 5% 2/25/2099 (b) | 1497230 | 1469566 |
| CSMC Trust Series 2014-3R Class 2A1, CME Term SOFR 1 month Index + 0.8145%, 0% 5/27/2037 (b)(d)(e)(h) | 72121 | 6 |
| CSMC Trust Series 2015-1R Class 6A1, CME Term SOFR 1 month Index + 0.3945%, 4.3314% 5/27/2037 (b)(d)(e) | 77050 | 76316 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 15277 | 15492 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 22387 | 22773 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 16209 | 16473 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 21073 | 21369 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 7266 | 7355 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 3245 | 3345 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 5744 | 5907 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.1136% 11/25/2032 (d)(f) | 1495 | 39 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6636% 12/25/2033 (d)(f) | 22487 | 2595 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 3.6636% 3/25/2033 (d)(f) | 4556 | 469 |
| Fannie Mae Guaranteed REMIC Series 2005-39 Class TE, 5% 5/25/2035  | 51481 | 51953 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.2836% 6/25/2035 (d)(f) | 39656 | 2932 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index + 17.2524%, 6.0152% 8/25/2035 (d)(e) | 1177 | 1222 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 50586 | 49671 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.2036% 12/25/2036 (d)(f) | 13662 | 1364 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 2.0036% 5/25/2037 (d)(f) | 7651 | 838 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index + 39.9331%, 14.0013% 6/25/2037 (d)(e) | 25290 | 31235 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index + 38.9131%, 12.9813% 7/25/2037 (d)(e) | 3805 | 4218 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 23973 | 22916 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 215972 | 212304 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 87020 | 86186 |
| Fannie Mae Guaranteed REMIC Series 2011-67 Class AI, 4% 7/25/2026 (f) | 292 | 1 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (f) | 37815 | 839 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 20701 | 19169 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 26825 | 24791 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (f) | 316 | 4 |
| Fannie Mae Guaranteed REMIC Series 2012-9 Class SH, 6.4355% - U.S. 30-Day Avg. SOFR Index 2.1136% 6/25/2041 (d)(f) | 499 | 1 |
| Fannie Mae Guaranteed REMIC Series 2013-133 Class IB, 3% 4/25/2032 (f) | 2075 | 7 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 1.6136% 1/25/2044 (d)(f) | 27940 | 3030 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (f) | 150444 | 21879 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 203763 | 192461 |
| Fannie Mae Guaranteed REMIC Series 2016-3 Class PL, 2.5% 2/25/2046  | 2468600 | 2102201 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (f) | 92267 | 13220 |
| Fannie Mae Guaranteed REMIC Series 2017-32 Class PA, 2.7% 5/25/2047  | 3313373 | 2985162 |
| Fannie Mae Guaranteed REMIC Series 2017-37 Class AB, 2.55% 9/25/2046  | 682332 | 621068 |
| Fannie Mae Guaranteed REMIC Series 2020-51 Class BA, 2% 6/25/2046  | 416486 | 363295 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 186240 | 152315 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 197919 | 161866 |
| Fannie Mae Guaranteed REMIC Series 2021-69 Class JK, 1.5% 10/25/2051  | 228590 | 192328 |
| Fannie Mae Guaranteed REMIC Series 2021-77 Class CH, 1.5% 8/25/2050  | 97691 | 79042 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 160689 | 139126 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class AH, 2.5% 3/25/2049  | 1350277 | 1160693 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 257574 | 219475 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 262445 | 238306 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 240259 | 218281 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 2107765 | 1820684 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 189188 | 162419 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 229057 | 222333 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 222191 | 187630 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 8/25/2052 (d)(e) | 757914 | 734897 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 9/25/2052 (d)(e) | 1599879 | 1551292 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 10/25/2052 (d)(e) | 551219 | 540193 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 5.122% 10/25/2052 (d)(e) | 1870872 | 1814939 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 371879 | 337783 |
| Fannie Mae Guaranteed REMIC Series 2023-53 Class FD, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.822% 11/25/2053 (d)(e) | 1379271 | 1388491 |
| Fannie Mae Guaranteed REMIC Series 2023-54 Class FD, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.772% 11/25/2053 (d)(e) | 1487428 | 1497999 |
| Fannie Mae Guaranteed REMIC Series 2023-56 Class FC, U.S. 30-Day Avg. SOFR Index + 1.5%, 5.822% 11/25/2053 (d)(e) | 251307 | 253002 |
| Fannie Mae Guaranteed REMIC Series 2024-41 Class FB, U.S. 30-Day Avg. SOFR Index + 1.53%, 5.852% 7/25/2054 (d)(e) | 666935 | 667061 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 12/25/2054 (d)(e) | 1766396 | 1761344 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 5.422% 12/25/2054 (d)(e) | 979493 | 978276 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (f) | 23237 | 923 |
| Fannie Mae Mortgage pass-thru certificates Series 2024-100 Class EF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 6/25/2054 (d)(e) | 1664133 | 1657169 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-33 Class FC, U.S. 30-Day Avg. SOFR Index + 1.6%, 5.922% 8/25/2054 (d)(e) | 1371593 | 1378374 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 9/25/2054 (d)(e) | 446631 | 445250 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.722% 2/25/2055 (d)(e) | 727348 | 725809 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.722% 9/25/2054 (d)(e) | 736737 | 734473 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 2/25/2055 (d)(e) | 952409 | 949545 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (d)(e) | 396237 | 395163 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 456064 | 430010 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 737310 | 724661 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (d)(f) | 11808 | 2119 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (d)(f) | 7205 | 1100 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (f) | 10943 | 1851 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (d)(f) | 6420 | 1133 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (f) | 21311 | 3426 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class CJ, 6.5% 4/15/2028  | 7488 | 7562 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 299150 | 291118 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 149745 | 128857 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5165 Class PC, 1.5% 11/25/2051  | 288265 | 242399 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 8228 | 8387 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 9591 | 9795 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 17394 | 17732 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 3817 | 3892 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 6346 | 6422 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 17523 | 17958 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2380 Class SY, 8.0855% - U.S. 30-Day Avg. SOFR Index 3.7532% 11/15/2031 (d)(f) | 9220 | 417 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 17207 | 17609 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 23347 | 23983 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2587 Class IM, 6.5% 3/15/2033 (f) | 8508 | 1266 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 341301 | 345835 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 29628 | 30199 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 113229 | 112089 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 59690 | 61105 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 71188 | 70152 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 30243 | 30809 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.1532% 2/15/2036 (d)(f) | 10396 | 936 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 31820 | 32955 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 94846 | 96905 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.2132% 11/15/2036 (d)(f) | 38161 | 3347 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.1332% 6/15/2037 (d)(f) | 30183 | 3364 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 11382 | 11431 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 148964 | 149304 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 21380 | 21091 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 20213 | 18795 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (f) | 13633 | 899 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4281 Class AI, 4% 12/15/2028 (f) | 15 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (f) | 100 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (f) | 55537 | 2001 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 68665 | 67814 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4646 Class LA, 4% 9/15/2045  | 49629 | 49275 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4661 Class AC, 4% 4/15/2043  | 7229 | 7209 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4676 Class VD, 4% 8/15/2037  | 1539 | 1536 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 176431 | 168202 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4692 Class KB, 4% 10/15/2046  | 184707 | 179283 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4746 Class PA, 4% 2/15/2047  | 88930 | 86990 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5001 Class A, 2% 1/25/2045  | 151078 | 137633 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5002 Class TJ, 2% 7/25/2050  | 68007 | 57013 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5018 Class LC, 3% 10/25/2040  | 119362 | 106367 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5041 Class LA, 1.5% 11/25/2040  | 789625 | 649512 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5046 Class PT, 1.5% 11/25/2040  | 600319 | 493258 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5058 Class BE, 3% 11/25/2050  | 510450 | 428768 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5083 Class VA, 1% 8/15/2038  | 484581 | 458320 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5141 Class JM, 1.5% 4/25/2051  | 172282 | 142690 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class AD, 1.5% 10/25/2051  | 227053 | 190499 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5148 Class PC, 1.5% 10/25/2051  | 224193 | 185981 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 944510 | 809286 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 187036 | 164892 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 1247440 | 1082805 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 211635 | 181386 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 205887 | 176434 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 196520 | 173112 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 172528 | 147805 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 220116 | 185605 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5196 Class ME, 1.75% 2/25/2052  | 1183902 | 1034331 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 172528 | 147805 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 149108 | 131488 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 697408 | 619187 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 124322 | 112338 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 159831 | 141154 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5248 Class A, 4% 4/15/2048  | 624291 | 614127 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5354 Class FC, U.S. 30-Day Avg. SOFR Index + 1.45%, 5.772% 10/25/2053 (d)(e) | 725459 | 729857 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 5.322% 10/25/2054 (d)(e) | 712904 | 708815 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class NF, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (d)(e) | 1290012 | 1284431 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.522% 2/25/2055 (d)(e) | 379176 | 375922 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.572% 10/25/2054 (d)(e) | 691828 | 690531 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5509 Class FB, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.472% 2/25/2055 (d)(e) | 589043 | 587334 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 20161 | 20525 |
| Freddie Mac Non Gold Pool Series 1998-2104 Class PG, 6% 12/15/2028  | 6658 | 6782 |
| Freddie Mac Non Gold Pool Series 1999-2114 Class ZM, 6% 1/15/2029  | 2830 | 2884 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 1919 | 1949 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.7334% 8/20/2060 (d)(e)(g) | 15447 | 15462 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.9334% 4/20/2061 (d)(e)(g) | 6554 | 6577 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 5.0834% 5/20/2061 (d)(e)(g) | 1737 | 1737 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (g) | 1128 | 1060 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 33430 | 30098 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 4.44% 8/20/2066 (d)(e)(g) | 84253 | 83836 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 48300 | 47909 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.0569% 5/16/2034 (d)(f) | 29336 | 1903 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 2.7569% 8/17/2034 (d)(f) | 10098 | 877 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.2469% 6/16/2037 (d)(f) | 17455 | 1709 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 305238 | 295512 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 67342 | 65133 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (f) | 4349 | 186 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-52 Class HI, 7% 4/16/2041 (f) | 95197 | 11641 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 124843 | 122397 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 90987 | 82919 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 374876 | 329529 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-11 Class F, CME Term SOFR 1 month Index + 0.5145%, 4.8389% 1/20/2049 (d)(e) | 66327 | 65868 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-128 Class FH, CME Term SOFR 1 month Index + 0.6145%, 4.9389% 10/20/2049 (d)(e) | 116390 | 113864 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.8889% 2/20/2049 (d)(e) | 225810 | 221700 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (b) | 264177 | 255963 |
| JPMorgan Mortgage Trust Series 2025-NQM2 Class A1, 5.567% 9/25/2065 (b)(d) | 500000 | 500561 |
| MFA Trust Series 2022-RPL1 Class A1, 3.3% 8/25/2061 (b) | 831386 | 771735 |
| MFRA Trust Series 2024-RPL1 Class A1, 4.25% 2/25/2066 (b)(d) | 275675 | 255167 |
| Morgan Stanley Residential Mortgage Loan Trust 2025-NQM3 Series 2025-NQM3 Class A1, 5.53% 5/25/2070 (b)(d) | 987000 | 988036 |
| New York Mortgage Trust Series 2021-SP1 Class A1, 4.6696% 8/25/2061 (b) | 291932 | 290490 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (b) | 756486 | 698438 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (b) | 351358 | 323548 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (b) | 23348 | 23042 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (b) | 258159 | 257159 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (b) | 500684 | 469609 |
| PRET Trust Series 2025-RPL2 Class A1, 4% 8/25/2064 (b) | 1535679 | 1470138 |
| PRPM LLC Series 2024-RCF3 Class A1, 4% 5/25/2054 (b) | 699992 | 681036 |
| PRPM LLC Series 2024-RCF6 Class A1, 4% 10/25/2054 (b)(d) | 90707 | 87706 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (b)(d) | 572956 | 551913 |
| RCO VIII Mortgage LLC Series 2025-3 Class A1, 6.4345% 5/25/2030 (b)(d) | 300000 | 299630 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (b) | 248552 | 229481 |
| RMF Buyout Issuance Trust Series 2021-HB1 Class A, 1.2586% 11/25/2031 (b) | 9908 | 9873 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 5.0792% 9/25/2043 (d)(e) | 200351 | 193171 |
| Wells Fargo Mortgage Backed Securities Trust Series 2003-I Class A1, 6.9199% 9/25/2033 (d) | 21729 | 21471 |
| TOTAL UNITED STATES |  | 61036224 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $61,819,202) |  | <br> **61036224** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 4.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.8%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.8%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 4.8%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 6.0426% 6/15/2030 (b)(d)(e) | 1310000 | 1315487 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (b) | 207055 | 197127 |
| BANK Series 2017-BNK5 Class A5, 3.39% 6/15/2060  | 1519217 | 1479223 |
| BANK Series 2020-BN25 Class XB, 0.4364% 1/15/2063 (d)(f) | 7140322 | 129452 |
| BANK Series 2020-BN26 Class ASB, 2.313% 3/15/2063  | 677272 | 644935 |
| BANK Series 2021-BN33 Class XA, 1.0438% 5/15/2064 (d)(f) | 4926388 | 208129 |
| BANK5 Series 2025-5YR14 Class A3, 5.646% 4/15/2058  | 700000 | 722719 |
| BANK5 Series 2025-5YR14 Class XA, 0.9842% 4/15/2058 (d)(f) | 5299185 | 221115 |
| BANK5 Series 2025-5YR14 Class XB, 0.2716% 4/15/2058 (d)(f) | 13100000 | 193285 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.75% 12/15/2062 (d)(f) | 12114494 | 258613 |
| BLOX Trust Series 2021-BLOX Class A, CME Term SOFR 1 month Index + 1.1145%, 5.4435% 9/15/2026 (b)(d)(e) | 772269 | 762231 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.6709% 3/15/2041 (b)(d)(e) | 189765 | 189884 |
| BMO Mortgage Trust Series 2025-5C9 Class XA, 0.7075% 4/15/2058 (d)(f) | 2999772 | 91192 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.7204% 3/15/2041 (b)(d)(e) | 932099 | 932682 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.97% 5/15/2041 (b)(d) | 599885 | 600635 |
| BX Commercial Mortgage Trust Series 2024-5C6 Class A3, 5.3161% 9/15/2057  | 1200000 | 1218731 |
| Bx Tr 2025-Tail Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.7% 6/15/2035 (b)(d)(e) | 168000 | 168227 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.7706% 4/15/2041 (b)(d)(e) | 595024 | 595768 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 5.4725% 3/15/2030 (b)(d)(e) | 1296000 | 1286280 |
| BX Trust Series 2021-BXMF Class A, CME Term SOFR 1 month Index + 0.7504%, 5.0794% 10/15/2026 (b)(d)(e) | 242408 | 241499 |
| BX Trust Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 5.2435% 2/15/2036 (b)(d)(e) | 400000 | 399750 |
| BX Trust Series 2021-XL2 Class A, CME Term SOFR 1 month Index + 0.803%, 5.132% 10/15/2038 (b)(d)(e) | 69983 | 69939 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.7707% 2/15/2039 (b)(d)(e) | 1198863 | 1200361 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 6.0199% 3/15/2041 (b)(d)(e) | 159262 | 159361 |
| BX Trust Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 5.4787% 2/15/2035 (b)(d)(e) | 100000 | 99625 |
| CCUBS Commercial Mortgage Trust Series 2017-C1 Class ASB, 3.462% 11/15/2050  | 562783 | 554764 |
| Citigroup Commercial Mortgage Trust Series 2015-GC33 Class XA, 0.8231% 9/10/2058 (d)(f) | 5262087 | 2638 |
| Citigroup Commercial Mortgage Trust Series 2016-P4 Class A4, 2.902% 7/10/2049  | 3644000 | 3552697 |
| Citigroup Commercial Mortgage Trust Series 2016-P6 Class XA, 0.5476% 12/10/2049 (d)(f) | 6138996 | 36773 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.0317% 8/10/2056 (d)(f) | 4788647 | 152449 |
| DBJPM Mortgage Trust Series 2020-C9 Class A5, 1.926% 8/15/2053  | 400000 | 347030 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-K049 Class A2, 3.01% 7/25/2025  | 26361 | 26281 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 196599 | 192012 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 1000000 | 983521 |
| GS Mortgage Securities Trust Series 2015-GC34 Class XA, 1.1862% 10/10/2048 (d)(f) | 3498398 | 222 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A4, 3.89% 7/10/2051  | 2200000 | 2122663 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 200000 | 192953 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 278941 | 268278 |
| GS Mortgage Securities Trust Series 2021-IP Class A, CME Term SOFR 1 month Index + 1.0645%, 5.3935% 10/15/2036 (b)(d)(e) | 525649 | 522364 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  | 75432 | 74499 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class AFX, 4.2475% 7/5/2033 (b) | 455259 | 431442 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class XAFX, 1.116% 7/5/2033 (b)(d)(f) | 3909453 | 47469 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 5.1435% 7/15/2038 (b)(d)(e) | 340811 | 340385 |
| Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C25 Class XA, 0.9793% 10/15/2048 (d)(f) | 2466484 | 1402 |
| Morgan Stanley Capital I Trust Series 2018-BOP Class A, CME Term SOFR 1 month Index + 0.897%, 5.226% 8/15/2033 (b)(d)(e) | 723006 | 590703 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.1728% 6/15/2054 (d)(f) | 1061336 | 46680 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 5.174% 11/15/2038 (b)(d)(e) | 567300 | 566591 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 5.523% 11/15/2038 (b)(d)(e) | 276966 | 276101 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 5.5716% 12/15/2039 (b)(d)(e) | 508000 | 507840 |
| UBS Commercial Mortgage Trust Series 2017-C7 Class XA, 0.9712% 12/15/2050 (d)(f) | 5072206 | 106314 |
| Wells Fargo Commercial Mortgage Trust Series 2015-C29 Class A4, 3.637% 6/15/2048  | 959912 | 957518 |
| Wells Fargo Commercial Mortgage Trust Series 2015-C31 Class XA, 0.9346% 11/15/2048 (d)(f) | 3081021 | 1069 |
| Wells Fargo Commercial Mortgage Trust Series 2017-C42 Class XA, 0.8551% 12/15/2050 (d)(f) | 6882054 | 120556 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 0.9005% 8/15/2051 (d)(f) | 3657728 | 70550 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.6435% 5/15/2031 (b)(d)(e) | 468000 | 464518 |
| Wells Fargo Commercial Mortgage Trust Series 2024-GRP Class A, CME Term SOFR 1 month Index + 1.7913%, 6.12% 10/15/2041 (b)(d)(e) | 637000 | 639167 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A11, CME Term SOFR 1 month Index + 1.9907%, 6.3194% 8/15/2041 (b)(d)(e) | 400000 | 399024 |
| Wells Fargo Commercial Mortgage Trust Series 2024-MGP Class A12, CME Term SOFR 1 month Index + 1.6912%, 6.0199% 8/15/2041 (b)(d)(e) | 1000000 | 994997 |
| Wells Fargo Commerical Mortgage Trust Series 2025-VTT Class A, 5.1004% 3/15/2038 (b)(d) | 340000 | 338989 |
| TOTAL UNITED STATES |  | 29316709 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $29,449,178) |  | <br> **29316709** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 130.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 130.9%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 130.9%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 130.9%  |  |  |
| Fannie Mae 2% 3/1/2052  | 1570188 | 1228176 |
| Fannie Mae 2.5% 1/1/2052  | 282460 | 231924 |
| Fannie Mae 3.5% 12/1/2036  | 105667 | 100825 |
| Fannie Mae 3.5% 5/1/2036  | 81263 | 78619 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (d)(e) | 6723 | 6911 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 6.71% 1/1/2035 (d)(e) | 1584 | 1627 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 7.428% 6/1/2036 (d)(e) | 627 | 642 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.596%, 6.596% 3/1/2036 (d)(e) | 5663 | 5840 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.609%, 7.359% 8/1/2035 (d)(e) | 15215 | 15602 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.634%, 6.905% 11/1/2036 (d)(e) | 1308 | 1344 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.683%, 6.89% 5/1/2036 (d)(e) | 1008 | 1037 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.73%, 6.752% 3/1/2040 (d)(e) | 5446 | 5644 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.947% 7/1/2035 (d)(e) | 1158 | 1191 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.5% 8/1/2041 (d)(e) | 7581 | 7871 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.635% 1/1/2042 (d)(e) | 11936 | 12424 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.807%, 7.12% 12/1/2040 (d)(e) | 126013 | 131173 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.713% 2/1/2042 (d)(e) | 5155 | 5370 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (d)(e) | 1355 | 1386 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.913% 6/1/2036 (d)(e) | 10712 | 10954 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.279%, 7.241% 10/1/2033 (d)(e) | 2009 | 2051 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 1061309 | 936070 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2037  | 991871 | 872036 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 131283 | 108313 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2051  | 2407786 | 1780927 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 566683 | 499812 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 537320 | 473914 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 295133 | 260306 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 127768 | 105590 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 2714186 | 2218924 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 567667 | 500680 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 129780 | 107161 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 133643 | 110167 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 1944622 | 1438346 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 15090 | 13309 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 136213 | 112203 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 4/1/2036  | 15301 | 13476 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2036  | 62596 | 55346 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 5/1/2051  | 91521 | 67637 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 615088 | 454567 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 134939 | 101031 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2036  | 1585351 | 1397282 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 2249412 | 2049578 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 814791 | 637825 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2052  | 65564 | 51345 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2035  | 468413 | 426215 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2040  | 40374 | 34480 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 980964 | 827709 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 936615 | 744605 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 2032566 | 1610165 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2040  | 14805 | 12628 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 733013 | 618508 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 587282 | 495463 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 581609 | 457833 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 2385485 | 1888250 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 209663 | 164257 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2035  | 1076199 | 979246 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 144176 | 123290 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 15220 | 12952 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2050  | 993821 | 778592 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 508796 | 403060 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 102846 | 100163 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 16220 | 13772 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2042  | 604999 | 508993 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 1063803 | 833086 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 677260 | 535033 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 16592 | 14088 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2042  | 1773744 | 1491590 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 17699 | 13883 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 5150610 | 4012625 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 820931 | 645710 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 366368 | 289429 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 220870 | 174417 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 215848 | 169642 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 201773 | 159715 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 172684 | 135610 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 47936 | 40930 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2051  | 1006991 | 795519 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2052  | 2292859 | 1794869 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 35253 | 30074 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 17786 | 15065 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 8383640 | 7644091 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 260281 | 237321 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 690144 | 583768 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 469793 | 399392 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 1040336 | 816334 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 623576 | 491063 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 364662 | 288309 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 1863651 | 1462376 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 238708 | 187758 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 114430 | 90363 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 33593 | 26318 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 18539 | 14524 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 396316 | 361356 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 154375 | 147727 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2037  | 1382402 | 1283688 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 1973927 | 1641739 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2051  | 236556 | 194825 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 301599 | 246885 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 159043 | 131880 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 151630 | 145166 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 34190 | 32762 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2037  | 124647 | 113290 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2050  | 461752 | 383468 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 2087375 | 1708698 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 424912 | 352342 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 195574 | 160950 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 99200 | 95013 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2036  | 211120 | 195186 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 441518 | 385605 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 286500 | 250359 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 105880 | 92855 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2444315 | 2000884 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 2322637 | 1920878 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 1030768 | 848283 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 799207 | 657717 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 275892 | 263895 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 2078407 | 1989712 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 1586544 | 1305665 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 713591 | 590157 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 338741 | 316669 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 252666 | 236202 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 113406 | 105769 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 84922 | 81337 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 332684 | 295260 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 108825 | 96273 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 489530 | 404241 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 152760 | 146242 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 2208459 | 2008932 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 1288204 | 1123060 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 1346939 | 1122791 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 34647 | 33274 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 122213 | 107830 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 96663 | 85283 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 94009 | 82249 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 37168 | 32538 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1554345 | 1286453 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 1171382 | 971324 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 846730 | 693916 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 548290 | 451907 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 1667637 | 1378134 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2052  | 103078 | 85184 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 3162025 | 2621989 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2040  | 188459 | 166534 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 99499 | 87616 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 47176 | 45286 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 168763 | 138147 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 370730 | 324531 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2050  | 4898650 | 4068142 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2051  | 37488 | 30687 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2035  | 466290 | 443760 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 557696 | 479631 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2036  | 830262 | 778648 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2049  | 1083657 | 942466 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 867775 | 748339 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 113402 | 97440 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2032  | 18286 | 17644 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 56167 | 54573 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2049  | 1517072 | 1314670 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 108360 | 93260 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 747610 | 642610 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 18398 | 15923 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 1053519 | 1020816 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 597963 | 579465 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 244518 | 232704 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2034  | 69603 | 66305 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2036  | 572085 | 535448 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 4302560 | 3743320 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 1009159 | 868529 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 524711 | 451016 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 382999 | 329448 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 125780 | 108075 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 97298 | 94838 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 613272 | 591967 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 38350 | 37295 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2036  | 21856 | 20634 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 44615 | 40160 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 1495870 | 1298167 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 537439 | 465401 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 1103595 | 947908 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 682045 | 585828 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 649807 | 558340 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 376984 | 323802 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 95502 | 92428 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 32738 | 31629 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2040  | 17711 | 16489 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2048  | 885243 | 779310 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 2041479 | 1771665 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2050  | 1069642 | 929274 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 1037993 | 896913 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 167935 | 144296 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2036  | 12108 | 11431 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2037  | 463291 | 437287 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2038  | 10839 | 10388 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2050  | 2100041 | 1822487 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 896542 | 776368 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2050  | 144559 | 125182 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2038  | 22004 | 20698 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2032  | 394255 | 380890 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2033  | 226799 | 218981 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 113423 | 110379 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2035  | 5801 | 5492 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 23593 | 22193 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 603137 | 540978 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 51562 | 46423 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 729573 | 642724 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 2674700 | 2313673 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 917525 | 793679 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2051  | 581332 | 501320 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2036  | 24232 | 22794 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 1145323 | 990371 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 238795 | 231406 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2049  | 886554 | 769105 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 17822 | 16517 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 284981 | 258387 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 55374 | 50328 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 252096 | 229201 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 226613 | 202349 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 76955 | 68932 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 53617 | 49601 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 16568 | 15343 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 5789 | 5345 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 78211 | 71059 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 2527017 | 2284085 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 236768 | 215486 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 15286 | 14114 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 14049 | 12947 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 12101 | 11134 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 5880 | 5436 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 3512 | 3188 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 356584 | 318404 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 9592 | 8859 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 39 | 38 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1364850 | 1260335 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 493081 | 447066 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 90631 | 82174 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 52447 | 47667 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 11472 | 10613 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 138083 | 125715 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2046  | 71446 | 65047 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 201814 | 180458 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 78698 | 72489 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2047  | 47103 | 42810 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 105482 | 97295 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 74863 | 68973 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 18002 | 16607 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 11459 | 10580 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  | 29342 | 26356 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2050  | 215667 | 192710 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 14345 | 13298 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 166649 | 161259 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2034  | 53835 | 52010 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 490372 | 453786 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2034  | 208924 | 201841 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 231384 | 214372 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 12626 | 11664 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 96583 | 87660 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 75589 | 68701 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 77024 | 71323 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 34182 | 31647 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 15874 | 14740 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 51665 | 46956 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 152674 | 138951 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 696158 | 621620 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 334429 | 319095 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 12073 | 11529 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 4676 | 4474 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 216810 | 203994 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2052  | 27353 | 25530 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 6966 | 6656 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 14333 | 13729 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 11920 | 11320 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 33773 | 31541 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 125269 | 119547 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 11682 | 11215 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 95345 | 90823 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2049  | 51511 | 47945 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2051  | 36614 | 34173 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 8610 | 8194 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 147132 | 138791 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2051  | 22930 | 21402 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 277286 | 264618 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 31038 | 29594 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 14850 | 14086 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 10862 | 10400 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 6805 | 6486 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2052  | 19351 | 18061 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 41903 | 40104 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 17299 | 16566 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 127767 | 121326 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 21912 | 20810 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 21576 | 20546 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 14282 | 13524 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 187143 | 177875 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 106135 | 98920 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 132374 | 125915 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 97128 | 92401 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 46035 | 43798 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 25449 | 24169 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 18975 | 18011 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 75968 | 71340 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 51803 | 48657 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 2359438 | 2180043 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 994388 | 921890 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2052  | 43743 | 40185 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 21741 | 20809 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 11152 | 10664 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 1722 | 1652 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 314667 | 290644 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 304804 | 281534 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2052  | 848134 | 786033 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 6542 | 6138 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 28939 | 27019 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2051  | 10511 | 9817 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2052  | 44953 | 41943 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 5276 | 5054 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 45054 | 44463 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2040  | 9685 | 9526 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 35329 | 34257 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2045  | 86177 | 85212 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2048  | 794987 | 762897 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 93270 | 91790 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 28195 | 27721 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2043  | 7090 | 6923 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2052  | 1455646 | 1378123 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 68247 | 67102 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 140648 | 138287 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 181732 | 178571 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 63566 | 62349 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 450727 | 443513 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 123099 | 121063 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 35579 | 34883 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 380888 | 374321 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 45519 | 44222 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 6961 | 6675 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 8279 | 8113 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 7829 | 7691 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2049  | 466745 | 446591 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 26952 | 26496 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 952943 | 933474 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 716224 | 701591 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 2330629 | 2282285 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 1006074 | 988349 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 518288 | 507699 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 45951 | 46200 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2049  | 211251 | 208965 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2033  | 25465 | 25588 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 11185 | 11251 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 557647 | 560656 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 7192 | 7228 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 19801 | 19904 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 1357 | 1364 |
| Fannie Mae Mortgage pass-thru certificates 5.297% 8/1/2041 (d) | 72137 | 72383 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2053  | 1013435 | 1015948 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 1165519 | 1156754 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 12/1/2054  | 1326209 | 1315822 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 332827 | 331780 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 951327 | 950118 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 412524 | 413160 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2054  | 768338 | 762801 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 663352 | 661887 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 1408561 | 1410734 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 755569 | 758151 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 291372 | 289272 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 1364844 | 1354580 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 767559 | 786219 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 8988922 | 9162505 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2053  | 1037634 | 1054805 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 834043 | 853538 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 311195 | 318858 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 118280 | 121303 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2054  | 281251 | 284309 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1172969 | 1197911 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 383069 | 387713 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2054  | 1349663 | 1366025 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 1849067 | 1871484 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 890351 | 910118 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 953343 | 973242 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 729841 | 744163 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 1963540 | 1987344 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 1043090 | 1055736 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2053  | 260133 | 265238 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 1635307 | 1654621 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 672680 | 689664 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2054  | 736005 | 762702 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 287959 | 300159 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 6745 | 7118 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 11/1/2053  | 618133 | 640554 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 2000 | 2112 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2035  | 677 | 711 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 396454 | 407458 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 490623 | 510949 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2035  | 435 | 457 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2038  | 847 | 897 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 723713 | 751604 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2036  | 9408 | 9906 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 635015 | 652790 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 682 | 720 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 4025661 | 4185834 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 765572 | 787001 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 3240 | 3419 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 1849 | 1952 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 584460 | 606025 |
| Fannie Mae Mortgage pass-thru certificates 6.763% 2/1/2039 (d) | 21519 | 22227 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 747 | 752 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 585 | 588 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 381 | 383 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2028  | 524 | 534 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 21115 | 22025 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2026  | 96 | 95 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 923 | 928 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 1041 | 1048 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 121 | 123 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 35 | 35 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2032  | 1268 | 1344 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 7355 | 7856 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2032  | 1342 | 1432 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2032  | 3904 | 4143 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2032  | 3253 | 3471 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 1539 | 1643 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 829 | 883 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 468 | 498 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 333 | 353 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 282 | 300 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2032  | 184 | 195 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 6 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 1339 | 1399 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2032  | 20204 | 21557 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2030  | 91 | 95 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2032  | 5088 | 5445 |
| Fannie Mae Mortgage pass-thru certificates 8% 12/1/2029  | 17 | 17 |
| Fannie Mae Mortgage pass-thru certificates 8% 3/1/2037  | 4736 | 5029 |
| Fannie Mae Mortgage pass-thru certificates 9% 10/1/2030  | 13641 | 14489 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 578748 | 510453 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 2386767 | 1765380 |
| Freddie Mac Gold Pool 1.5% 10/1/2036  | 183089 | 160797 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 537392 | 473978 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 16350 | 14420 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 60186 | 45006 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 567514 | 500545 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 78505 | 64821 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 42888 | 32071 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 28739 | 21518 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 134598 | 110942 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 2424220 | 1793082 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 136700 | 112582 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 993896 | 735139 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 31448 | 23546 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 609684 | 502305 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 138924 | 114325 |
| Freddie Mac Gold Pool 1.5% 4/1/2051  | 1885990 | 1393800 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 1315158 | 1158320 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 37920 | 28391 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 221981 | 196618 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 456560 | 404396 |
| Freddie Mac Gold Pool 2% 1/1/2051  | 9069367 | 7099576 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 18423 | 15546 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 548686 | 462749 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 4518237 | 3539737 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 372777 | 292046 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 147235 | 116269 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 140750 | 110532 |
| Freddie Mac Gold Pool 2% 12/1/2051  | 52652 | 41249 |
| Freddie Mac Gold Pool 2% 2/1/2042  | 420782 | 353906 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 114121 | 97468 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 1165973 | 914920 |
| Freddie Mac Gold Pool 2% 3/1/2052  | 567967 | 446384 |
| Freddie Mac Gold Pool 2% 4/1/2041  | 1259119 | 1067667 |
| Freddie Mac Gold Pool 2% 4/1/2052  | 1510157 | 1186882 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 3870123 | 3045287 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 256627 | 202734 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 193002 | 151385 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 81327 | 63790 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 6955471 | 5462189 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 1965788 | 1554193 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 1721088 | 1464690 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 17656 | 14928 |
| Freddie Mac Gold Pool 2% 7/1/2051  | 142266 | 112345 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 206187 | 161534 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 1430650 | 1122607 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 447831 | 350846 |
| Freddie Mac Gold Pool 2.5% 1/1/2041  | 326260 | 286940 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 428861 | 374230 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 209910 | 183549 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 1153011 | 955010 |
| Freddie Mac Gold Pool 2.5% 10/1/2051  | 300076 | 246951 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 129446 | 123923 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 2958378 | 2598586 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 144930 | 127099 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 83587 | 73450 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 3877561 | 3214108 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 1272906 | 1058691 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 117999 | 96592 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1186888 | 976764 |
| Freddie Mac Gold Pool 2.5% 2/1/2035  | 277124 | 258460 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 563549 | 494696 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 7189062 | 5972488 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 419850 | 345783 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 286081 | 236239 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 395057 | 325364 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 93713 | 81956 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 1100155 | 912262 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 432432 | 358172 |
| Freddie Mac Gold Pool 2.5% 5/1/2035  | 542133 | 505623 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 1206014 | 1065805 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 1114482 | 924838 |
| Freddie Mac Gold Pool 2.5% 5/1/2052  | 1229127 | 1016518 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 30222 | 29059 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 111072 | 97730 |
| Freddie Mac Gold Pool 2.5% 7/1/2036  | 392622 | 364463 |
| Freddie Mac Gold Pool 2.5% 7/1/2041  | 1537622 | 1360293 |
| Freddie Mac Gold Pool 2.5% 7/1/2050  | 2135448 | 1776745 |
| Freddie Mac Gold Pool 2.5% 7/1/2051  | 1687943 | 1395970 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 550742 | 481858 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 67580 | 59499 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 148169 | 130304 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 46195 | 41692 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 89810 | 77168 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 332142 | 286895 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 1168661 | 1005987 |
| Freddie Mac Gold Pool 3% 11/1/2032  | 665385 | 642277 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 72692 | 62562 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 18614 | 15994 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 28680 | 27857 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 206001 | 199628 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 80644 | 77930 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 244252 | 220689 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 593276 | 510601 |
| Freddie Mac Gold Pool 3% 12/1/2051  | 1114864 | 956542 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 27313 | 26562 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 27172 | 24662 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 13460 | 12161 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 22048 | 19907 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 601377 | 518701 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 821251 | 705267 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 98090 | 84053 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 44680 | 38286 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 6506 | 6314 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 4638 | 4505 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 95271 | 91248 |
| Freddie Mac Gold Pool 3% 4/1/2037  | 624290 | 589055 |
| Freddie Mac Gold Pool 3% 4/1/2037  | 266526 | 251733 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 33009 | 29118 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 29622 | 26130 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 602950 | 520058 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 509543 | 449473 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 79268 | 69923 |
| Freddie Mac Gold Pool 3% 5/1/2052  | 723536 | 622257 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 502266 | 443053 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 979088 | 849686 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 147327 | 126244 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 12512 | 12112 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 14373 | 13918 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 9820 | 9503 |
| Freddie Mac Gold Pool 3% 9/1/2048  | 647177 | 562451 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 10098 | 8805 |
| Freddie Mac Gold Pool 3% 9/1/2050  | 17489 | 15052 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 19672 | 16903 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 48468 | 44048 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 7453 | 6783 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 291085 | 281760 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 51695 | 47048 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 100873 | 98084 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 89769 | 81499 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 12374 | 11250 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 249633 | 240660 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 253725 | 234955 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 26621 | 24877 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 175438 | 157092 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 129844 | 126835 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 678263 | 619381 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 605193 | 563328 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 282697 | 261413 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 31834 | 29476 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 8466 | 7823 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 455584 | 414040 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 91475 | 83306 |
| Freddie Mac Gold Pool 3.5% 4/1/2052 (i)(j) | 10614486 | 9547638 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 1105193 | 980987 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 119071 | 115457 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 891372 | 815748 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 10710 | 9744 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 1014060 | 926026 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 527841 | 480698 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 125567 | 114117 |
| Freddie Mac Gold Pool 3.5% 5/1/2052  | 137833 | 122343 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 427718 | 417534 |
| Freddie Mac Gold Pool 3.5% 6/1/2042  | 31889 | 29606 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 1073586 | 976695 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 171629 | 157751 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 413102 | 403182 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 92037 | 89847 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 362729 | 335943 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 125274 | 114014 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 199149 | 193008 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 194502 | 177019 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 22111 | 20123 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 15371 | 13990 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 459439 | 424937 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 363338 | 336263 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 118816 | 107870 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 29094 | 26477 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 6471 | 5889 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 6038 | 5495 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 212856 | 206418 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 105638 | 100601 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 23922 | 22643 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 11815 | 11158 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 13662 | 13029 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 7701 | 7320 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 31210 | 29551 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 15757 | 14882 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 10553 | 10012 |
| Freddie Mac Gold Pool 4% 10/1/2048  | 198342 | 184486 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 1008421 | 935844 |
| Freddie Mac Gold Pool 4% 11/1/2040  | 479144 | 457467 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 153113 | 145789 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 66690 | 63612 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 26243 | 24949 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 22431 | 21279 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 10313 | 9772 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 1049 | 1017 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 163778 | 155435 |
| Freddie Mac Gold Pool 4% 11/1/2048  | 39323 | 36588 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 518750 | 484599 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 198171 | 189433 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 28744 | 27433 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 17396 | 16481 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 7490 | 7089 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 15931 | 15076 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 8703 | 8254 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 159215 | 150519 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 1360 | 1282 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 239412 | 223426 |
| Freddie Mac Gold Pool 4% 2/1/2052  | 13851 | 12928 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 35111 | 33501 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 34194 | 32518 |
| Freddie Mac Gold Pool 4% 3/1/2049  | 564566 | 525125 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 518608 | 493174 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 27900 | 26575 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 11183 | 10619 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 12101 | 11495 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 22888 | 21359 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 20697 | 19296 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 11165 | 10409 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 5202 | 4850 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 4461 | 4159 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 34311 | 32746 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 13724 | 12994 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 5713 | 5402 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 1878 | 1779 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 59877 | 57099 |
| Freddie Mac Gold Pool 4% 5/1/2048  | 354889 | 330762 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 16023 | 15284 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 35082 | 33035 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 152160 | 142808 |
| Freddie Mac Gold Pool 4% 6/1/2047  | 92837 | 86670 |
| Freddie Mac Gold Pool 4% 6/1/2048  | 371574 | 345964 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 297797 | 282746 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 28862 | 27324 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 28235 | 26809 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 12665 | 11973 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 10351 | 9788 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 8980 | 8488 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 111969 | 105438 |
| Freddie Mac Gold Pool 4% 7/1/2048  | 121235 | 113860 |
| Freddie Mac Gold Pool 4% 8/1/2041  | 3041 | 2897 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 4263 | 4051 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 4175 | 3944 |
| Freddie Mac Gold Pool 4% 8/1/2048  | 167433 | 155893 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 28164 | 26866 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 1463114 | 1391739 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 16603 | 15872 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 20548 | 19491 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 16106 | 15223 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 7550 | 7130 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 3305 | 3146 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 2867 | 2716 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 219805 | 204656 |
| Freddie Mac Gold Pool 4% 9/1/2048  | 40630 | 37829 |
| Freddie Mac Gold Pool 4% 9/1/2051  | 14803 | 13826 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 137054 | 134942 |
| Freddie Mac Gold Pool 4.5% 10/1/2035  | 5797 | 5735 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 570265 | 562033 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 141696 | 139574 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 9768 | 9619 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 15849 | 15576 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 70043 | 68812 |
| Freddie Mac Gold Pool 4.5% 10/1/2047  | 9368 | 8993 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 6877 | 6779 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 69975 | 68886 |
| Freddie Mac Gold Pool 4.5% 11/1/2047  | 20191 | 19313 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 5744 | 5654 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 11783 | 11580 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 614262 | 589467 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 21937 | 21608 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 19303 | 19002 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 18606 | 18278 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 15123 | 14852 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 9394 | 9230 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 13904 | 13368 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 46909 | 46179 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 22007 | 21650 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 10043 | 9884 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 1875 | 1824 |
| Freddie Mac Gold Pool 4.5% 3/1/2047  | 10932 | 10511 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 16910 | 16603 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 15745 | 15494 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 82090 | 80942 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 37282 | 36775 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 6966 | 6865 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 21734 | 21341 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 20036 | 19689 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 32900 | 32417 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 14202 | 13996 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 3274 | 3232 |
| Freddie Mac Gold Pool 4.5% 7/1/2025  | 224 | 222 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 9824 | 9434 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 76181 | 75019 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 3063 | 3016 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 2543 | 2503 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 26217 | 25843 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 1888 | 1862 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 5125 | 5045 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 12985 | 13073 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 762637 | 745149 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 614182 | 601634 |
| Freddie Mac Gold Pool 5% 11/1/2033  | 117609 | 118386 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 1403171 | 1374066 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 613312 | 602507 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 47583 | 47913 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1430719 | 1401042 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 224681 | 220021 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 165385 | 161955 |
| Freddie Mac Gold Pool 5% 7/1/2033  | 6966 | 6958 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 8344 | 8382 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 70245 | 70754 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 1498594 | 1503715 |
| Freddie Mac Gold Pool 5.5% 10/1/2053  | 187102 | 185636 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 80595 | 80090 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (k) | 3136570 | 3145328 |
| Freddie Mac Gold Pool 5.5% 3/1/2055  | 2699660 | 2674297 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 861663 | 860299 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 2299999 | 2279109 |
| Freddie Mac Gold Pool 6% 10/1/2034  | 12779 | 13160 |
| Freddie Mac Gold Pool 6% 10/1/2054  | 804167 | 823717 |
| Freddie Mac Gold Pool 6% 11/1/2028  | 761 | 774 |
| Freddie Mac Gold Pool 6% 11/1/2053  | 171749 | 175012 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 603 | 615 |
| Freddie Mac Gold Pool 6% 4/1/2032  | 15992 | 16529 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 2156355 | 2206756 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 12165 | 12529 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 1171607 | 1200090 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 1053 | 1072 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 234 | 239 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 2703 | 2763 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 97 | 98 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 34 | 34 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 3003904 | 3077355 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 21891 | 22686 |
| Freddie Mac Gold Pool 6% 9/1/2036  | 51829 | 54311 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 748405 | 767301 |
| Freddie Mac Gold Pool 6% 9/1/2054  | 187733 | 191417 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 21059 | 21918 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 1337254 | 1385759 |
| Freddie Mac Gold Pool 6.5% 1/1/2054 (k) | 972656 | 1008545 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 13525 | 14106 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 320185 | 331799 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 314894 | 326512 |
| Freddie Mac Gold Pool 6.5% 2/1/2037  | 1709 | 1799 |
| Freddie Mac Gold Pool 6.5% 2/1/2054  | 5746299 | 5954732 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 2174 | 2264 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 1191 | 1243 |
| Freddie Mac Gold Pool 6.5% 3/1/2037  | 1284 | 1362 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 1074 | 1119 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 967 | 1006 |
| Freddie Mac Gold Pool 6.5% 5/1/2031  | 2459 | 2556 |
| Freddie Mac Gold Pool 6.5% 5/1/2033  | 28733 | 29677 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 1445624 | 1502578 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 270874 | 282159 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 21191 | 22494 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 86004 | 89124 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 84053 | 87344 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 3913841 | 4083019 |
| Freddie Mac Gold Pool 6.5% 9/1/2054  | 321041 | 334617 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 3533 | 3718 |
| Freddie Mac Gold Pool 7% 11/1/2026  | 351 | 355 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 6524 | 6899 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 5756 | 6057 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 1057 | 1067 |
| Freddie Mac Gold Pool 7% 2/1/2027  | 117 | 116 |
| Freddie Mac Gold Pool 7% 3/1/2026  | 426 | 427 |
| Freddie Mac Gold Pool 7% 7/1/2026  | 188 | 188 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 9602 | 10016 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 1553 | 1562 |
| Freddie Mac Gold Pool 7% 8/1/2034  | 4834 | 5159 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 1837 | 1850 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 14847 | 15658 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 24 | 23 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 993 | 1037 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 195 | 201 |
| Freddie Mac Gold Pool 7.5% 2/1/2032  | 76749 | 81549 |
| Freddie Mac Gold Pool 7.5% 6/1/2027  | 280 | 286 |
| Freddie Mac Gold Pool 7.5% 7/1/2034  | 32696 | 34100 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 210 | 220 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 1671 | 1767 |
| Freddie Mac Manufactured Housing participation certificates 5.5% 4/1/2055  | 699243 | 693766 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 881298 | 917809 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 820499 | 855774 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 258666 | 271261 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 6.5% 3/1/2036 (d)(e) | 18950 | 19431 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.61% 12/1/2040 (d)(e) | 57099 | 59157 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 7.3% 9/1/2041 (d)(e) | 14454 | 14973 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.927%, 7.283% 10/1/2042 (d)(e) | 7497 | 7771 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.961%, 7.711% 6/1/2033 (d)(e) | 13887 | 14211 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 7.905% 7/1/2036 (d)(e) | 6717 | 6933 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.2%, 6.825% 12/1/2036 (d)(e) | 14850 | 15470 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.231%, 7.231% 5/1/2034 (d)(e) | 315 | 320 |
| Freddie Mac Non Gold Pool 5.5% 5/1/2053  | 1577936 | 1579876 |
| Freddie Mac Non Gold Pool 5.5% 7/1/2053  | 1084167 | 1083129 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 1217970 | 1219088 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.635% 6/1/2037 (d)(e) | 50772 | 52180 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 3.281%, 7.906% 10/1/2035 (d)(e) | 134 | 140 |
| Freddie Mac Non Gold Pool 6% 1/1/2054  | 44226 | 44707 |
| Freddie Mac Non Gold Pool 6% 11/1/2054  | 684455 | 698955 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 571382 | 583309 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 530644 | 540892 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 488585 | 498173 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 477206 | 487166 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 422598 | 430891 |
| Freddie Mac Non Gold Pool 6% 9/1/2053  | 442383 | 451064 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 511566 | 531001 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 463167 | 483948 |
| Freddie Mac Non Gold Pool 6.5% 11/1/2054  | 212748 | 222160 |
| Freddie Mac Non Gold Pool 6.5% 2/1/2055  | 531803 | 555995 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 507366 | 421601 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 781836 | 649675 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 513620 | 426798 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 409398 | 340194 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 4406978 | 3662025 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 1153483 | 958499 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 432928 | 359746 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1742250 | 1447741 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 1136277 | 944201 |
| Ginnie Mae I Pool 3% 12/20/2042  | 163674 | 148456 |
| Ginnie Mae I Pool 3% 3/20/2043  | 108657 | 98568 |
| Ginnie Mae I Pool 3% 3/20/2043  | 44902 | 40767 |
| Ginnie Mae I Pool 3% 4/15/2045  | 23164 | 20497 |
| Ginnie Mae I Pool 3% 5/15/2043  | 25973 | 23281 |
| Ginnie Mae I Pool 3% 6/15/2042  | 41332 | 37224 |
| Ginnie Mae I Pool 3% 6/15/2043  | 65449 | 59285 |
| Ginnie Mae I Pool 3% 6/15/2043  | 36213 | 32628 |
| Ginnie Mae I Pool 3% 6/20/2042  | 197516 | 179056 |
| Ginnie Mae I Pool 3% 7/15/2043  | 9900 | 8878 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 214108 | 198099 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 10333 | 9577 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 146403 | 135771 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 23906 | 21530 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 13492 | 12151 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 12753 | 11486 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 11952 | 10764 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 11705 | 10542 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 8402 | 7559 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 46878 | 42219 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 18764 | 16899 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 15852 | 14277 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 15089 | 13590 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 11547 | 10399 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 8101 | 7296 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 5475 | 4933 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 17178 | 15930 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 43355 | 40040 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 813551 | 732948 |
| Ginnie Mae I Pool 4% 1/15/2042  | 5224 | 5010 |
| Ginnie Mae I Pool 4% 1/15/2043  | 17816 | 17016 |
| Ginnie Mae I Pool 4% 10/15/2040  | 85956 | 82509 |
| Ginnie Mae I Pool 4% 10/15/2040  | 32910 | 31611 |
| Ginnie Mae I Pool 4% 10/15/2040  | 7725 | 7418 |
| Ginnie Mae I Pool 4% 10/15/2040  | 3403 | 3270 |
| Ginnie Mae I Pool 4% 10/15/2041  | 141912 | 135819 |
| Ginnie Mae I Pool 4% 10/15/2041  | 38217 | 36648 |
| Ginnie Mae I Pool 4% 10/15/2041  | 20965 | 20061 |
| Ginnie Mae I Pool 4% 10/15/2041  | 14181 | 13554 |
| Ginnie Mae I Pool 4% 10/15/2041  | 2332 | 2238 |
| Ginnie Mae I Pool 4% 11/15/2041  | 101212 | 96981 |
| Ginnie Mae I Pool 4% 11/15/2042  | 5889 | 5626 |
| Ginnie Mae I Pool 4% 12/15/2040  | 9254 | 8893 |
| Ginnie Mae I Pool 4% 12/15/2040  | 3696 | 3548 |
| Ginnie Mae I Pool 4% 12/15/2041  | 46125 | 44232 |
| Ginnie Mae I Pool 4% 12/15/2041  | 31434 | 30078 |
| Ginnie Mae I Pool 4% 12/15/2041  | 1641 | 1571 |
| Ginnie Mae I Pool 4% 12/15/2042  | 6701 | 6411 |
| Ginnie Mae I Pool 4% 2/15/2041  | 13532 | 12992 |
| Ginnie Mae I Pool 4% 2/15/2042  | 75622 | 72404 |
| Ginnie Mae I Pool 4% 2/15/2042  | 16009 | 15328 |
| Ginnie Mae I Pool 4% 3/15/2040  | 13774 | 13214 |
| Ginnie Mae I Pool 4% 3/15/2041  | 58915 | 56972 |
| Ginnie Mae I Pool 4% 3/15/2041  | 14408 | 13784 |
| Ginnie Mae I Pool 4% 3/15/2041  | 6062 | 5820 |
| Ginnie Mae I Pool 4% 3/15/2042  | 53239 | 50943 |
| Ginnie Mae I Pool 4% 3/15/2042  | 14470 | 13849 |
| Ginnie Mae I Pool 4% 3/15/2042  | 7697 | 7354 |
| Ginnie Mae I Pool 4% 4/15/2042  | 11029 | 10546 |
| Ginnie Mae I Pool 4% 4/15/2043  | 4033 | 3871 |
| Ginnie Mae I Pool 4% 5/15/2041  | 67806 | 65595 |
| Ginnie Mae I Pool 4% 5/15/2042  | 3425 | 3325 |
| Ginnie Mae I Pool 4% 5/20/2049  | 185966 | 171463 |
| Ginnie Mae I Pool 4% 6/15/2041  | 90341 | 86582 |
| Ginnie Mae I Pool 4% 6/15/2041  | 9568 | 9170 |
| Ginnie Mae I Pool 4% 6/15/2041  | 6835 | 6589 |
| Ginnie Mae I Pool 4% 6/15/2041  | 6598 | 6311 |
| Ginnie Mae I Pool 4% 6/15/2042  | 2377 | 2270 |
| Ginnie Mae I Pool 4% 7/15/2041  | 6435 | 6185 |
| Ginnie Mae I Pool 4% 7/15/2041  | 3670 | 3509 |
| Ginnie Mae I Pool 4% 8/15/2041  | 8559 | 8220 |
| Ginnie Mae I Pool 4% 8/15/2043  | 5267 | 5012 |
| Ginnie Mae I Pool 4% 8/15/2043  | 3749 | 3581 |
| Ginnie Mae I Pool 4% 9/15/2040  | 3564 | 3424 |
| Ginnie Mae I Pool 4% 9/15/2041  | 46645 | 44687 |
| Ginnie Mae I Pool 4% 9/15/2041  | 4581 | 4378 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 21616 | 21264 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1418 | 1394 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 182553 | 179467 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 31926 | 31383 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 21783 | 21398 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 53466 | 52455 |
| Ginnie Mae I Pool 4.5% 4/20/2053  | 1976037 | 1873318 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 2126 | 2091 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 65865 | 64741 |
| Ginnie Mae I Pool 4.5% 5/20/2041  | 1913 | 1881 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 110202 | 108305 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 85345 | 83684 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 84234 | 82797 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 83910 | 82484 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 59405 | 58369 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 28275 | 27799 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 17905 | 17593 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 293969 | 288496 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 86628 | 85143 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 86384 | 84917 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 57401 | 56422 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 43055 | 42330 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 33425 | 32850 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 24234 | 23814 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 4472 | 4389 |
| Ginnie Mae I Pool 4.5% 8/15/2033  | 280 | 277 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 124146 | 122033 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 79969 | 78660 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 34788 | 34186 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 8124 | 8003 |
| Ginnie Mae I Pool 5% 11/15/2039  | 33400 | 33560 |
| Ginnie Mae I Pool 5% 11/15/2039  | 22547 | 22651 |
| Ginnie Mae I Pool 5% 4/15/2040  | 74742 | 75090 |
| Ginnie Mae I Pool 5% 4/15/2040  | 27943 | 28072 |
| Ginnie Mae I Pool 5% 4/20/2048  | 112338 | 111875 |
| Ginnie Mae I Pool 5% 5/15/2039  | 20589 | 20687 |
| Ginnie Mae I Pool 5% 6/15/2040  | 232542 | 233620 |
| Ginnie Mae I Pool 5% 6/15/2040  | 12449 | 12506 |
| Ginnie Mae I Pool 5% 6/15/2041  | 9350 | 9395 |
| Ginnie Mae I Pool 5% 7/15/2039  | 28792 | 28928 |
| Ginnie Mae I Pool 5% 7/15/2040  | 16842 | 16919 |
| Ginnie Mae I Pool 5% 7/15/2040  | 2263 | 2273 |
| Ginnie Mae I Pool 5% 8/15/2039  | 1637 | 1645 |
| Ginnie Mae I Pool 5% 9/15/2039  | 18587 | 18675 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 1075 | 1095 |
| Ginnie Mae I Pool 5.5% 3/20/2054  | 1052009 | 1051703 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 51283 | 52315 |
| Ginnie Mae I Pool 5.5% 9/20/2054  | 744606 | 740026 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 20012 | 20673 |
| Ginnie Mae I Pool 6.5% 7/15/2036  | 335 | 348 |
| Ginnie Mae I Pool 7% 1/15/2026  | 18 | 17 |
| Ginnie Mae I Pool 7% 1/15/2028  | 369 | 373 |
| Ginnie Mae I Pool 7% 1/15/2028  | 23 | 23 |
| Ginnie Mae I Pool 7% 1/15/2029  | 46 | 46 |
| Ginnie Mae I Pool 7% 10/15/2028  | 235 | 238 |
| Ginnie Mae I Pool 7% 12/15/2027  | 117 | 118 |
| Ginnie Mae I Pool 7% 12/15/2031  | 1102 | 1134 |
| Ginnie Mae I Pool 7% 2/15/2028  | 111 | 113 |
| Ginnie Mae I Pool 7% 3/15/2028  | 90 | 90 |
| Ginnie Mae I Pool 7% 4/20/2032  | 22706 | 23532 |
| Ginnie Mae I Pool 7% 5/15/2028  | 73 | 74 |
| Ginnie Mae I Pool 7% 5/15/2029  | 1194 | 1216 |
| Ginnie Mae I Pool 7% 7/15/2028  | 578 | 585 |
| Ginnie Mae I Pool 7% 7/15/2028  | 246 | 250 |
| Ginnie Mae I Pool 7% 7/15/2029  | 93 | 95 |
| Ginnie Mae I Pool 7% 7/15/2029  | 16 | 16 |
| Ginnie Mae I Pool 7% 8/15/2028  | 194 | 196 |
| Ginnie Mae I Pool 7% 8/15/2029  | 122 | 124 |
| Ginnie Mae I Pool 7% 9/15/2028  | 5159 | 5236 |
| Ginnie Mae I Pool 7% 9/15/2028  | 1145 | 1153 |
| Ginnie Mae I Pool 7% 9/15/2028  | 63 | 64 |
| Ginnie Mae I Pool 7% 9/15/2028  | 14 | 13 |
| Ginnie Mae I Pool 7.5% 10/15/2028  | 541 | 554 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 68 | 69 |
| Ginnie Mae I Pool 7.5% 11/15/2029  | 719 | 744 |
| Ginnie Mae I Pool 7.5% 12/15/2026  | 12 | 11 |
| Ginnie Mae I Pool 7.5% 12/15/2028  | 552 | 559 |
| Ginnie Mae I Pool 7.5% 12/15/2029  | 374 | 387 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 308 | 312 |
| Ginnie Mae I Pool 7.5% 4/15/2028  | 286 | 292 |
| Ginnie Mae I Pool 7.5% 4/15/2028  | 151 | 151 |
| Ginnie Mae I Pool 7.5% 5/15/2029  | 1025 | 1049 |
| Ginnie Mae I Pool 7.5% 6/15/2028  | 517 | 522 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 4813 | 4970 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 25 | 26 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 321 | 328 |
| Ginnie Mae I Pool 8% 10/15/2025  | 35 | 35 |
| Ginnie Mae I Pool 8% 8/15/2025  | 96 | 96 |
| Ginnie Mae I Pool 8% 8/15/2025  | 2 | 1 |
| Ginnie Mae I Pool 8.5% 10/15/2028  | 864 | 878 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 571 | 579 |
| Ginnie Mae II Pool 2% 1/20/2051  | 9655004 | 7760448 |
| Ginnie Mae II Pool 2% 10/20/2050  | 5073458 | 4077917 |
| Ginnie Mae II Pool 2% 11/20/2050  | 2928694 | 2354011 |
| Ginnie Mae II Pool 2% 12/20/2050  | 4207126 | 3381581 |
| Ginnie Mae II Pool 2% 2/20/2051  | 552111 | 443773 |
| Ginnie Mae II Pool 2% 2/20/2052  | 16715287 | 13435326 |
| Ginnie Mae II Pool 2% 3/20/2052  | 1638422 | 1317434 |
| Ginnie Mae II Pool 2% 4/20/2051  | 225858 | 181539 |
| Ginnie Mae II Pool 2% 6/1/2055 (l) | 12450000 | 10002661 |
| Ginnie Mae II Pool 2% 7/1/2055 (l) | 4150000 | 3333734 |
| Ginnie Mae II Pool 2% 8/20/2051  | 325176 | 261368 |
| Ginnie Mae II Pool 2% 9/20/2050  | 1537728 | 1236948 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 94632 | 79345 |
| Ginnie Mae II Pool 2.5% 6/1/2055 (l) | 21850000 | 18311046 |
| Ginnie Mae II Pool 2.5% 6/20/2054  | 469875 | 393788 |
| Ginnie Mae II Pool 2.5% 7/1/2055 (l) | 13925000 | 11665272 |
| Ginnie Mae II Pool 3% 3/20/2050  | 532689 | 465342 |
| Ginnie Mae II Pool 3% 6/1/2055 (l) | 21050000 | 18345002 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 11640 | 10678 |
| Ginnie Mae II Pool 3.5% 10/20/2041  | 4913 | 4551 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 4019 | 3692 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 186848 | 173120 |
| Ginnie Mae II Pool 3.5% 11/20/2043  | 4404 | 4045 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 2274 | 2114 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 153571 | 141698 |
| Ginnie Mae II Pool 3.5% 2/20/2044  | 2374 | 2177 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 116971 | 107898 |
| Ginnie Mae II Pool 3.5% 3/20/2044  | 2408 | 2209 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 187395 | 172812 |
| Ginnie Mae II Pool 3.5% 4/20/2044  | 2213 | 2029 |
| Ginnie Mae II Pool 3.5% 4/20/2046  | 12471 | 11243 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 31139 | 28586 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 23512 | 21175 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 6008 | 5411 |
| Ginnie Mae II Pool 3.5% 6/1/2055 (l) | 11425000 | 10169286 |
| Ginnie Mae II Pool 3.5% 7/1/2055 (l) | 8825000 | 7851948 |
| Ginnie Mae II Pool 3.5% 7/20/2043  | 5405 | 4982 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 10852 | 9995 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 5147 | 4779 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 29956 | 27522 |
| Ginnie Mae II Pool 4% 1/20/2041  | 773916 | 741848 |
| Ginnie Mae II Pool 4% 1/20/2046  | 19898 | 18613 |
| Ginnie Mae II Pool 4% 10/20/2040  | 313394 | 300486 |
| Ginnie Mae II Pool 4% 10/20/2041  | 366399 | 350513 |
| Ginnie Mae II Pool 4% 10/20/2045  | 3992 | 3740 |
| Ginnie Mae II Pool 4% 11/20/2040  | 176188 | 168909 |
| Ginnie Mae II Pool 4% 11/20/2044  | 425858 | 404021 |
| Ginnie Mae II Pool 4% 12/20/2040  | 2406 | 2307 |
| Ginnie Mae II Pool 4% 12/20/2044  | 11547 | 10955 |
| Ginnie Mae II Pool 4% 12/20/2045  | 25574 | 23923 |
| Ginnie Mae II Pool 4% 12/20/2054  | 1089005 | 998117 |
| Ginnie Mae II Pool 4% 2/20/2041  | 52335 | 50157 |
| Ginnie Mae II Pool 4% 3/20/2041  | 41468 | 39741 |
| Ginnie Mae II Pool 4% 6/1/2055 (l) | 2300000 | 2107919 |
| Ginnie Mae II Pool 4% 6/20/2045  | 1122518 | 1063626 |
| Ginnie Mae II Pool 4% 7/20/2033  | 6252 | 6102 |
| Ginnie Mae II Pool 4% 7/20/2044  | 62521 | 59367 |
| Ginnie Mae II Pool 4% 8/20/2041  | 7723 | 7390 |
| Ginnie Mae II Pool 4% 8/20/2043  | 22916 | 21804 |
| Ginnie Mae II Pool 4% 8/20/2044  | 27621 | 26223 |
| Ginnie Mae II Pool 4% 8/20/2045  | 274051 | 256788 |
| Ginnie Mae II Pool 4% 8/20/2048  | 1152306 | 1071079 |
| Ginnie Mae II Pool 4% 9/20/2040  | 243492 | 233451 |
| Ginnie Mae II Pool 4% 9/20/2045  | 3080 | 2886 |
| Ginnie Mae II Pool 4.5% 1/20/2045  | 2531 | 2455 |
| Ginnie Mae II Pool 4.5% 10/20/2044  | 2070 | 2008 |
| Ginnie Mae II Pool 4.5% 11/20/2039  | 1612 | 1587 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 125428 | 123370 |
| Ginnie Mae II Pool 4.5% 11/20/2041  | 1218 | 1197 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 9586206 | 9051944 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 100035 | 98380 |
| Ginnie Mae II Pool 4.5% 2/20/2042  | 1506 | 1480 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 9904 | 9740 |
| Ginnie Mae II Pool 4.5% 3/20/2046  | 3646 | 3573 |
| Ginnie Mae II Pool 4.5% 4/20/2035  | 6492 | 6417 |
| Ginnie Mae II Pool 4.5% 4/20/2055  | 105180 | 99318 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 10803 | 10630 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 133154 | 130932 |
| Ginnie Mae II Pool 4.5% 5/20/2042  | 9155 | 9003 |
| Ginnie Mae II Pool 4.5% 5/20/2046  | 3640 | 3532 |
| Ginnie Mae II Pool 4.5% 5/20/2055  | 494771 | 467196 |
| Ginnie Mae II Pool 4.5% 6/20/2035  | 1209 | 1194 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 5584 | 5490 |
| Ginnie Mae II Pool 4.5% 6/20/2043  | 1880 | 1849 |
| Ginnie Mae II Pool 4.5% 6/20/2044  | 2363 | 2318 |
| Ginnie Mae II Pool 4.5% 9/20/2039  | 3031 | 2984 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 54279 | 53395 |
| Ginnie Mae II Pool 4.5% 9/20/2046  | 2627 | 2579 |
| Ginnie Mae II Pool 5% 1/20/2055  | 10581551 | 10271726 |
| Ginnie Mae II Pool 5% 12/20/2054  | 864669 | 839352 |
| Ginnie Mae II Pool 5% 12/20/2054  | 824770 | 801781 |
| Ginnie Mae II Pool 5% 6/1/2055 (l) | 2950000 | 2862475 |
| Ginnie Mae II Pool 5.5% 1/20/2055  | 856314 | 854994 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 1044584 | 1045585 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 297559 | 295682 |
| Ginnie Mae II Pool 5.5% 6/1/2055 (l) | 7150000 | 7100962 |
| Ginnie Mae II Pool 5.5% 7/1/2055 (l) | 7150000 | 7094259 |
| Ginnie Mae II Pool 6% 1/20/2055  | 1135841 | 1147742 |
| Ginnie Mae II Pool 6% 12/20/2054  | 2266570 | 2292443 |
| Ginnie Mae II Pool 6% 6/1/2055 (l) | 29150000 | 29433129 |
| Ginnie Mae II Pool 6% 7/1/2055 (l) | 29150000 | 29388719 |
| Ginnie Mae II Pool 6.5% 6/1/2055 (l) | 3600000 | 3676981 |
| Ginnie Mae II Pool 6.5% 7/1/2055 (l) | 3600000 | 3674450 |
| Ginnie Mae II Pool 7% 2/20/2032  | 6881 | 7140 |
| Ginnie Mae II Pool 7% 3/20/2032  | 3454 | 3586 |
| Uniform Mortgage Backed Securities 2% 6/1/2055 (l) | 75850000 | 58958554 |
| Uniform Mortgage Backed Securities 2% 7/1/2055 (l) | 51575000 | 40111647 |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 (l) | 14150000 | 11531695 |
| Uniform Mortgage Backed Securities 3% 6/1/2055 (l) | 3600000 | 3064498 |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 (l) | 8850000 | 7850223 |
| Uniform Mortgage Backed Securities 3.5% 7/1/2055 (l) | 3175000 | 2815702 |
| Uniform Mortgage Backed Securities 4% 6/1/2055 (l) | 2300000 | 2108811 |
| Uniform Mortgage Backed Securities 4.5% 7/1/2055 (l) | 3000000 | 2829611 |
| Uniform Mortgage Backed Securities 5% 6/1/2055 (l) | 8000000 | 7745935 |
| Uniform Mortgage Backed Securities 5.5% 6/1/2055 (l) | 4600000 | 4555441 |
| Uniform Mortgage Backed Securities 6% 6/1/2055 (l) | 29925000 | 30225420 |
| Uniform Mortgage Backed Securities 6% 7/1/2055 (l) | 6975000 | 7036032 |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 (l) | 8950000 | 9190527 |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 (l) | 2600000 | 2667436 |
| TOTAL UNITED STATES |  | 798099280 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $822,154,073) |  | <br> **798099280** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 4.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.6%** |
|  | Yield (%) (m) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 4.625% 11/15/2044  | 4.61 to 4.88 | 9300000 | 8932359 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.58 to 2.63 | 2624887 | 2497454 |
| US Treasury Notes 3.75% 4/15/2028  | 3.69 | 4450000 | 4435746 |
| US Treasury Notes 3.875% 8/15/2034  | 3.66 to 3.85 | 6750000 | 6501542 |
| US Treasury Notes 4.125% 3/31/2031  | 4.65 | 890000 | 892538 |
| US Treasury Notes 4.5% 5/31/2029  | 4.28 | 210000 | 214446 |
| US Treasury Notes 4.75% 2/15/2045  | 4.42 to 4.97 | 4960000 | 4841425 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $28,989,982) |  |  | **28315510** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.6%** | &nbsp;&nbsp;**Money Market Funds - 2.6%** | &nbsp;&nbsp;**Money Market Funds - 2.6%** | &nbsp;&nbsp;**Money Market Funds - 2.6%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (n)<br>(Cost $16,116,188)<br>| 4.32 | 16113050 | **16116273** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** | &nbsp;&nbsp;**Purchased Swaptions - 0.2%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.2% |  |  |  |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 3.753% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 10/31/29 | 4600000 | 202428 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.805% and receive annually a floating rate based on US SOFR Index, expiring November 2034 | 11/05/29 | 3900000 | 167975 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.07% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/19/29 | 2660000 | 103152 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring December 2034 | 12/20/29 | 2000000 | 79769 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.9025% and receive annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/26 | 2040000 | 61300 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.065% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/02/30 | 790000 | 32207 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.01% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 5/07/30 | 1900000 | 79441 |
| TOTAL PUT SWAPTIONS |  |  | 726272 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 3.753% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 10/31/29 | 4600000 | 143845 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.805% and pay annually a floating rate based on US SOFR Index, expiring November 2034 | 11/05/29 | 3900000 | 125873 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.07% and pay annually a floating rate based on US SOFR Index, expiring December 2034 | 12/19/29 | 2660000 | 99972 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on the US SOFR Index, expiring December 2034 | 12/20/29 | 2000000 | 72659 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.9025% and pay annually a floating rate based on US SOFR Index, expiring April 2036 | 4/14/26 | 2040000 | 66029 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.065% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/02/30 | 790000 | 29701 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.01% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 5/07/30 | 1900000 | 69417 |
| TOTAL CALL SWAPTIONS |  |  | 607496 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $1,415,157) |  |  | <br> **1333768** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 159.8%**<br> (Cost $1,000,872,061)<br>| <br>**975108179** |
| **NET OTHER ASSETS (LIABILITIES) - (59.8)%**  | **(364939642)** |
| **NET ASSETS - 100.0%** | **610168537** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 2% 6/1/2055 | (4150000) | (3334220) |
| Ginnie Mae II Pool 2.5% 6/1/2055 | (13925000) | (11669626) |
| Ginnie Mae II Pool 3.5% 6/1/2055 | (8825000) | (7855050) |
| Ginnie Mae II Pool 5% 6/1/2055 | (2450000) | (2377310) |
| Ginnie Mae II Pool 5.5% 6/1/2055 | (7150000) | (7100962) |
| Ginnie Mae II Pool 6% 6/1/2055 | (29150000) | (29433129) |
| Ginnie Mae II Pool 6.5% 6/1/2055 | (3600000) | (3676981) |
| Uniform Mortgage Backed Securities 2% 6/1/2055 | (62750000) | (48775864) |
| Uniform Mortgage Backed Securities 2.5% 6/1/2055 | (3200000) | (2607875) |
| Uniform Mortgage Backed Securities 3% 6/1/2055 | (2200000) | (1872748) |
| Uniform Mortgage Backed Securities 3.5% 6/1/2055 | (6975000) | (6187040) |
| Uniform Mortgage Backed Securities 4% 6/1/2055 | (2300000) | (2108811) |
| Uniform Mortgage Backed Securities 5% 6/1/2055 | (2600000) | (2517429) |
| Uniform Mortgage Backed Securities 5.5% 6/1/2055 | (4600000) | (4555441) |
| Uniform Mortgage Backed Securities 6% 6/1/2055 | (29925000) | (30225420) |
| Uniform Mortgage Backed Securities 6% 7/1/2055 | (4775000) | (4816782) |
| Uniform Mortgage Backed Securities 6.5% 6/1/2055 | (8900000) | (9139183) |
| Uniform Mortgage Backed Securities 6.5% 7/1/2055 | (2300000) | (2359655) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (180613526) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $180,421,247) |  | <br> **(180613526)** |

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** | &nbsp;&nbsp;**Written Swaptions** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions |  |  |  |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.63% and pay annually a floating rate based on US SOFR Index, expiring November 2035 | 10/30/25 | 4100000 | (129642) |
| Call Swaptions |  |  |  |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.63% and receive annually a floating rate based on US SOFR Index, expiring November 2035 | 10/30/25 | 4100000 | (55516) |
| **TOTAL WRITTEN SWAPTIONS** |  |  | **(185158)** |

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---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 2 Year US Treasury Note Contracts (United States) | 210 | Sep 2025 | 43578281 | 82255 | 82255 |
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 10 Year US Treasury Bond Contracts (United States) | 312 | Sep 2025 | 34602750 | (428423) | (428423) |
| CBOT 5 Year US Treasury Note Contracts (United States) | 68 | Sep 2025 | 7364719 | (50689) | (50689) |
| CBOT US Treasury Long Bond Contracts (United States) | 19 | Sep 2025 | 2149375 | (51396) | (51396) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 1 | Sep 2025 | 116281 | (1099) | (1099) |
| TOTAL SOLD |  |  |  |  | (531607) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(449352)** |
| The notional amount of futures purchased as a percentage of Net Assets is 7.1% | The notional amount of futures purchased as a percentage of Net Assets is 7.1% | The notional amount of futures purchased as a percentage of Net Assets is 7.1% | The notional amount of futures purchased as a percentage of Net Assets is 7.1% | The notional amount of futures purchased as a percentage of Net Assets is 7.1% | The notional amount of futures purchased as a percentage of Net Assets is 7.1% |
| The notional amount of futures sold as a percentage of Net Assets is 7.3% | The notional amount of futures sold as a percentage of Net Assets is 7.3% | The notional amount of futures sold as a percentage of Net Assets is 7.3% | The notional amount of futures sold as a percentage of Net Assets is 7.3% | The notional amount of futures sold as a percentage of Net Assets is 7.3% | The notional amount of futures sold as a percentage of Net Assets is 7.3% |

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(1) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index |  | Dec 2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 760000 | (1384) | (11905) | (13289) |
| CMBX AAA Series 13 Index |  | Dec 2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 1620000 | (2950) | (17038) | (19988) |
| CMBX AAA Series 13 Index |  | Dec 2072 | Merrill Lynch Capital Services Inc | (0.5%) | Monthly | 720000 | (1311) | (11744) | (13055) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 350000 | 59675 | (83500) | (23825) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 360000 | 61380 | (85566) | (24186) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 270000 | 46035 | (66648) | (20613) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 80000 | 13640 | (20529) | (6889) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 250000 | 42625 | (64186) | (21561) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 350000 | 59675 | (98649) | (38974) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 130000 | 22165 | (36255) | (14090) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 70000 | 11935 | (15248) | (3313) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 140000 | 23870 | (34983) | (11113) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 30000 | 5115 | (8049) | (2934) |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 90000 | 15345 | (20215) | (4870) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 13019 | (15798) | (2779) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 100000 | 13019 | (13943) | (924) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Goldman Sachs & Co LLC | (3%) | Monthly | 100000 | 13019 | (12031) | 988 |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Goldman Sachs & Co LLC | (3%) | Monthly | 150000 | 19529 | (18933) | 596 |
| CMBX BBB- Series 16 Index |  | Apr 2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 100000 | 17050 | (15365) | 1685 |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Goldman Sachs & Co LLC | (3%) | Monthly | 100000 | 13019 | (11411) | 1608 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 500000 | 38218 | (19155) | 19063 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 7644 | (3942) | 3702 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 200000 | 15287 | (7766) | 7521 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 600000 | 45861 | (21887) | 23974 |
| CMBX BB Series 18 Index |  | Dec 2057 | JPMorgan Securities LLC | (5%) | Monthly | 200000 | 25505 | (13354) | 12151 |
| CMBX BB Series 18 Index |  | Dec 2057 | JPMorgan Securities LLC | (5%) | Monthly | 100000 | 12752 | (7148) | 5604 |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 13019 | (12585) | 434 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | JPMorgan Securities LLC | (3%) | Monthly | 100000 | 7644 | (4971) | 2673 |
| CMBX BBB Series 15 Index |  | Nov 2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 100000 | 16546 | (16044) | 502 |
| CMBX BBB- Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 400000 | 30574 | (42833) | (12259) |
| CMBX BB Series 18 Index |  | Dec 2057 | Goldman Sachs & Co LLC | (5%) | Monthly | 100000 | 12752 | (14949) | (2197) |
| CMBX BB Series 18 Index |  | Dec 2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly | 50000 | 6376 | (7381) | (1005) |
| CMBX BBB- Series 17 Index |  | Dec 2056 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 400000 | 52077 | (58342) | (6265) |
| CMBX AAA Series 18 Index |  | Dec 2057 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 600000 | 1023 | (1122) | (99) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  | 729748 | (893475) | (163727) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | Dec 2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 3100000 | 5644 | 70760 | 76404 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 700000 | (12255) | 17178 | 4923 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 2400000 | (42018) | 48142 | 6124 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 300000 | (5252) | 4729 | (523) |
| CMBX AAA Series 15 Index | NR | Nov 2064 | Goldman Sachs & Co LLC | 0.5% | Monthly | 500000 | (2888) | 3782 | 894 |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 2000000 | (35015) | 26904 | (8111) |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 200000 | (3501) | 2585 | (916) |
| CMBX AAA Series 17 Index | NR | Dec 2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 400000 | (7003) | 12303 | 5300 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | (102288) | 186383 | 84095 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **627460** | **(707092)** | **(79632)** |

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

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

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

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2027 | 34128000 | 11909 | 0 | 11909 |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | Jun 2045 | 10900000 | 208211 | 0 | 208211 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2029 | 15397000 | 82531 | 0 | 82531 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2030 | 5931000 | 22544 | 0 | 22544 |
| U.S. SOFR Index(4) | Annual | 3.25% | Annual | LCH | Jun 2028 | 41153000 | (29094) | 0 | (29094) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **296101** | **0** | **296101** |

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

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

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

(4)Represents floating rate.

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $53,924,984 or 8.8% of net assets.

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

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

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

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

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

(h) Level 3 security

(i) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $2,968,854.

(j) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $953,525.

(k) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $950,087.

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

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

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

**Affiliated Central Funds**

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

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 84084107 | 192474655 | 260442489 | 1916002 | - | - | 16116273 | 16113050 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | - | 41930261 | 41930261 | 1174 | - | - | - | - | 0.0% |
| Total | 84084107 | 234404916 | 302372750 | 1917176 | - | - | 16116273 |  |  |

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

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

**Investment Valuation**

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

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

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

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

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

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

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

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

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

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

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

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

**Derivative Instruments**

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

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

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

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

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

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

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

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

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

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

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

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

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

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

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

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

A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.

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

Open swaps at period end are included in the Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.

**Credit Risk**

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

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

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Advisor Series II

- **b. Investment Company Act file number:** 811-04707

- **c. CIK number of Registrant:** 0000795422

- **d. LEI of Registrant:** EIVUM2R16VT371T5KS40

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Fidelity Advisor Mortgage Securities Fund

- **b. EDGAR series identifier (if any):** S000005133

- **c. LEI of Series:** WIIX6BNCF8B12FQGCD90

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1180419371.13

**Total Liabilities:** $571961871.88

**Net Assets:** $608457499.25

**Delayed Delivery Securities:** $354473542.59

**Cash Not Reported:** $75583.80

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 2690.12610290 | **1-Year:** 45074.06270560 | **5-Year:** 90983.64053374 | **10-Year:** 138736.27854129 | **30-Year:** 37953.36436839

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

- **3-Month:** 25.17054195 | **1-Year:** 453.86641881 | **5-Year:** 513.90323246 | **10-Year:** 293.75269355 | **30-Year:** 4.46825054

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000014045 | -0.10%               | 0.21%                | -0.90%               |
| Class ID C000014046 | 0.02%                | 0.22%                | -0.89%               |
| Class ID C000014129 | 0.03%                | 0.13%                | -0.87%               |
| Class ID C000014042 | -0.10%               | 0.21%                | -0.90%               |
| Class ID C000204997 | 0.04%                | 0.24%                | -0.87%               |
| Class ID C000014044 | -0.07%               | 0.04%                | -0.98%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3032839.36              | $-4880647.14                               |
| Month 2  | $423406.78               | $-188658.32                                |
| Month 3  | $-1391334.37             | $-7213827.52                               |

**Designated Index Information**

- **Index Name:** Bloomberg US MBS Index

- **Index Identifier:** 19808147

### 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 GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 01/01/2032#AS8602                                                 | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154375 | PA      | $147726.85    | 0.02%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/51#BT1461                                                        | CUSIP: 3140LPTT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    114430 | PA      | $90363.10     | 0.01%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+125 10/25/2054                            | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    691828 | PA      | $690530.80    | 0.11%             | 2054-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 05/20/2046#AS9175                                                   | CUSIP: 36193VFQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23512 | PA      | $21175.23     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 6/40 #745127                                                          | CUSIP: 3620C0YY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17905 | PA      | $17592.90     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 56 FC SOFR30A+150 11/25/2053                      | CUSIP: 3136BQNC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    251307 | PA      | $253002.18    | 0.04%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES 2023-3 OWNER TR                      | HONDA AUTO RECEIVABLES 2023-3 OWNER TR 5.41% 02/18/2028                          | CUSIP: 43815QAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    559539 | PA      | $562958.38    | 0.09%             | 2028-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 04/01/2032#J36710                                                   | CUSIP: 31307TN31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4638 | PA      | $4504.73      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                     | BX COML MTG TR 2024-XL4 A TSFR1M+144.203 02/15/2039 144A                         | CUSIP: 05611VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1198863 | PA      | $1200360.56   | 0.20%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                  | J P MORGAN CHASE COML MTG SECS TR 2018-WPT 4.248% 07/05/2033 144A                | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    455259 | PA      | $431441.94    | 0.07%             | 2033-07-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 4/42 #AK9019                                                          | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     46035 | PA      | $43797.98     | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 07/35#CA6242                                                        | CUSIP: 3140QD5C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8383640 | PA      | $7644091.39   | 1.26%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2.5% 11/01/2031#ZS8629                                                 | CUSIP: 3132A9SS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129446 | PA      | $123922.65    | 0.02%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 11/27 #437435                                                         | CUSIP: 36207N4U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        68 | PA      | $69.17        | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 10/41 #479607                                                         | CUSIP: 36209RYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     38217 | PA      | $36648.43     | 0.01%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2018-5                                       | TOWD PT MTG TR 2018-5 3.25% 07/25/2058 144A                                      | CUSIP: 89176VAK8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1231696 | PA      | $1214024.92   | 0.20%             | 2058-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 6.182% 6/37 #848188                                                     | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     50772 | PA      | $52180.37     | 0.01%             | 2037-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                 | BAMLL COML MTG SECS TR 2019 3.112% 11/05/2032 144A                               | CUSIP: 05492PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    207055 | PA      | $197126.99    | 0.03%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 5YR NOTE (CBT) FUT SEP25 FVU5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -68 | NC      | $-50689.25    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 10/41 #005203                                                      | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    366399 | PA      | $350512.67    | 0.06%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 05/01/2043#Q18136                                                 | CUSIP: 3132J9PW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1878 | PA      | $1779.43      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.25% MAC 06/18/30                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -5931000 | NC      | $22543.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 09/01/2049#CA4142                                                   | CUSIP: 3140QBS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    886554 | PA      | $769105.08    | 0.13%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 07/01/2055 #TBA                                                     | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8825000 | PA      | $7851947.56   | 1.29%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 10/01/2042#Q12164                                                 | CUSIP: 3132HNMM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7701 | PA      | $7320.26      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 01/01/2055#SL0307                                                 | CUSIP: 31427MKV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1498594 | PA      | $1503715.01   | 0.25%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#CB3037                                                   | CUSIP: 3140QNLT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215848 | PA      | $169642.18    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 09/01/2042#ZS3589                                                 | CUSIP: 3132A37A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    363338 | PA      | $336262.77    | 0.06%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 10/41 #479494                                                         | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    141912 | PA      | $135819.15    | 0.02%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 11/40 #004853                                                      | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176188 | PA      | $168908.84    | 0.03%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 4.87% 1/35 #735833                                                      | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1584 | PA      | $1627.14      | 0.00%             | 2035-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                | ARI FLEET LEASE TRUST 2025-A 4.38% 01/17/2034 144A                               | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    130000 | PA      | $129389.17    | 0.02%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP 04/17/65 B                                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    350000 | NC      | $59674.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6% 06/01/2053#RA9277                                                   | CUSIP: 3133KRJW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    488585 | PA      | $498172.53    | 0.08%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 10/42 #AP7148                                                         | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16568 | PA      | $15342.96     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 06/01/2047#ZM3411                                                   | CUSIP: 3131XWYG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92837 | PA      | $86670.09     | 0.01%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6% 09/01/2053#RA9856                                                   | CUSIP: 3133KR5R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    442383 | PA      | $451064.31    | 0.07%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    400000 | NC      | $-7002.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2015-GC34                                    | GS MORTGAGE SECURITIES TRUST 2015-GC34 XA CSTR 10/10/2048                        | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |   3498398 | PA      | $222.50       | 0.00%             | 2048-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/20/2046#AR9310                                                   | CUSIP: 36193GKX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5475 | PA      | $4932.95      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 03/01/2048#BJ4970                                                   | CUSIP: 3140H6QY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    106135 | PA      | $98919.76     | 0.02%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     70000 | NC      | $11934.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+648.552 02/15/2036                        | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     10396 | PA      | $935.93       | 0.00%             | 2036-02-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 03/01/2051#SD2903                                                   | CUSIP: 3132DQGL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1165973 | PA      | $914919.54    | 0.15%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 6/41 #757631                                                          | CUSIP: 36230SPQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6598 | PA      | $6311.26      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                   | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    149108 | PA      | $131487.92    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3.5% 11/01/2033#G16677                                                 | CUSIP: 3128MFUA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    291085 | PA      | $281760.10    | 0.05%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #745236                                                          | CUSIP: 3620C04V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57401 | PA      | $56421.85     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.5% 02/15/2043#796369                                                 | CUSIP: 36177RCF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    214108 | PA      | $198098.60    | 0.03%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 11/01/2050#SD7530                                                 | CUSIP: 3132DVLK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3877561 | PA      | $3214108.11   | 0.53%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 4/42 #G06973                                                          | CUSIP: 3128M9CJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    518608 | PA      | $493174.05    | 0.08%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                          | AVIS BUDGET RENTCAR FDG AE LLC 5.12% 08/20/2031 144A                             | CUSIP: 05377RKQ6<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |   1010000 | PA      | $1012908.60   | 0.17%             | 2031-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 7% 2/32 #003202                                                          | CUSIP: 36202DRX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6881 | PA      | $7139.90      | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 6.39% 12/36 #1J1448                                                     | CUSIP: 3128NHTD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14850 | PA      | $15469.92     | 0.00%             | 2036-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 4/42 #AK8228                                                          | CUSIP: 3138EDEA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97128 | PA      | $92400.57     | 0.02%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 07/01/2041#SC0370                                                 | CUSIP: 3132D9MT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1537622 | PA      | $1360292.53   | 0.22%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 07/01/2032#G31067                                                 | CUSIP: 3132J4MR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     92037 | PA      | $89846.73     | 0.01%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 9/39 #004540                                                       | CUSIP: 36202FBH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3031 | PA      | $2984.28      | 0.00%             | 2039-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 10/40 #751249                                                         | CUSIP: 36230KL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3403 | PA      | $3270.44      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                            | WELLS FARGO COML MTG TR 2018-C46 XA CSTR 08/15/2051                              | CUSIP: 95001QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3657728 | PA      | $70549.89     | 0.01%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK25                                             | BANK 20-BNK25 XB CSTR 01/15/2063                                                 | CUSIP: 06539WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7140322 | PA      | $129451.90    | 0.02%             | 2063-01-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 10/01/2048#CA2432                                                 | CUSIP: 3140Q9V26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    794987 | PA      | $762896.68    | 0.13%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 10/01/2051#FM9049                                                   | CUSIP: 3140XDBT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    867775 | PA      | $748339.00    | 0.12%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 10/01/2051#RA5998                                                   | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1168661 | PA      | $1005986.74   | 0.17%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNR 2004-32 GS 650-1ML 5/34                                                      | CUSIP: 38374GZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     29336 | PA      | $1903.27      | 0.00%             | 2034-05-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 11/01/2041#SC0210                                                 | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2958378 | PA      | $2598585.78   | 0.43%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2015-1R                                            | CSMC SER 2015-1R TSFR1M+39.448 05/27/2037 144A                                   | CUSIP: 12649MBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     77050 | PA      | $76316.45     | 0.01%             | 2037-05-27      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.50% 11/27 #780834                                                         | CUSIP: 36225A4T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       571 | PA      | $579.01       | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 06/01/2055 #TBA                                                     | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -8825000 | PA      | $-7855050.43  | -1.29%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 11/01/2053#RJ0189                                                   | CUSIP: 3142GQF72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171749 | PA      | $175012.39    | 0.03%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.5% 03/15/2043#AD0818                                                 | CUSIP: 36180B4B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146403 | PA      | $135770.89    | 0.02%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 11/01/2035#QN4142                                                 | CUSIP: 3133GAS72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16350 | PA      | $14420.34     | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 03/15/2041#763058                                                 | CUSIP: 36176DQK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     58915 | PA      | $56972.07     | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 2/42 #Q06088                                                          | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28744 | PA      | $27433.04     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2017-30 AI 5.5% 05/47                                                        | CUSIP: 3136AWQD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     92267 | PA      | $13220.36     | 0.00%             | 2047-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 12/20/2051#785805                                                   | CUSIP: 3622ABKS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    781836 | PA      | $649674.80    | 0.11%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.5% 06/15/2041#366975                                                 | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    293969 | PA      | $288495.78    | 0.05%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 5/39 #698329                                                          | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2126 | PA      | $2091.21      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2018-WPT                  | JPMCC 2018-WPT XAFX CSTR 07/23 144A                                              | CUSIP: 46645WAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3909453 | PA      | $47468.97     | 0.01%             | 2033-07-05      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 01/15/2043#AC9441                                                   | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17816 | PA      | $17015.62     | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 09/46#Q43257                                                      | CUSIP: 3132WGTP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29094 | PA      | $26477.44     | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 11/01/2052#CB5124                                                 | CUSIP: 3140QQVS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1455646 | PA      | $1378123.44   | 0.23%             | 2052-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 08/15/43#AF5070                                                   | CUSIP: 36181LT32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3749 | PA      | $3581.12      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2010-135 ZA 4.5% 12/40                                                       | CUSIP: 31398SE82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     23973 | PA      | $22916.48     | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 08/01/2052#                                                         | CUSIP: 3140N0PL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    848134 | PA      | $786033.30    | 0.13%             | 2052-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 08/01/2041#AI7563                                                 | CUSIP: 3138AMMM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7829 | PA      | $7691.19      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2051#FM9568                                                   | CUSIP: 3140XDT22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2385485 | PA      | $1888250.30   | 0.31%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 8.00% 3/37 #922475                                                          | CUSIP: 31412D2G2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4736 | PA      | $5028.68      | 0.00%             | 2037-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.0% 02/01/2043#Q15789                                                 | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27172 | PA      | $24661.66     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DLLAD 2023-1A                                               | DLLAD 2023-1A 4.79% 01/20/2028 144A                                              | CUSIP: 233258AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    466148 | PA      | $466840.82    | 0.08%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 6.25% 6/36 #886983                                                      | CUSIP: 31410EM88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       627 | PA      | $641.50       | 0.00%             | 2036-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 09/01/2043#Q21524                                                 | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3305 | PA      | $3145.57      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 01/01/2044#Q24349                                                 | CUSIP: 3132M4QA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23922 | PA      | $22642.69     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2.55% 09/25/2046                                  | CUSIP: 3136AWGE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    682332 | PA      | $621067.84    | 0.10%             | 2046-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 10/01/2047#ZM4388                                                 | CUSIP: 3131XX2V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7453 | PA      | $6783.32      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 10/42 #AP6486                                                         | CUSIP: 3138MAF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5789 | PA      | $5344.85      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 03/01/2052#FS0840                                                   | CUSIP: 3140XF5A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    167935 | PA      | $144296.34    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 3/40 #678658                                                          | CUSIP: 36295R5T1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13774 | PA      | $13213.95     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HONDA AUTO RECEIVABLES OWNER TRUS                           | HONDA AUTO RECEIVABLES OWNER TRUS 4.53% 08/23/2027                               | CUSIP: 43814VAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1300000 | PA      | $1300810.81   | 0.21%             | 2027-08-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 03/01/2051#QC0031                                                 | CUSIP: 3133AJA86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31448 | PA      | $23545.82     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 7/27 #250990                                                          | CUSIP: 31371FXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         6 | PA      | $5.65         | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 4/42 #Q07441                                                          | CUSIP: 3132GSS67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11183 | PA      | $10618.90     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 12/01/2052#SD2175                                                   | CUSIP: 3132DPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    224681 | PA      | $220020.53    | 0.04%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2017                                | WELLS FARGO COML MTG TR 2017 C42 XA CSTR 12/15/2050                              | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6882054 | PA      | $120555.69    | 0.02%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 427 LI 3.5% 02/15/2034                            | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     55537 | PA      | $2000.85      | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 02/01/2046#BM5199                                                 | CUSIP: 3140J9X55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181732 | PA      | $178571.05    | 0.03%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 11/01/2051#QD1240                                                   | CUSIP: 3133AXLV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18614 | PA      | $15994.13     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2050#CA5122                                                   | CUSIP: 3140QCVQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537439 | PA      | $465400.56    | 0.08%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 7/40 #743101                                                          | CUSIP: 3620AXRW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2263 | PA      | $2272.87      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3415 PC 5% 12/37                                                             | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     11382 | PA      | $11430.89     | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 3.5% 06/01/2055 #TBA                                                   | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -6975000 | PA      | $-6187039.83  | -1.02%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG BACKED SECS 2003-I TR                       | WELLS FARGO MORTGAGE BACKED SECURITIES 2003-I TRUST VAR 09/25/2033               | CUSIP: 949802AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21729 | PA      | $21470.59     | 0.00%             | 2033-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 2/41 #A96807                                                          | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198171 | PA      | $189433.39    | 0.03%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 12/01/2040#FM5042                                                   | CUSIP: 3140X8S81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144176 | PA      | $123290.18    | 0.02%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FORD CR FLOORPLN MAST OWN TR A                              | FORD CR FLOORPLN MAST OWN TR A 4.92% 05/15/2028 144A                             | CUSIP: 34528QHV9<br>LEI: 5493001DTG5N7T8BG747 | Long             | ABS-CBDO         | CORP              | US        |   5100000 | PA      | $5116089.48   | 0.84%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 03/15/2042#796180                                                   | CUSIP: 36177Q2N2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7697 | PA      | $7353.50      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 12/20/2054#MB0093                                                     | CUSIP: 3618N5C72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2266570 | PA      | $2292442.96   | 0.38%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 8/26 #C90997                                                     | CUSIP: 3128P7DA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1553 | PA      | $1562.38      | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 7/29 #487563                                                          | CUSIP: 36210BTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4813 | PA      | $4969.77      | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MSRM 2025-NQM3                                              | MSRM 2025-NQM3 VAR 05/25/2070 144A                                               | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    987000 | PA      | $988035.86    | 0.16%             | 2070-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 02/01/2033#SB0621                                                   | CUSIP: 3132CWVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27313 | PA      | $26561.70     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 07/01/2041#AH5464                                                 | CUSIP: 3138A7CA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8279 | PA      | $8113.25      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 4.065 05/02/30                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    790000 | NC      | $32206.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2050#FM2439                                                   | CUSIP: 3140X5V91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1495870 | PA      | $1298166.83   | 0.21%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 3% 06/01/2038#FM5783                                                   | CUSIP: 3140X9M93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22004 | PA      | $20697.54     | 0.00%             | 2038-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 09/20/2046#MA3939                                                   | CUSIP: 36179SLU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2627 | PA      | $2579.41      | 0.00%             | 2046-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.50% 9/39 #710868                                                          | CUSIP: 36297FW57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51283 | PA      | $52315.15     | 0.01%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                          | PRPM 2024-RCF3 LLC 4% 05/25/2054 144A                                            | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    699992 | PA      | $681035.70    | 0.11%             | 2054-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 9/40 #737442                                                          | CUSIP: 3620ARHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3564 | PA      | $3424.04      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+632.552 05/25/2037                        | CUSIP: 31396VYS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      7651 | PA      | $838.38       | 0.00%             | 2037-05-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 01/15/2042#794559                                                   | CUSIP: 36177PB53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5224 | PA      | $5009.71      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 06/01/2054#CB8729                                                 | CUSIP: 3140QUVX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    635015 | PA      | $652790.20    | 0.11%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 11/01/2042#Q13425                                                 | CUSIP: 3132HPYW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22431 | PA      | $21279.47     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 03/15/2042#773367                                                 | CUSIP: 36176Q6C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14470 | PA      | $13848.83     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 03/01/2041#MA4287                                                   | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16592 | PA      | $14088.43     | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 12/01/2039#                                                       | CUSIP: 312938BB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5744 | PA      | $5653.59      | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 04/01/2036#FM9743                                                 | CUSIP: 3140XDZH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152760 | PA      | $146242.20    | 0.02%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                            | CUSIP: 3137HJEZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    589043 | PA      | $587333.93    | 0.10%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4% 02/15/2047                                     | CUSIP: 3137FCYM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     88930 | PA      | $86990.37     | 0.01%             | 2047-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2020-GC45                                    | GS MTG SECS TR 2020-GC45 2.8428% 02/13/2053                                      | CUSIP: 36258YBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278941 | PA      | $268277.82    | 0.04%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 02/01/2052#CB2906                                                 | CUSIP: 3140QNGQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201814 | PA      | $180457.82    | 0.03%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                   | CUSIP: 3137H5J24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    172528 | PA      | $147805.10    | 0.02%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 04/01/2054#                                                         | CUSIP: 3140QUH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1349663 | PA      | $1366024.90   | 0.22%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 10/01/2054#CB9365                                                 | CUSIP: 3140QVMP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1165519 | PA      | $1156754.12   | 0.19%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2020-2                            | RMF BUYOUT ISSUANCE TRUST 2020-2 1.7188% 10/25/2050 144A                         | CUSIP: 76971EAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    248552 | PA      | $229480.55    | 0.04%             | 2050-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2047#BJ0197                                                   | CUSIP: 3140H1GF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6542 | PA      | $6137.90      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 5/41 #005055                                                       | CUSIP: 36202FTL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    133154 | PA      | $130932.49    | 0.02%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 05/01/2036#QN6387                                                 | CUSIP: 3133GDCY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1315158 | PA      | $1158319.59   | 0.19%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4% 06/01/2055 #TBA                                                     | CUSIP: 01F040669<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2300000 | PA      | $-2108811.35  | -0.35%            | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINL ISSUANCE TR 2020-2                             | ONEMAIN FINL ISSUANCE TR 2020-2 1.75% 09/14/2035 144A                            | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    885000 | PA      | $860785.78    | 0.14%             | 2035-09-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 05/01/2042#RB0806                                                 | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37168 | PA      | $32537.95     | 0.01%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 05/01/2051#CB0388                                                 | CUSIP: 3140QKNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    548290 | PA      | $451907.45    | 0.07%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENT CAR FDG AESOP LLC                          | AVIS BUDGET RENTCAR FDG AE LLC 4.8% 08/20/2029 144A                              | CUSIP: 05377RKL7<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-CBDO         | CORP              | US        |    345000 | PA      | $345363.70    | 0.06%             | 2029-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 3/42 #Q07242                                                          | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34194 | PA      | $32518.25     | 0.01%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #254383                                                          | CUSIP: 31371KRC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       829 | PA      | $882.87       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 2/41 #A96766                                                          | CUSIP: 312945QT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9394 | PA      | $9230.13      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 10/01/2053#SD8367                                                 | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187102 | PA      | $185636.34    | 0.03%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 01/01/2037#FS1654                                                 | CUSIP: 3140XGZU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1382402 | PA      | $1283687.54   | 0.21%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALA TRUST 2025-OANA                                         | ALA TRUST 2025-OANA A 6.04263% 06/15/2030 144A                                   | CUSIP: 009920AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1310000 | PA      | $1315486.54   | 0.22%             | 2030-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 02/20/2052#MA7880                                                     | CUSIP: 36179WXH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  16715287 | PA      | $13435324.55  | 2.21%             | 2052-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CZ030007 12/17/57 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $12752.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AS6967                                                   | CUSIP: 36193SW47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11705 | PA      | $10542.12     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 12/01/2042#C04320                                                   | CUSIP: 31292LYR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    244252 | PA      | $220689.02    | 0.04%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                                   | CUSIP: 3136A7HT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       316 | PA      | $4.27         | 0.00%             | 2027-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNR 2017-134 BA 2.5% 11/46                                                       | CUSIP: 38380GF25<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     33430 | PA      | $30097.72     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 11/01/2051#                                                       | CUSIP: 3132DWCP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117999 | PA      | $96592.41     | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6.5% 11/01/2054#RJ2828                                                 | CUSIP: 3142GTEA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212748 | PA      | $222160.44    | 0.04%             | 2054-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 04/01/2032#                                                       | CUSIP: 31287SCS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1074 | PA      | $1118.72      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5182 A 2.5% 10/25/2048                            | CUSIP: 3137H5BQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1247440 | PA      | $1082805.18   | 0.18%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 2/41 #A97152                                                          | CUSIP: 3129455M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19303 | PA      | $19002.33     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |     30000 | NC      | $5114.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 04/01/2052#CB3239                                                   | CUSIP: 3140QNS52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    896542 | PA      | $776368.21    | 0.13%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 1/29 #499333                                                          | CUSIP: 36210QV25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        46 | PA      | $46.22        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 06/01/2055 #TBA                                                     | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21850000 | PA      | $18311045.09  | 3.01%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 11/28 #C00680                                                         | CUSIP: 31292GXH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       761 | PA      | $773.52       | 0.00%             | 2028-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 09/01/2043#Q21255                                                 | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16106 | PA      | $15222.90     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 07/20/2044#MA2074                                                   | CUSIP: 36179QJT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62521 | PA      | $59367.29     | 0.01%             | 2044-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 03/01/2050#SD0517                                                   | CUSIP: 3132DMSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    601377 | PA      | $518701.00    | 0.09%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 06/01/2027#                                                       | CUSIP: 31292GSM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       280 | PA      | $286.40       | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 11/01/2041#QK1167                                                 | CUSIP: 3133D4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     83587 | PA      | $73449.57     | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 2/28 #462554                                                          | CUSIP: 36208VZT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       111 | PA      | $112.64       | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 5/29 #486378                                                          | CUSIP: 36210AJX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1025 | PA      | $1048.71      | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB15 LLC                                          | CFMT 2024-HB15 LLC VAR 08/25/2034 144A                                           | CUSIP: 15723AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     80011 | PA      | $79158.10     | 0.01%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 03/01/2041#A97673                                                 | CUSIP: 312946Q25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10043 | PA      | $9884.42      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2016-P4                               | CITIGROUP COML MTG TR 2016-P4 A4 2.902% 07/10/2049                               | CUSIP: 29429EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3644000 | PA      | $3552697.39   | 0.58%             | 2049-07-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 01/01/2036#MA4228                                                 | CUSIP: 31418DVW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1061309 | PA      | $936069.81    | 0.15%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.6% 01/25/2028                                   | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $983521.20    | 0.16%             | 2028-01-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-LBA                                                 | BX 2021-LBA TSFR1M+91.45 02/15/2036 144A                                         | CUSIP: 05609BCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $399750.00    | 0.07%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 3% 10/36#MA2773                                                        | CUSIP: 31418CCK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    830262 | PA      | $778648.33    | 0.13%             | 2036-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 12/15/2041#792596                                                   | CUSIP: 36177L3E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1641 | PA      | $1571.08      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 3.805 11/05/29                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3900000 | NC      | $125872.81    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP                                 | GSAMP 2004-AR1 B4 STEP 6/34                                                      | CUSIP: 36228F6Y7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10808 | PA      | $8406.74      | 0.00%             | 2034-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 11/42 #AQ0206                                                         | CUSIP: 3138MFGQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15286 | PA      | $14114.43     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 7/29 #510100                                                          | CUSIP: 36211DUZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        16 | PA      | $16.59        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 05/48#ZA5379                                                        | CUSIP: 31329N6Q6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    354889 | PA      | $330761.59    | 0.05%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.0% 07/01/2043#AB9858                                                 | CUSIP: 31417G5U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    603137 | PA      | $540977.60    | 0.09%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 04/01/2052#SL0413                                                 | CUSIP: 31427MN72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    432432 | PA      | $358172.23    | 0.06%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 3/26 #D96943                                                     | CUSIP: 3128E3WC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       426 | PA      | $427.41       | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 11/29 #509256                                                         | CUSIP: 36211CWR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       719 | PA      | $743.73       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 02/01/2032#                                                       | CUSIP: 31287PHP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76749 | PA      | $81549.15     | 0.01%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 11/01/2054#CB9500                                                   | CUSIP: 3140QVRW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118280 | PA      | $121302.87    | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 03/01/2041#MA4286                                                 | CUSIP: 31418DXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136213 | PA      | $112202.89    | 0.02%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 01/01/2051#FM7484                                                 | CUSIP: 3140XBJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1973927 | PA      | $1641738.63   | 0.27%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG 3237 C 5.5% 11/15/2036                                       | CUSIP: 31397CDM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     94846 | PA      | $96905.41     | 0.02%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 1.5% 05/01/2051#BT0518                                                 | CUSIP: 3140LNSG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     91521 | PA      | $67636.56     | 0.01%             | 2051-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 07/01/2033#                                                         | CUSIP: 3140JAUL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226799 | PA      | $218981.35    | 0.04%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 11/42 #AQ0170                                                         | CUSIP: 3138MFFL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14049 | PA      | $12946.50     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 6/28 #475419                                                          | CUSIP: 36209MDY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       517 | PA      | $522.47       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY885802 12/15/56 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    400000 | NC      | $52076.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 01/20/2055#MB0146                                                     | CUSIP: 3618N5EU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  10581551 | PA      | $10271726.41  | 1.69%             | 2055-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 12/28 #780977                                                         | CUSIP: 36225BCN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       552 | PA      | $559.40       | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 9/30 #535486                                                          | CUSIP: 31384V2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $95.86        | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 09/01/2053#CB7123                                                   | CUSIP: 3140QS4H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260133 | PA      | $265237.66    | 0.04%             | 2053-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 4/28 #465701                                                          | CUSIP: 36209AKN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       151 | PA      | $151.13       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2043#Q17646                                                 | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    282697 | PA      | $261413.18    | 0.04%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 10/15/2041#775540                                                   | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14181 | PA      | $13554.00     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 11/39 #704775                                                         | CUSIP: 36296X6L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33400 | PA      | $33560.49     | 0.01%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                       | ENTERPRISE FLEET FINANCING 2024-4 LLC 4.56% 11/20/2028 144A                      | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    355000 | PA      | $355489.44    | 0.06%             | 2028-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNR 2011-H13 FA TSFR1M+61.448 4/61                                               | CUSIP: 38375BLW0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      6554 | PA      | $6576.50      | 0.00%             | 2061-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.0% 06/15/2042#794507                                                 | CUSIP: 36177PAH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41332 | PA      | $37223.64     | 0.01%             | 2042-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    700000 | NC      | $-12255.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 08/15/2043#AD5682                                                   | CUSIP: 36180HJ33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5267 | PA      | $5012.00      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 9/41 #489861                                                          | CUSIP: 36210EFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4581 | PA      | $4377.94      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 02/01/2054#SD5078                                                 | CUSIP: 3132DSUB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5746299 | PA      | $5954731.66   | 0.98%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 11/01/2040#A95150                                                   | CUSIP: 312943WK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    479144 | PA      | $457467.04    | 0.08%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TR 2024-A                          | HYUNDAI AUTO RECEIVABLES TR 2024-A 4.99% 02/15/2029                              | CUSIP: 448973AD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    234000 | PA      | $235716.88    | 0.04%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2% 07/25/2050                                     | CUSIP: 3137FUAS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     68007 | PA      | $57012.98     | 0.01%             | 2050-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 3.50% 3/42 #733812                                                          | CUSIP: 3620AMGV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10333 | PA      | $9576.76      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS7527                                                   | CUSIP: 3140XPLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    366368 | PA      | $289428.95    | 0.05%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 11/01/2050#MA4184                                                   | CUSIP: 31418DUJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108360 | PA      | $93259.67     | 0.02%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 2.90% 5/34 #781630                                                      | CUSIP: 31349SY31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       315 | PA      | $320.39       | 0.00%             | 2034-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 01/01/2044#V80950                                                 | CUSIP: 3132L6BT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11815 | PA      | $11157.92     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 08/01/2047#ZM4038                                                 | CUSIP: 3131XXPX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22111 | PA      | $20123.35     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 06/01/2042#AB5379                                                 | CUSIP: 31417B6R3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14345 | PA      | $13297.51     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 06/01/2054#CB8711                                                   | CUSIP: 3140QUVD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1963540 | PA      | $1987344.10   | 0.33%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 02/01/45#C09071                                                   | CUSIP: 31292SCG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1360 | PA      | $1282.23      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 9/28 #468965                                                          | CUSIP: 36209D6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5159 | PA      | $5235.94      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 6/40 #733726                                                          | CUSIP: 3620AMD74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232542 | PA      | $233620.28    | 0.04%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2011-67 AI IO 4% 7/26                                                        | CUSIP: 31397U4B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       292 | PA      | $1.24         | 0.00%             | 2026-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEAC SOLUTIONS RECEIVABLES 2025-1 LLC                       | PEAC SOLUTIONS RECEIVABLES 2025-1 LLC 4.94% 10/20/2028 144A                      | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    245000 | PA      | $245303.04    | 0.04%             | 2028-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 02/01/2035#                                                         | CUSIP: 3140XC4X3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     38350 | PA      | $37295.42     | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 12/20/2054#787773                                                     | CUSIP: 3622ADQ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    824770 | PA      | $801780.53    | 0.13%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GOVERNMENT NAT MTG AS REMIC PT 2016-69 WA 3% 02/20/2046                          | CUSIP: 38379WN73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     90987 | PA      | $82919.17     | 0.01%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 10/01/2050#SD0450                                                 | CUSIP: 3132DMQB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1153011 | PA      | $955009.61    | 0.16%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-1 LLC                            | ENTERPRISE FLEET FING 2023-1 LLC 5.51% 01/22/2029 144A                           | CUSIP: 29375CAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1056974 | PA      | $1060235.10   | 0.17%             | 2029-01-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 4.5% 05/20/2041#783578                                                   | CUSIP: 36241L6P6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1913 | PA      | $1880.99      | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CZ030007 12/17/57 B                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $12752.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 07/51#QC4163                                                        | CUSIP: 3133ANTU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    142266 | PA      | $112344.71    | 0.02%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 5.869% 5/36 #995608                                                     | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1008 | PA      | $1037.35      | 0.00%             | 2036-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 9/27 #451439                                                          | CUSIP: 36208HPY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        25 | PA      | $25.79        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                            | WHEELS FLEET LEASE FUNDING 1 LLC 4.57% 01/18/2040 144A                           | CUSIP: 96328GCE5<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |   2400000 | PA      | $2402276.88   | 0.39%             | 2040-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.0% 07/01/2041#Q02067                                                 | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8344 | PA      | $8381.92      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 06/01/2043#Q19744                                                 | CUSIP: 3132JBHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16023 | PA      | $15284.19     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 11/01/2054#CB9502                                                   | CUSIP: 3140QVRY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    834043 | PA      | $853537.67    | 0.14%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 03/01/2033#BK4845                                                   | CUSIP: 3140HJL33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     32738 | PA      | $31628.90     | 0.01%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CZ030005 12/17/57 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    600000 | NC      | $1023.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 3% 07/01/2036#MA2672                                                   | CUSIP: 31418B6J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23593 | PA      | $22192.86     | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 5.00% 7/33 #A11628                                                          | CUSIP: 31296KYZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6966 | PA      | $6958.14      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2% 06/25/2046                                     | CUSIP: 3136BASY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    416486 | PA      | $363294.68    | 0.06%             | 2046-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                           | ENTERPRISE FLEET FINANCING 2024-2 5.74% 12/20/2026 144A                          | CUSIP: 29375RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    201367 | PA      | $202243.43    | 0.03%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#CB3036                                                   | CUSIP: 3140QNLS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    220870 | PA      | $174417.44    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 02/01/2042#RB5145                                                   | CUSIP: 3133KYWE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    420782 | PA      | $353906.20    | 0.06%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 11/20/2054#MB0024                                                   | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9586206 | PA      | $9051944.45   | 1.49%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4% 08/20/2048#MA5398                                                     | CUSIP: 36179T7K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1152306 | PA      | $1071078.89   | 0.18%             | 2048-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/20/2046#AU2287                                                   | CUSIP: 36194PRG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8101 | PA      | $7296.06      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 02/01/2031#FS1234                                                   | CUSIP: 3140XGLQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97298 | PA      | $94838.17     | 0.02%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 6/40 #743475                                                          | CUSIP: 3620AX6L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12449 | PA      | $12506.36     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 07/01/2033#709252                                                   | CUSIP: 31401H5M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19801 | PA      | $19903.99     | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 05/01/2041#CB0471                                                 | CUSIP: 3140QKQZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96663 | PA      | $85282.80     | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 10/01/2043#Q22486                                                 | CUSIP: 3132JPXP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10553 | PA      | $10011.69     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                    | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM A TSFR1M+139.27 12/15/2039 144A | CUSIP: 87231EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    508000 | PA      | $507840.49    | 0.08%             | 2039-12-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 05/50#FM3269                                                        | CUSIP: 3140X6T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    144559 | PA      | $125181.85    | 0.02%             | 2050-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 03/01/2041#CA9362                                                 | CUSIP: 3140QHML6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    108825 | PA      | $96272.71     | 0.02%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 09/01/2031#                                                       | CUSIP: 31292HMA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1671 | PA      | $1766.51      | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 07/01/2029#                                                         | CUSIP: 31293TF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        34 | PA      | $35.13        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 02/01/2044#Q24971                                                 | CUSIP: 3132M5FL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8703 | PA      | $8254.15      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2022-3 LLC                            | ENTERPRISE FLEET FING 2022-3 LLC 4.29% 07/20/2029 144A                           | CUSIP: 29374FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    315000 | PA      | $313721.26    | 0.05%             | 2029-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#QD3433                                                   | CUSIP: 3133B0Y64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147235 | PA      | $116269.19    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AR3062                                                   | CUSIP: 36192XMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11952 | PA      | $10763.96     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #719230                                                          | CUSIP: 3620A5A74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     24234 | PA      | $23813.52     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 02/01/2052#RA6799                                                 | CUSIP: 3133KNRU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    175438 | PA      | $157092.43    | 0.03%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2023-HB1                                   | OCWEN LN INVT TR 2023-HB1 A 3% 06/25/2036 144A                                   | CUSIP: 67578KAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     23348 | PA      | $23041.99     | 0.00%             | 2036-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 10/01/2036#SB8122                                                 | CUSIP: 3132D6AX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    183089 | PA      | $160796.76    | 0.03%             | 2036-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 06/01/2055 #TBA                                                     | CUSIP: 21H022663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -13925000 | PA      | $-11669624.84 | -1.92%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 4.08% 6/33 #1B0891                                                      | CUSIP: 31336SRL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13887 | PA      | $14210.76     | 0.00%             | 2033-06-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 2/41 #A96695                                                          | CUSIP: 312945NL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15123 | PA      | $14852.39     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 7/41 #768127                                                          | CUSIP: 36176KD87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6435 | PA      | $6185.18      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+652.552 12/25/2036                        | CUSIP: 31396LZK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     13662 | PA      | $1363.88      | 0.00%             | 2036-12-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 08/01/2044#Q28059                                                 | CUSIP: 3132M8TQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4175 | PA      | $3943.72      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 04/01/2052#FS1647                                                   | CUSIP: 3140XGZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    994388 | PA      | $921889.86    | 0.15%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.5% 05/31/2029                                                        | CUSIP: 91282CKT7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    210000 | PA      | $214446.09    | 0.04%             | 2029-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 10/01/2041#RB5132                                                 | CUSIP: 3133KYVZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    209910 | PA      | $183548.73    | 0.03%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 8/29 #509410                                                          | CUSIP: 36211C3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       122 | PA      | $124.07       | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2121 MG 6% 2/29                                                              | CUSIP: 3133TJA60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      8228 | PA      | $8387.30      | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 3/37 #A58828                                                          | CUSIP: 3128KMYZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1284 | PA      | $1361.90      | 0.00%             | 2037-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3.5% 08/01/2034#CA4087                                                 | CUSIP: 3140QBRH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    208924 | PA      | $201841.45    | 0.03%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 05/01/2044#AS9099                                                   | CUSIP: 3138WKDD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11185 | PA      | $11251.21     | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 5.5% 03/20/2054#787292                                                   | CUSIP: 3622AC7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1052009 | PA      | $1051702.54   | 0.17%             | 2054-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 8/34 #G08018                                                          | CUSIP: 3128MJAU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4834 | PA      | $5158.53      | 0.00%             | 2034-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 06/01/2050#RA2677                                                   | CUSIP: 3133KH6N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1965788 | PA      | $1554193.09   | 0.26%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 4.01 05/07/30                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1900000 | NC      | $69416.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 05/15/2041#770680                                                 | CUSIP: 36176M6R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67806 | PA      | $65595.11     | 0.01%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 1.5% 06/01/2051#CB0788                                                 | CUSIP: 3140QK2W7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    134939 | PA      | $101031.03    | 0.02%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 8/40 #733255                                                          | CUSIP: 3620ALTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8124 | PA      | $8002.58      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 06/20/2045#MA2893                                                   | CUSIP: 36179RGA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1122518 | PA      | $1063625.58   | 0.17%             | 2045-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 10/01/2052#SD1733                                                   | CUSIP: 3132DN4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    614182 | PA      | $601634.41    | 0.10%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BMO 2025-5C9 MTG TR                                         | BMO 2025-5C9 XA MTG TR VAR 12/15/2057                                            | CUSIP: 096933AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2999772 | PA      | $91192.16     | 0.01%             | 2058-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 06/01/2055 #TBA                                                     | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  29925000 | PA      | $30225420.07  | 4.97%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 06/01/2045#Q34164                                                 | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1073586 | PA      | $976694.96    | 0.16%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2046#Q40046                                                 | CUSIP: 3132WDBQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    455584 | PA      | $414040.05    | 0.07%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2.5% 05/01/2035#SB8045                                                 | CUSIP: 3132D55E8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    542133 | PA      | $505623.02    | 0.08%             | 2035-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#MA4562                                                   | CUSIP: 31418EB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5150610 | PA      | $4012625.38   | 0.66%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 11/01/2040#A94862                                                 | CUSIP: 312943MK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     69975 | PA      | $68885.78     | 0.01%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 9/32 #654060                                                          | CUSIP: 31390RTR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5088 | PA      | $5444.74      | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 07/01/2042#ZA1228                                                 | CUSIP: 31329JLH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    362729 | PA      | $335942.68    | 0.06%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 12/01/2051#FS0002                                                   | CUSIP: 3140XFAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125780 | PA      | $108075.07    | 0.02%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 11/01/2049#CA4628                                                   | CUSIP: 3140QCEA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51511 | PA      | $47944.59     | 0.01%             | 2049-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AS6968                                                   | CUSIP: 36193SW54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23906 | PA      | $21530.28     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 07/01/2047#ZA4926                                                 | CUSIP: 31329NPK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125274 | PA      | $114013.89    | 0.02%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 05/01/2046#V82275                                                   | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    509543 | PA      | $449472.58    | 0.07%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2135 JE 6% 3/29                                                              | CUSIP: 3133TJWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      9591 | PA      | $9795.36      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2.5% 06/01/2031#J34501                                                 | CUSIP: 31307RAA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30222 | PA      | $29058.96     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 10/01/2043#Q22499                                                 | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31210 | PA      | $29550.95     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16                                              | CFMT 2025-HB16 A VAR 03/25/2035 144A                                             | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    102264 | PA      | $99706.98     | 0.02%             | 2035-03-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 11/01/2051#CB2166                                                   | CUSIP: 3140QMMQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    747610 | PA      | $642610.14    | 0.11%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 06/01/2050#SD7518                                                   | CUSIP: 3132DVK79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    979088 | PA      | $849686.07    | 0.14%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4.5% 07/01/2055 #TBA                                                   | CUSIP: 01F042673<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3000000 | PA      | $2829610.80   | 0.47%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2015-70 JC 3% 10/45                                                          | CUSIP: 3136AQCV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    203763 | PA      | $192460.50    | 0.03%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.50% 11/41 #005232                                                      | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186848 | PA      | $173119.76    | 0.03%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD      | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 5159 GC 2% 11/25/2047     | CUSIP: 3137H3SE3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    149745 | PA      | $128856.79    | 0.02%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2               | SFS AUTO RECEIVABLES SECURITIZATION TR 2024-2 5.33% 11/20/2029 144A              | CUSIP: 78397XAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    153000 | PA      | $154615.88    | 0.03%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2028                                   | CUSIP: 3137B6MF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        15 | PA      | $0.05         | 0.00%             | 2028-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 04/01/2041#CB0116                                                   | CUSIP: 3140QKDW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47936 | PA      | $40930.48     | 0.01%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 8/25 #409199                                                          | CUSIP: 36206ERU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        96 | PA      | $95.76        | 0.00%             | 2025-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MSC 2021-L6                                                 | MSC 2021-L6 XA 1.35631% 06/15/2054                                               | CUSIP: 61692CBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1061336 | PA      | $46679.79     | 0.01%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 2/42 #AK1110                                                          | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14850 | PA      | $14085.59     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 09/01/2050#FM4342                                                 | CUSIP: 3140X7ZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4898650 | PA      | $4068141.98   | 0.67%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-A              | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-A A3 5.02% 03/15/2027 144A          | CUSIP: 448988AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   2200000 | PA      | $2206141.52   | 0.36%             | 2027-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                              | BANK 2017-BNKS 3.39% 06/15/2060                                                  | CUSIP: 06541WAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1519217 | PA      | $1479222.70   | 0.24%             | 2060-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 05/01/2053#SD2891                                                 | CUSIP: 3132DQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    861663 | PA      | $860298.96    | 0.14%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6.5% 06/01/2055 #TBA                                                     | CUSIP: 21H062669<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3600000 | PA      | $3676981.32   | 0.60%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 01/48#BJ1074                                                      | CUSIP: 3140H2FQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5276 | PA      | $5054.48      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 05/01/2052#MA4644                                                   | CUSIP: 31418EES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     43743 | PA      | $40185.14     | 0.01%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                          | PRPM 2024-RCF6 A1 LLC VAR 10/25/2054 144A                                        | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     90707 | PA      | $87705.67     | 0.01%             | 2054-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 08/01/2049#MA3744                                                   | CUSIP: 31418DES7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1145323 | PA      | $990371.38    | 0.16%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CIM 2025-NR1                                                | CIM 2025-NR1 5% 06/25/2064 144A                                                  | CUSIP: 17181YAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1126850 | PA      | $1086592.65   | 0.18%             | 2064-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 07/01/2055 #TBA                                                       | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29150000 | PA      | $29388718.10  | 4.83%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+120 06/25/2054                                | CUSIP: 3136BUGA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1664133 | PA      | $1657168.80   | 0.27%             | 2054-06-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 06/01/2041#                                                       | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3274 | PA      | $3231.93      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 02/01/2054#RJ0836                                                 | CUSIP: 3142GQ4W9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80595 | PA      | $80090.03     | 0.01%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061                | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1737 | PA      | $1737.28      | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 10/20/44#MA2305                                                     | CUSIP: 36179QR29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2070 | PA      | $2008.04      | 0.00%             | 2044-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2052#CB2679                                                 | CUSIP: 3140QM6R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     76955 | PA      | $68931.88     | 0.01%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 4/35 #003700                                                       | CUSIP: 36202EDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6492 | PA      | $6417.32      | 0.00%             | 2035-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2043#Q19988                                                 | CUSIP: 3132JBRJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12665 | PA      | $11972.63     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | UNITED STATES TREASURY BOND 4.625% 11/15/2044                                    | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   9300000 | PA      | $8932359.38   | 1.47%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 12/01/2051#RA6434                                                 | CUSIP: 3133KNEF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1186888 | PA      | $976763.75    | 0.16%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 12/20/2054#787741                                                   | CUSIP: 3622ADP28<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1044584 | PA      | $1045585.30   | 0.17%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 3/41 #A97661                                                          | CUSIP: 312946QN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46909 | PA      | $46178.85     | 0.01%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 1/41 #004922                                                       | CUSIP: 36202FPF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    773916 | PA      | $741847.85    | 0.12%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2003-118 S SOFR30A+798.552 12/33                                             | CUSIP: 31393UNH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     22487 | PA      | $2595.24      | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 11/01/2052#SD1862                                                   | CUSIP: 3132DPB72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    613312 | PA      | $602506.82    | 0.10%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 07/20/2043#MA1157                                                   | CUSIP: 36179NJA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5405 | PA      | $4982.38      | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHR 2114 ZM 6% 1/29                                                              | CUSIP: 3133THQB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      2830 | PA      | $2883.57      | 0.00%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 7/28 #476120                                                          | CUSIP: 36209M4D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       246 | PA      | $249.58       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 11/01/2051#CB2189                                                   | CUSIP: 3140QMNF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36614 | PA      | $34172.96     | 0.01%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.50% 7/34 #G02115                                                          | CUSIP: 3128LXK41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32696 | PA      | $34100.25     | 0.01%             | 2034-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNR 2015-H13 HA 2.5% 08/64                                                       | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      1128 | PA      | $1060.88      | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 04/01/2042#MA4587                                                 | CUSIP: 31418ECZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1288204 | PA      | $1123060.08   | 0.18%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OPORTUN FUNDING TRUST 2024-3                                | OPORTUN FUNDING TRUST 2024-3 5.26% 08/15/2029 144A                               | CUSIP: 68377NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    143212 | PA      | $143202.39    | 0.02%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 9/41 #772063                                                          | CUSIP: 36176PQQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46645 | PA      | $44686.71     | 0.01%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 06/01/2045#Q34467                                                 | CUSIP: 3132QQ6D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35082 | PA      | $33035.20     | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 1.5% 02/01/2051#MA4254                                                 | CUSIP: 31418DWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1944622 | PA      | $1438346.11   | 0.24%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 09/01/2049#RA1293                                                   | CUSIP: 3133KGNJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10098 | PA      | $8804.79      | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 12/01/2048#G61821                                                 | CUSIP: 31335CAW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    614262 | PA      | $589467.30    | 0.10%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 11/41 #AB3872                                                         | CUSIP: 31417AJS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95345 | PA      | $90823.17     | 0.01%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 05/01/2052#FS9743                                                 | CUSIP: 3140XRZH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1667637 | PA      | $1378134.06   | 0.23%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 06/01/2054#SD5521                                                 | CUSIP: 3132DTD23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    270874 | PA      | $282159.31    | 0.05%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #648177                                                          | CUSIP: 31390KCN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       333 | PA      | $353.86       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 10/01/2031#AS8226                                                 | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    151630 | PA      | $145166.07    | 0.02%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 09/01/2053#QH0277                                                 | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84053 | PA      | $87344.30     | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 6/40 #745138                                                          | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83910 | PA      | $82484.26     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 3% 06/01/2055 #TBA                                                     | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3600000 | PA      | $3064498.20   | 0.50%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 01/01/2045#AY0356                                                 | CUSIP: 3138YDME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    216810 | PA      | $203994.25    | 0.03%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AT2645                                                   | CUSIP: 36194A5E3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8402 | PA      | $7558.84      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 02/01/2035#FM2518                                                 | CUSIP: 3140X5YQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252666 | PA      | $236202.40    | 0.04%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 10/01/2051#FM8864                                                 | CUSIP: 3140XCZ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    424912 | PA      | $352342.18    | 0.06%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 11/39 #A89870                                                         | CUSIP: 3129366F9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6877 | PA      | $6778.55      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 10YR NOTE FUT (CBT)SEP25 TYU5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -312 | NC      | $-428423.22   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 3% 02/01/2036#MA2523                                                   | CUSIP: 31418BYV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21856 | PA      | $20633.53     | 0.00%             | 2036-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2.5% 02/01/2035#QN1578                                                 | CUSIP: 3133G7XF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    277124 | PA      | $258460.49    | 0.04%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                   | CHESAPEAKE FUNDING II LLC 5.52% 05/15/2036 144A                                  | CUSIP: 165183DE1<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |    174330 | PA      | $175915.68    | 0.03%             | 2036-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 06/01/2055 #TBA                                                     | CUSIP: 01F020661<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  75850000 | PA      | $58958553.91  | 9.69%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 1.5% 06/01/2051#MA4354                                                 | CUSIP: 31418DZU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    615088 | PA      | $454567.13    | 0.07%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2018-BOP                            | MORGAN STANLEY CAP I TR 2018-BOP A TSFR1M+89.7 06/15/2035 144A                   | CUSIP: 61768FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    723006 | PA      | $590703.45    | 0.10%             | 2033-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #733234                                                          | CUSIP: 3620ALSX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4472 | PA      | $4389.19      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 06/44#MA1997                                                        | CUSIP: 36179QGE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2363 | PA      | $2317.54      | 0.00%             | 2044-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 12/01/2034#FM0046                                                   | CUSIP: 3140X3BQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    244518 | PA      | $232703.99    | 0.04%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 05/01/2051#RA5288                                                   | CUSIP: 3133KL2V8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    193002 | PA      | $151385.19    | 0.02%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3244 SG SOFR30A+654.552 11/36                                                | CUSIP: 31397CDA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     38161 | PA      | $3346.73      | 0.00%             | 2036-11-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 3/41 #004977                                                       | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41468 | PA      | $39740.60     | 0.01%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMX 2025-2                                                | CARMX 2025-2 4.59% 07/17/2028                                                    | CUSIP: 14320AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    830000 | PA      | $830363.37    | 0.14%             | 2028-07-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 02/20/2044#MA1677                                                   | CUSIP: 36179N2J6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2374 | PA      | $2177.48      | 0.00%             | 2044-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                              | CARMAX AUTO OWNER TRUST 2024-4 4.6% 10/15/2029                                   | CUSIP: 14290DAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $201245.08    | 0.03%             | 2029-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 03/01/2050#FM6195                                                   | CUSIP: 3140X93D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1069642 | PA      | $929274.11    | 0.15%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/01/2046#BE5877                                                 | CUSIP: 3140FRQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     52447 | PA      | $47667.03     | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+140 02/25/2055                                | CUSIP: 3136BUWL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    727348 | PA      | $725809.10    | 0.12%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 06/01/2052#SD1082                                                   | CUSIP: 3132DNFX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    147327 | PA      | $126243.99    | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 05/51#RA5117                                                        | CUSIP: 3133KLVJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3870123 | PA      | $3045287.05   | 0.50%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 8/41 #005139                                                       | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7723 | PA      | $7390.37      | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021                  | WELLS FARGO COMMERCIAL MORTGAGE TRUST 2021-FCMT A TSFR1M+131.448 12/31/2049 144A | CUSIP: 95003EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468000 | PA      | $464518.13    | 0.08%             | 2031-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP 04/17/65 B                                                           | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    360000 | NC      | $61379.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 07/01/2054#CB8867                                                 | CUSIP: 3140QUZ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4025661 | PA      | $4185834.39   | 0.69%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 11/01/2052#CB5128                                                   | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006074 | PA      | $988348.93    | 0.16%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4% 04/15/2048                                     | CUSIP: 3137H8HT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    624291 | PA      | $614126.50    | 0.10%             | 2048-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CSMC SER 2014-3R                                            | CSMC SER 2014-3R VAR 05/27/2037                                                  | CUSIP: 12648GAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     72121 | PA      | $7.21         | 0.00%             | 2037-05-27      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.679% 02/01/2039#AL8741                                               | CUSIP: 3138ETWB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21519 | PA      | $22226.60     | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 1999-17 PG 6% 4/29                                                           | CUSIP: 31359VSD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     15277 | PA      | $15492.07     | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 10/34 #A45794                                                         | CUSIP: 3128K6NK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12779 | PA      | $13159.57     | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2052#QE0436                                                 | CUSIP: 3133B9PV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1105193 | PA      | $980987.27    | 0.16%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 2/37 #908771                                                          | CUSIP: 31411HT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2000 | PA      | $2112.19      | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 06/01/2051#FM7507                                                 | CUSIP: 3140XBKV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3162025 | PA      | $2621989.11   | 0.43%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885802 12/15/56 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $13019.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6% 07/01/2053#RA9383                                                   | CUSIP: 3133KRM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    422598 | PA      | $430891.25    | 0.07%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 03/01/2032#                                                       | CUSIP: 31287P6S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2174 | PA      | $2263.83      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX 2021-XL2                                                 | BX TRUST 21-XL2 A TSFR1M+80.298 10/15/2036 144A                                  | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     69983 | PA      | $69939.45     | 0.01%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2024-B                             | TOYOTA LEASE OWNER TRUST 2024-B A3 4.21% 09/20/2027 144A                         | CUSIP: 891943AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1300000 | PA      | $1296643.27   | 0.21%             | 2027-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIE MAE 4.5% 07/25/2048                                                       | CUSIP: 3136BM7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    737310 | PA      | $724661.17    | 0.12%             | 2048-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 12/01/2032#J38057                                                   | CUSIP: 31307U5S3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     80644 | PA      | $77930.41     | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 8/35 #830779                                                          | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3240 | PA      | $3418.89      | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/20/2046#AR3124                                                   | CUSIP: 36192XPH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15852 | PA      | $14276.50     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 03/01/2046#BM4548                                                 | CUSIP: 3140J9BS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    123099 | PA      | $121062.54    | 0.02%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 06/15/2041#770824                                                 | CUSIP: 36176ND57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90341 | PA      | $86581.64     | 0.01%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 08/01/2047#ZA4942                                                 | CUSIP: 31329NP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    194502 | PA      | $177019.37    | 0.03%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TESLA AUTO LEASE TRUST 23-A                                 | TESLA AUTO LEASE TRUST 23-A 5.89% 06/22/2026 144A                                | CUSIP: 88167PAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     73666 | PA      | $73764.76     | 0.01%             | 2026-06-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES   | FNS 351 12 5.5% 4/34                                                             | CUSIP: 3136FCJB3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      7205 | PA      | $1100.92      | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 05/01/2034#C91764                                                 | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119071 | PA      | $115457.02    | 0.02%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                            | BANK5 2025-5YR14 XB CSTR 04/15/2058                                              | CUSIP: 06604MAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13100000 | PA      | $193285.26    | 0.03%             | 2058-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 10/28 #490635                                                         | CUSIP: 36210FBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       235 | PA      | $238.47       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3832 PE 5% 3/41                                                              | CUSIP: 3137A7WV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    148964 | PA      | $149303.62    | 0.02%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1% 08/15/2038                                     | CUSIP: 3137FFWL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    484581 | PA      | $458319.80    | 0.08%             | 2038-08-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 10/35 #835556                                                         | CUSIP: 31407NH97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6745 | PA      | $7117.92      | 0.00%             | 2035-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 4/42 #C03856                                                          | CUSIP: 31292LH99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     27900 | PA      | $26574.69     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 08/01/2047#ZM3810                                                 | CUSIP: 3131XXGT2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15371 | PA      | $13989.51     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.125% 03/31/2031                                                      | CUSIP: 91282CKF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    890000 | PA      | $892537.89    | 0.15%             | 2031-03-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 12/01/2040#MA4204                                                   | CUSIP: 31418DU67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15220 | PA      | $12952.12     | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #745192                                                          | CUSIP: 3620C02Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86384 | PA      | $84916.59     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 12/01/2051#CB2460                                                   | CUSIP: 3140QMWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     22930 | PA      | $21401.56     | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 11/01/2047#Q52082                                                 | CUSIP: 3132XUJ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20191 | PA      | $19313.20     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2051#FM6560                                                   | CUSIP: 3140XAJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17699 | PA      | $13882.82     | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 5.91% 3/36 #865849                                                      | CUSIP: 31409A5J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5663 | PA      | $5840.24      | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 9/42 #AP5129                                                          | CUSIP: 3138M8VX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34182 | PA      | $31646.58     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 6/40 #745068                                                          | CUSIP: 3620C0W53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28275 | PA      | $27798.79     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 05/01/2045#G61807                                                   | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59877 | PA      | $57098.83     | 0.01%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 02/35#BO9279                                                      | CUSIP: 3140K5JZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113406 | PA      | $105768.73    | 0.02%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#QD3432                                                   | CUSIP: 3133B0Y56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    140750 | PA      | $110531.89    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 03/01/2054#CB8113                                                 | CUSIP: 3140QUAP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396454 | PA      | $407458.10    | 0.07%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 10/01/2052#CB4893                                                   | CUSIP: 3140QQNK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    716224 | PA      | $701591.46    | 0.12%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2947 XZ 6% 3/35                                                              | CUSIP: 31395RA81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     59690 | PA      | $61104.62     | 0.01%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 4.5% 04/20/2053#MA8799                                                   | CUSIP: 36179XX43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1976037 | PA      | $1873318.34   | 0.31%             | 2053-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CCUBS COML MTG TR 2017-C1                                   | CCUBS COML MTG TR 2017-C1 3.462% 11/15/2050                                      | CUSIP: 12508GAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    562783 | PA      | $554763.54    | 0.09%             | 2050-11-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 12/01/2032#SB0030                                                   | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206001 | PA      | $199627.65    | 0.03%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 03/20/2046#MA3523                                                   | CUSIP: 36179R4G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3646 | PA      | $3572.77      | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 10/39 #G08368                                                         | CUSIP: 3128MJMS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    570265 | PA      | $562032.53    | 0.09%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 05/01/2043#Q18481                                                 | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13724 | PA      | $12993.82     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 10/01/2031#AS8010                                                 | CUSIP: 3138WH3U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34190 | PA      | $32762.21     | 0.01%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 6.29% 3/36 #1G1852                                                      | CUSIP: 3128QSBV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18950 | PA      | $19430.57     | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 08/35#MA4095                                                        | CUSIP: 31418DRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    396316 | PA      | $361355.86    | 0.06%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                      | CUSIP: 3136AA4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     20701 | PA      | $19169.33     | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 03/01/2055#CC0136                                                 | CUSIP: 3140Y6EJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490623 | PA      | $510949.04    | 0.08%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY873248 04/17/65 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    270000 | NC      | $46034.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 06/01/2055 #TBA                                                       | CUSIP: 21H020667<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -4150000 | PA      | $-3334220.39  | -0.55%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 5/41 #Q00753                                                          | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20036 | PA      | $19689.25     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP REC 4.01 12/20/29                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2000000 | NC      | $72659.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AJAX MTG LN TR 2021-E                                       | AJAX MTG LN TR 2021-E 1.74% 12/25/2060 144A                                      | CUSIP: 009740AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1616822 | PA      | $1394771.62   | 0.23%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US ULTRA BOND CBT FUT SEP25 WNU5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-1099.11     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 12/20/2054#MB0092                                                   | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297559 | PA      | $295682.31    | 0.05%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| RMF BUYOUT ISSUANCE TRUST 2021                              | RMF BUYOUT ISSUANCE TRUST 2021 1.268% 11/25/2031 144A                            | CUSIP: 74969TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9908 | PA      | $9872.88      | 0.00%             | 2031-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 22-56 FJ SOFR30A+80 09/25/2052                    | CUSIP: 3136BNY75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1599879 | PA      | $1551292.09   | 0.25%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 9/41 #Q03358                                                          | CUSIP: 3132GJMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28164 | PA      | $26866.03     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3704                                           | CUSIP: 3142GUDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    881298 | PA      | $917808.96    | 0.15%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 01/01/2041#A96051                                                 | CUSIP: 312944WL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137054 | PA      | $134942.28    | 0.02%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 05/01/2039#                                                       | CUSIP: 312933CQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6966 | PA      | $6865.08      | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2043#Q20358                                                 | CUSIP: 3132JMMF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8980 | PA      | $8487.90      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/51#BQ1010                                                        | CUSIP: 3140KLDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238708 | PA      | $187757.77    | 0.03%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 07/01/2055 #TBA                                                     | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   6975000 | PA      | $7036031.95   | 1.16%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 2/40 #737007                                                          | CUSIP: 3620AQYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21616 | PA      | $21263.95     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2003-21 SK SOFR30A+798.552 3/33                                              | CUSIP: 31392JY37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      4556 | PA      | $469.35       | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 07/01/2055 #TBA                                                     | CUSIP: 01F060675<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4775000 | PA      | $-4816781.73  | -0.79%            | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CR ACC MST TR                              | AMERICAN EXPRESS CR ACC MST TR 4.87% 05/15/2028                                  | CUSIP: 02582JJZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1141000 | PA      | $1145848.57   | 0.19%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 1/27 #256630                                                          | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       747 | PA      | $751.72       | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 3% 06/01/2055 #TBA                                                     | CUSIP: 01F030660<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2200000 | PA      | $-1872748.90  | -0.31%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-C                                | SBNA AUTO LEASE TRUST 2024-C 4.56% 02/22/2028 144A                               | CUSIP: 78398DAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    241000 | PA      | $240763.68    | 0.04%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 02/01/2041#                                                         | CUSIP: 31418DW65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16220 | PA      | $13772.28     | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                           | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    944510 | PA      | $809285.57    | 0.13%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 01/01/2042#RB5142                                                 | CUSIP: 3133KYWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    428861 | PA      | $374229.50    | 0.06%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2.5% 02/25/2046                                   | CUSIP: 3136ARGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   2468600 | PA      | $2102199.87   | 0.35%             | 2046-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 12/01/2032#BM5109                                                   | CUSIP: 3140J9VB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    597963 | PA      | $579464.69    | 0.10%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C7                                     | UBSCM 2017-C7 XA CSTR 12/50                                                      | CUSIP: 90276WAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5072206 | PA      | $106314.46    | 0.02%             | 2050-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 04/01/2052#CB3313                                                   | CUSIP: 3140QNVF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2359438 | PA      | $2180043.16   | 0.36%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 04/01/2036#MA4302                                                 | CUSIP: 31418DX80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15301 | PA      | $13476.14     | 0.00%             | 2036-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2046#Q40085                                                 | CUSIP: 3132WDCX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     91475 | PA      | $83305.57     | 0.01%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 6/41 #Q01208                                                          | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14202 | PA      | $13995.81     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 02/01/2042#BU1292                                                   | CUSIP: 3140M2NJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    604999 | PA      | $508993.28    | 0.08%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2052#CB2765                                                   | CUSIP: 3140QNCB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1063803 | PA      | $833086.21    | 0.14%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    140000 | NC      | $23869.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2052#FS0898                                                   | CUSIP: 3140XF7L9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    649807 | PA      | $558340.40    | 0.09%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 06/01/2048#ZM6780                                                   | CUSIP: 3131Y1Q94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    371574 | PA      | $345963.62    | 0.06%             | 2048-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 7/40 #739706                                                          | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16842 | PA      | $16918.93     | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 07/01/2048#Q59935                                                   | CUSIP: 3132Y4BD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    121235 | PA      | $113860.16    | 0.02%             | 2048-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 11/01/2050#RA3913                                                 | CUSIP: 3133KKK24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1272906 | PA      | $1058690.97   | 0.17%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 12/01/2030#ZS8591                                                   | CUSIP: 3132A9RL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28680 | PA      | $27857.01     | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 5/28 #476306                                                          | CUSIP: 36209NDK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        73 | PA      | $74.32        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 10/40 #A94662                                                         | CUSIP: 312943FB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15849 | PA      | $15576.18     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 09/20/2051#785619                                                   | CUSIP: 3622ABDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1136277 | PA      | $944201.03    | 0.16%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 06/01/2029#                                                         | CUSIP: 31293R3X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1053 | PA      | $1071.61      | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 06/01/2053#CB6642                                                 | CUSIP: 3140QSLY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    412524 | PA      | $413160.23    | 0.07%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 11/01/2034#FS1799                                                   | CUSIP: 3140XG7M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     56167 | PA      | $54573.22     | 0.01%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 01/20/2055#MB0148                                                     | CUSIP: 3618N5EW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1135841 | PA      | $1147742.27   | 0.19%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2010-150 ZC 4.75% 01/41                                                      | CUSIP: 31397QAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    215972 | PA      | $212304.05    | 0.03%             | 2041-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 03/01/2050#MA3964                                                 | CUSIP: 31418DMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    489530 | PA      | $404241.15    | 0.07%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 12/01/2032#FM1681                                                 | CUSIP: 3140X42P0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2078407 | PA      | $1989712.05   | 0.33%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                   | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       100 | PA      | $0.62         | 0.00%             | 2034-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AT1323                                                   | CUSIP: 36193YPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13492 | PA      | $12150.71     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 5/40 #004696                                                       | CUSIP: 36202FGD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10803 | PA      | $10630.19     | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2046#Q40647                                                 | CUSIP: 3132WDWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    125567 | PA      | $114117.13    | 0.02%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2.5% 06/01/2055 #TBA                                                   | CUSIP: 01F022667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -3200000 | PA      | $-2607874.56  | -0.43%            | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2052#                                                       | CUSIP: 31418EAQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    226613 | PA      | $202349.45    | 0.03%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 01/01/2052#CB2610                                                   | CUSIP: 3140QM3U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     65564 | PA      | $51344.65     | 0.01%             | 2052-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TRUST 2025-1                                      | BOFA AUTO TRUST 2025-1 4.35% 11/20/2029 144A                                     | CUSIP: 05594BAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $399765.28    | 0.07%             | 2029-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                                | AJAXM 2021-C 5.115% 01/25/2061 144A                                              | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    154562 | PA      | $154494.13    | 0.03%             | 2061-01-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                            | GMF FLOORPLAN OWNER REVOLVING TR 4.59% 03/15/2029 144A                           | CUSIP: 361886DV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    235000 | PA      | $235313.14    | 0.04%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 11/01/2035#BQ5806                                                 | CUSIP: 3140KRNY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    537320 | PA      | $473913.84    | 0.08%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 12/29 #495064                                                         | CUSIP: 36210K5Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       374 | PA      | $387.17       | 0.00%             | 2029-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 11/01/2042#Q13654                                                 | CUSIP: 3132HQBX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10313 | PA      | $9772.08      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 11/01/2041#MA4475                                                 | CUSIP: 31418D6M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    286500 | PA      | $250358.89    | 0.04%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 11/15/2042#AB9201                                                   | CUSIP: 36178WGJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5889 | PA      | $5626.46      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5.5% 10/15/2033                                   | CUSIP: 31394KF41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    341301 | PA      | $345834.55    | 0.06%             | 2033-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 09/01/2042#ZL3774                                                 | CUSIP: 3131XKFP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    459439 | PA      | $424936.74    | 0.07%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 07/01/2041#CB1074                                                 | CUSIP: 3140QLFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99499 | PA      | $87615.64     | 0.01%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 03/01/2052#CB3114                                                   | CUSIP: 3140QNN81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037993 | PA      | $896912.77    | 0.15%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 09/01/2054#SD6620                                                 | CUSIP: 3132DUK97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    321041 | PA      | $334617.05    | 0.05%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHESAPEAKE FUNDING II LLC                                   | CHESAPEAKE FUNDING II LLC 6.16% 10/15/2035 144A                                  | CUSIP: 165183CZ5<br>LEI: 5493000HT7H4OFOD6Z12 | Long             | ABS-CBDO         | CORP              | US        |     87016 | PA      | $88069.09     | 0.01%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6.5% 02/01/2055#RJ3572                                                 | CUSIP: 3142GT6J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    531803 | PA      | $555995.13    | 0.09%             | 2055-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 4/32 #C01343                                                          | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       967 | PA      | $1006.36      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 21-66 DM 2% 01/25/2048                            | CUSIP: 3136BG6Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    197919 | PA      | $161866.47    | 0.03%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 07/01/2047#FS1789                                                 | CUSIP: 3140XG7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    490372 | PA      | $453785.76    | 0.07%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.264% 08/01/2041#AL6552                                               | CUSIP: 3138EPH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     72137 | PA      | $72382.96     | 0.01%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 10/01/2051#QC9148                                                 | CUSIP: 3133AUEV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    300076 | PA      | $246951.11    | 0.04%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 01/01/2054#SD4623                                                 | CUSIP: 3132DSD41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1337254 | PA      | $1385759.26   | 0.23%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 03/01/2041#RB5104                                                 | CUSIP: 3133KYU56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    136700 | PA      | $112582.21    | 0.02%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 10/45#MA3174                                                        | CUSIP: 36179RQ36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3992 | PA      | $3740.39      | 0.00%             | 2045-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 07/01/2054#FS8456                                                 | CUSIP: 3140XQME4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    663352 | PA      | $661887.46    | 0.11%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 5% 04/48#784805                                                          | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    112338 | PA      | $111874.52    | 0.02%             | 2048-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 01/01/2055#CB9828                                                 | CUSIP: 3140QV4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    287959 | PA      | $300158.70    | 0.05%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 11/01/2041#FS0106                                                   | CUSIP: 3140XFDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    733013 | PA      | $618508.04    | 0.10%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 07/01/2029#                                                         | CUSIP: 31293TGN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        97 | PA      | $99.08        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 01/01/2035#FM2286                                                   | CUSIP: 3140X5RG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466290 | PA      | $443760.47    | 0.07%             | 2035-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.50% 10/41 #005202                                                      | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4913 | PA      | $4551.40      | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5% 06/01/2055 #TBA                                                     | CUSIP: 01F050668<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2600000 | PA      | $-2517428.94  | -0.41%            | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 09/01/2054#CB9149                                                   | CUSIP: 3140QVEX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    672680 | PA      | $689663.83    | 0.11%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 3.417% 12/01/2040#848392                                                | CUSIP: 31300LKD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     57099 | PA      | $59156.60     | 0.01%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 12/01/2051#SD8184                                                   | CUSIP: 3132DWCV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1114864 | PA      | $956542.15    | 0.16%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 3% 12/01/2036#MA2832                                                   | CUSIP: 31418CEE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    572085 | PA      | $535448.30    | 0.09%             | 2036-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2025-VTT                            | WELLS FARGO COML MTG TR 2025-VTT A VAR 03/15/2038 144A                           | CUSIP: 94990GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340000 | PA      | $338988.94    | 0.06%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 04/20/2044#MA1838                                                   | CUSIP: 36179QBF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2213 | PA      | $2028.54      | 0.00%             | 2044-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 10/20/2050#MA6930                                                     | CUSIP: 36179VVX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5073458 | PA      | $4077917.32   | 0.67%             | 2050-10-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2357 ZB 6.5% 9/31                                                            | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     17523 | PA      | $17958.42     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                          | BX Trust 2025-ROIC VAR 03/15/2030 144A                                           | CUSIP: 05593VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1296000 | PA      | $1286280.00   | 0.21%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 05/01/2051#SD7540                                                 | CUSIP: 3132DVLV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1114482 | PA      | $924838.29    | 0.15%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 2/41 #AE6390                                                          | CUSIP: 31419HC42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    277286 | PA      | $264617.94    | 0.04%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 8/35 #255896                                                          | CUSIP: 31371MGD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1849 | PA      | $1951.93      | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 02/48#G61343                                                        | CUSIP: 31335BP42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    239412 | PA      | $223426.21    | 0.04%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 4/41 #Q00114                                                          | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16910 | PA      | $16602.70     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6         | JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP6 3.2829% 07/15/2050           | CUSIP: 48128KBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75432 | PA      | $74498.96     | 0.01%             | 2050-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 11/01/2052#FS3295                                                   | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2330629 | PA      | $2282285.11   | 0.38%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLP COML MTG 2024-INDS                                      | BLP COML MTG 2024-IND2 A TSFR1M+139.208 03/15/2041 144A                          | CUSIP: 05625AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    189765 | PA      | $189884.08    | 0.03%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 10/01/2051#CB1872                                                   | CUSIP: 3140QMCJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113402 | PA      | $97439.73     | 0.02%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 9/36 #C02622                                                          | CUSIP: 31292J4F4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51829 | PA      | $54310.58     | 0.01%             | 2036-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2042#AP8794                                                 | CUSIP: 3138MCXY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5880 | PA      | $5436.48      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2019-GC41                             | CITIGROUP COML MTG TR 2019-GC41 CSTR 08/10/2056                                  | CUSIP: 17328FBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4788647 | PA      | $152449.46    | 0.03%             | 2056-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.25% MAC 06/18/28                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -46003000 | NC      | $-48496.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 02/01/2043#Q15107                                                 | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7490 | PA      | $7088.66      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 08/01/2034#C91782                                                 | CUSIP: 3128P76T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    199149 | PA      | $193007.52    | 0.03%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 10/01/2039#AS3482                                                   | CUSIP: 3138WC2Q5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6966 | PA      | $6656.41      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                   | CUSIP: 3137H2UY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    224193 | PA      | $185980.73    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 02/01/2035#FM6733                                                 | CUSIP: 3140XAPT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     84922 | PA      | $81336.82     | 0.01%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 04/15/2043#AD7475                                                   | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4033 | PA      | $3870.88      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 03/15/2041#738107                                                   | CUSIP: 3620ASAG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6062 | PA      | $5819.82      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.0% 06/15/2043#AC2222                                                 | CUSIP: 36179BPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65449 | PA      | $59284.84     | 0.01%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #648596                                                          | CUSIP: 31390KRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       282 | PA      | $300.59       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 3/28 #399895                                                          | CUSIP: 36205TGC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       308 | PA      | $312.26       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 03/01/2041#SC0136                                                   | CUSIP: 3132D9EH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    114121 | PA      | $97467.99     | 0.02%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 9/26 #G30299                                                     | CUSIP: 3128CUKL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1837 | PA      | $1849.96      | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2047#AL9776                                                 | CUSIP: 3138ER2J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    284981 | PA      | $258386.62    | 0.04%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DBJPM 2020-C9                                               | DBJPM 2020-C9 1.926% 08/15/2053                                                  | CUSIP: 233063AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $347029.96    | 0.06%             | 2053-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CZ030007 12/17/57 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $6376.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 8/39 #721187                                                          | CUSIP: 3620A7F42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1637 | PA      | $1644.94      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 7/33 #003426                                                       | CUSIP: 36202DYX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6252 | PA      | $6101.91      | 0.00%             | 2033-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 3% 03/01/2040#FM6134                                                   | CUSIP: 3140X9Y82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17711 | PA      | $16488.53     | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 11/01/2042#Q13121                                                 | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26243 | PA      | $24949.36     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 02/01/2052#QD7533                                                   | CUSIP: 3133B5LN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13851 | PA      | $12928.11     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 09/01/2043#G08546                                                   | CUSIP: 3128MJTC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2867 | PA      | $2716.10      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 1/28 #463389                                                          | CUSIP: 36208WXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       369 | PA      | $373.06       | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 09/01/2050#QB3577                                                   | CUSIP: 3133A96N0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    447831 | PA      | $350846.04    | 0.06%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6% 01/01/2054#QH9922                                                   | CUSIP: 3133CPAX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44226 | PA      | $44707.28     | 0.01%             | 2054-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2013-133 IB 3% 04/32                                                         | CUSIP: 3136AHQ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      2075 | PA      | $6.84         | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6.5% 07/01/2055 #TBA                                                   | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -2300000 | PA      | $-2359655.10  | -0.39%            | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 09/01/2033#                                                         | CUSIP: 31283HX75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21891 | PA      | $22685.85     | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 12/41 #778681                                                         | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31434 | PA      | $30078.36     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 3.0% 07/01/2035#MA2320                                                 | CUSIP: 31418BSJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5801 | PA      | $5491.57      | 0.00%             | 2035-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 11/01/2035#BQ6318                                                 | CUSIP: 3140KSAU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    566683 | PA      | $499811.72    | 0.08%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 6/41 #005082                                                       | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5584 | PA      | $5490.19      | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2043#Q19690                                                 | CUSIP: 3132JBF81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28235 | PA      | $26808.92     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/46#AS7008                                                        | CUSIP: 36193SYD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18764 | PA      | $16899.33     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 4/40 #737191                                                          | CUSIP: 3620AQ7C1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27943 | PA      | $28071.82     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP REC 3.9025 04/14/26                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   2040000 | NC      | $66028.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3           | GM FINL CONSUMER AUTOMOBILE RECEIVABLES TR 2023-3 5.45% 06/16/2028               | CUSIP: 36267KAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    213861 | PA      | $215178.84    | 0.04%             | 2028-06-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 3% 05/25/2048                                     | CUSIP: 3136BL6J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    240259 | PA      | $218280.52    | 0.04%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                      | GSCM SWAP PAY 3.9025 04/14/26                                                    | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   2040000 | NC      | $61301.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 11/01/2029#                                                       | CUSIP: 31292G6T8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       993 | PA      | $1036.81      | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4.0% 12/15/2040                                   | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     68665 | PA      | $67813.54     | 0.01%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CZ030007 12/17/57 B                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    200000 | NC      | $25504.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 02/01/2044#Q24546                                                 | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15931 | PA      | $15075.82     | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 4/1/43 #AT0648                                                    | CUSIP: 3138WMWJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105482 | PA      | $97294.71     | 0.02%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 12/01/2035#SB8078                                                 | CUSIP: 3132D56P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567514 | PA      | $500544.76    | 0.08%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3703                                           | CUSIP: 3142GUDH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    820499 | PA      | $855773.65    | 0.14%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 02/01/2051#SD8127                                                 | CUSIP: 3132DWA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2424220 | PA      | $1793082.27   | 0.29%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6% 07/01/2053#RA9382                                                   | CUSIP: 3133KRM76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    477206 | PA      | $487166.39    | 0.08%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 05/20/2046#AS4758                                                   | CUSIP: 36193PJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12753 | PA      | $11485.64     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2022-7 A 3% 05/25/2048                            | CUSIP: 3136BLRV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    371879 | PA      | $337782.55    | 0.06%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 04/01/2032#J36729                                                   | CUSIP: 31307TPN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6506 | PA      | $6313.60      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 12/01/2051#RA6506                                                   | CUSIP: 3133KNGP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52652 | PA      | $41249.24     | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.0% 12/20/2042#AA5872                                                   | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    163674 | PA      | $148455.88    | 0.02%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5               | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5 4.62% 11/15/2028                   | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1800000 | PA      | $1798742.16   | 0.30%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 11/20/2044#MA2372                                                   | CUSIP: 36179QT50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425858 | PA      | $404020.60    | 0.07%             | 2044-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 11/26 #C91010                                                    | CUSIP: 3128P7DP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       351 | PA      | $354.51       | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2050#CA7323                                                   | CUSIP: 3140QFD55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    936615 | PA      | $744605.28    | 0.12%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 06/01/2055 #TBA                                                     | CUSIP: 01F020661<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -62750000 | PA      | $-48775863.65 | -8.02%            | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 05/01/2052#SL0225                                                 | CUSIP: 31427MHB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1229127 | PA      | $1016517.77   | 0.17%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                | BX 2024-CNYN TSFR1M+144.188 04/15/2029 144A                                      | CUSIP: 05612HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595024 | PA      | $595767.63    | 0.10%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 10/01/2043#Q22677                                                 | CUSIP: 3132JP6N7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15757 | PA      | $14881.76     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 12/41 #552554                                                         | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46125 | PA      | $44231.87     | 0.01%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 11/01/2036#CB2246                                                 | CUSIP: 3140QMP81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211120 | PA      | $195186.43    | 0.03%             | 2036-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MFA 2022-RPL1 TR                                            | MFA 2022-RPL1 TR 3.3% 08/25/2061 144A                                            | CUSIP: 55285TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    831386 | PA      | $771734.86    | 0.13%             | 2061-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 09/01/2054#SD6419                                                   | CUSIP: 3132DUDY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    748405 | PA      | $767300.96    | 0.13%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 03/01/2052#RA6926                                                   | CUSIP: 3133KNVT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     44680 | PA      | $38286.37     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 3% 04/01/2038#FM7607                                                   | CUSIP: 3140XBNZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10839 | PA      | $10388.37     | 0.00%             | 2038-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 9/28 #484199                                                          | CUSIP: 36209W3G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        63 | PA      | $63.78        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 1/41 #AB2079                                                          | CUSIP: 31416XJZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    334429 | PA      | $319094.69    | 0.05%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.0% 05/15/2043#AD0793                                                 | CUSIP: 36180B3A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25973 | PA      | $23280.57     | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 6/35 #003722                                                       | CUSIP: 36202ED30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1209 | PA      | $1194.29      | 0.00%             | 2035-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 03/01/2042#MA4570                                                   | CUSIP: 31418ECG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1773744 | PA      | $1491590.10   | 0.25%             | 2042-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 06/01/2055 #TBA                                                       | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -29150000 | PA      | $-29433128.12 | -4.84%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #646424                                                          | CUSIP: 31390HD51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       468 | PA      | $497.76       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                               | DLLAA 2023-1A 5.93% 07/20/2026 144A                                              | CUSIP: 23292HAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18114 | PA      | $18141.93     | 0.00%             | 2026-07-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 10/40 #AE4645                                                         | CUSIP: 31419FET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14333 | PA      | $13728.59     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.50% 12/40 #004881                                                      | CUSIP: 36202FM60<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2274 | PA      | $2114.03      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-C29                            | WELLS FARGO COML MTG TR 2015-C29 A4 3.637% 06/15/2048                            | CUSIP: 94989KAV5<br>LEI: 549300NYO16WLNMVJJ46 | Long             | ABS-MBS          | CORP              | US        |    959912 | PA      | $957517.50    | 0.16%             | 2048-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 09/01/2047#CA0257                                                 | CUSIP: 3140Q7JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    152674 | PA      | $138951.18    | 0.02%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 08/01/2032#J37406                                                   | CUSIP: 31307UGP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14373 | PA      | $13918.09     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 02/20/2051#MA7192                                                     | CUSIP: 36179V7D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    552111 | PA      | $443773.04    | 0.07%             | 2051-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 6.5% 03/01/2055#RJ3700                                           | CUSIP: 3142GUDE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    258666 | PA      | $271261.51    | 0.04%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 09/01/2048#ZM8154                                                   | CUSIP: 3131Y3BX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     40630 | PA      | $37829.21     | 0.01%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 05/20/2046#AS9183                                                   | CUSIP: 36193VFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6008 | PA      | $5410.93      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 08/01/2041#RB5122                                                 | CUSIP: 3133KYVP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    550742 | PA      | $481858.40    | 0.08%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 10/25/2054                            | CUSIP: 3137HFYT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    712904 | PA      | $708815.48    | 0.12%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNR 2004-73 AL TSFR1M+708.552 8/34                                               | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     10098 | PA      | $877.54       | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 02/01/2028#FS3865                                                   | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    102846 | PA      | $100163.21    | 0.02%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 7/35 #255816                                                          | CUSIP: 31371MDV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       682 | PA      | $719.56       | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 6/41 #Q01393                                                          | CUSIP: 3132GERN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     32900 | PA      | $32417.48     | 0.01%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 4/42 #AK9701                                                          | CUSIP: 3138EEX79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25449 | PA      | $24168.84     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2051#BU5834                                                   | CUSIP: 3140M7PU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    209663 | PA      | $164257.33    | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 06/20/2043#MA1092                                                   | CUSIP: 36179NF94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1880 | PA      | $1848.70      | 0.00%             | 2043-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 12/01/2031#AS8511                                                 | CUSIP: 3138WJN53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    275892 | PA      | $263895.40    | 0.04%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                     | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2039 144A                         | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    932099 | PA      | $932681.69    | 0.15%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 12/01/2051#CB2320                                                 | CUSIP: 3140QMSJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    713591 | PA      | $590157.29    | 0.10%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 06/01/2041#BR1090                                                 | CUSIP: 3140KYF82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111072 | PA      | $97729.56     | 0.02%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2021-SP1                            | NEW YORK MORTGAGE TRUST 2021-SP1 4.6696% 08/25/2061 144A                         | CUSIP: 62955RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    291932 | PA      | $290489.53    | 0.05%             | 2061-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2933 ZM 5.75% 02/15/2035                                                     | CUSIP: 31395MT74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    113229 | PA      | $112089.04    | 0.02%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 9/28 #477463                                                          | CUSIP: 36209PML8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       321 | PA      | $328.02       | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 06/01/2055 #TBA                                                     | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7150000 | PA      | $7100962.44   | 1.17%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 10/01/2047#CA0607                                                 | CUSIP: 3140Q7U96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2527017 | PA      | $2284085.44   | 0.38%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2043#AQ9947                                                 | CUSIP: 3138MSBR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17822 | PA      | $16516.94     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 02/01/2041#                                                       | CUSIP: 3132GE5T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18606 | PA      | $18277.97     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 02/46#BC1354                                                      | CUSIP: 3140EVQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    138083 | PA      | $125714.73    | 0.02%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2021-96 AH 2.5% 03/25/2049                        | CUSIP: 3136BKXA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1350277 | PA      | $1160692.60   | 0.19%             | 2049-03-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2015-GC33                             | CGCMT 2015-GC33 XA CSTR 09/58                                                    | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5262087 | PA      | $2638.94      | 0.00%             | 2058-09-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5.5% 06/01/2055 #TBA                                                   | CUSIP: 01F052664<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -4600000 | PA      | $-4555440.72  | -0.75%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 4.66% 8/35 #745071                                                      | CUSIP: 31403CW80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15215 | PA      | $15602.07     | 0.00%             | 2035-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 11/32#ZK9037                                                        | CUSIP: 3131XDBE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    665385 | PA      | $642277.06    | 0.11%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 04/01/2052#FA0903                                                 | CUSIP: 3140W1AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1346939 | PA      | $1122790.76   | 0.18%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/01/2045#BC4834                                                 | CUSIP: 3140F0LQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $38.85        | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2013-134 SA SOFR30A+593.552 01/25/2044            | CUSIP: 3136AHTW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     27940 | PA      | $3029.75      | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 10/41 #Q04113                                                         | CUSIP: 3132GKGW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13662 | PA      | $13029.37     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 12/40 #AH0851                                                         | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8610 | PA      | $8193.67      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 02/01/2046#AZ6451                                                 | CUSIP: 3138YYEZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71446 | PA      | $65046.69     | 0.01%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2043#Q17564                                                 | CUSIP: 3132J8Z60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8466 | PA      | $7823.29      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 06/01/2050#SD8080                                                   | CUSIP: 3132DV6R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6955471 | PA      | $5462189.37   | 0.90%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 04/01/2049#BN6567                                                 | CUSIP: 3140JPJM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29342 | PA      | $26356.32     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6% 06/01/2053#RA9278                                                   | CUSIP: 3133KRJX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    530644 | PA      | $540891.52    | 0.09%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2047#BE7834                                                 | CUSIP: 3140FTV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55374 | PA      | $50327.90     | 0.01%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2021-IP                                 | GSMS 2021-IP A TSFR1M+106.448 10/15/2036 144A                                    | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    525649 | PA      | $522363.69    | 0.09%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHR 2104 PG 6% 12/28                                                             | CUSIP: 3133THA56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      6658 | PA      | $6781.57      | 0.00%             | 2028-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 07/01/2050#CA6416                                                   | CUSIP: 3140QEDW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2674700 | PA      | $2313672.70   | 0.38%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 3% 08/36#MA2707                                                        | CUSIP: 31418CAH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     24232 | PA      | $22793.65     | 0.00%             | 2036-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.75% 02/25/2052                                  | CUSIP: 3137H5WR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1183902 | PA      | $1034331.06   | 0.17%             | 2052-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4% 08/15/2037                                     | CUSIP: 3137BWYF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      1539 | PA      | $1535.69      | 0.00%             | 2037-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 12/20/2054#MB0091                                                     | CUSIP: 3618N5C56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    864669 | PA      | $839351.50    | 0.14%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 4.293% 3/35 #815586                                                     | CUSIP: 31406PCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1355 | PA      | $1386.43      | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2005-39 TE 5% 5/35                                                           | CUSIP: 31394DTZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     51481 | PA      | $51953.20     | 0.01%             | 2035-05-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 3/1/43#AR6743                                                     | CUSIP: 3138W4P54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78698 | PA      | $72488.87     | 0.01%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 07/01/2035#FM3159                                                   | CUSIP: 3140X6QM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    260281 | PA      | $237321.11    | 0.04%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 04/15/2042#792254                                                   | CUSIP: 36177LQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11029 | PA      | $10545.52     | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                        | WELLS FARGO COML MORTAGE TR 2024-MGP A12 TSFR1M+179.1 08/15/2041 144A            | CUSIP: 95003TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $994997.00    | 0.16%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 09/01/2054#SD6617                                                 | CUSIP: 3132DUK63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3913841 | PA      | $4083019.08   | 0.67%             | 2054-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2052#CB2886                                                   | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1103595 | PA      | $947908.22    | 0.16%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 3% 04/01/2036#MA2579                                                   | CUSIP: 31418B2M7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12108 | PA      | $11431.07     | 0.00%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 1/41 #AE9338                                                          | CUSIP: 31419LLU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12073 | PA      | $11528.50     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 05/43 #MA1012                                                       | CUSIP: 36179NDR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31139 | PA      | $28585.86     | 0.00%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 12/33 #G03583                                                         | CUSIP: 3128M5J43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6524 | PA      | $6899.21      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 22-67 FA SOFR30A+80 10/25/2052                    | CUSIP: 3136BPBP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1870872 | PA      | $1814939.34   | 0.30%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 3.47% 3/40 #AD0820                                                      | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5446 | PA      | $5644.15      | 0.00%             | 2040-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 04/01/2037#BM1257                                                 | CUSIP: 3140J5MF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2208459 | PA      | $2008931.54   | 0.33%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LN TR 2022-CP1                                         | NYMT LN TR 2022-CP1 2.0424% 07/25/2061 144A                                      | CUSIP: 62955VAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    756486 | PA      | $698438.24    | 0.11%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 10/41 #479596                                                         | CUSIP: 36209RXZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2332 | PA      | $2237.79      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 8/32 #663318                                                          | CUSIP: 31391C4B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20204 | PA      | $21556.51     | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 12/01/2047#ZM5206                                                 | CUSIP: 3131XYYB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12374 | PA      | $11249.86     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-DIME                                          | BX TRUST 2025-DIME A TSFR1M+115 02/15/2035 144A                                  | CUSIP: 05613UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99625.00     | 0.02%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 6/36 #885763                                                          | CUSIP: 31410DB82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9408 | PA      | $9905.92      | 0.00%             | 2036-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 06/15/2042#AA0565                                                 | CUSIP: 36177WTW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2377 | PA      | $2270.20      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 3.5% 02/43 #Q15871                                                          | CUSIP: 3132J66H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26621 | PA      | $24876.50     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 8.00% 12/29 #252926                                                         | CUSIP: 31371H4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        17 | PA      | $17.74        | 0.00%             | 2029-12-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 10/01/2049#SD8016                                                   | CUSIP: 3132DV3Z6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    332142 | PA      | $286894.99    | 0.05%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 03/20/44#MA1760                                                     | CUSIP: 36179N5V6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2408 | PA      | $2208.52      | 0.00%             | 2044-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 02/01/2043#ZS3684                                                 | CUSIP: 3132A4CV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    253725 | PA      | $234954.96    | 0.04%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 10/01/2053#CB7297                                                 | CUSIP: 3140QTDB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1013435 | PA      | $1015947.80   | 0.17%             | 2053-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 03/20/2052#                                                           | CUSIP: 36179WY85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1638422 | PA      | $1317434.43   | 0.22%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 06/01/2055 #TBA                                                     | CUSIP: 21H032662<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11425000 | PA      | $10169286.25  | 1.67%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/01/2050#FM3897                                                   | CUSIP: 3140X7KK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    364662 | PA      | $288309.35    | 0.05%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 06/01/2054#CB8689                                                 | CUSIP: 3140QUUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    768338 | PA      | $762800.55    | 0.13%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 12/20/2051#785791                                                   | CUSIP: 3622ABKC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    409398 | PA      | $340193.55    | 0.06%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/01/2051#FS4654                                                   | CUSIP: 3140XLE46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1863651 | PA      | $1462376.12   | 0.24%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 9.00% 10/30 #567024                                                         | CUSIP: 31386L4H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13641 | PA      | $14488.68     | 0.00%             | 2030-10-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 02/01/2051#RA4575                                                 | CUSIP: 3133KLCL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    419850 | PA      | $345783.25    | 0.06%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                           | SREIT TR 2021-MFP B TSFR1M+119.428 98 11/15/2038 144A                            | CUSIP: 78472UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    276966 | PA      | $276100.65    | 0.05%             | 2038-11-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    400000 | NC      | $30574.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2045#Q34458                                                 | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    111969 | PA      | $105437.58    | 0.02%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 11/20/2050#MA6994                                                     | CUSIP: 36179VXX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2928694 | PA      | $2354010.51   | 0.39%             | 2050-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 3/40 #737104                                                          | CUSIP: 3620AQ3M3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     31926 | PA      | $31383.31     | 0.01%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 9/40 #004801                                                       | CUSIP: 36202FKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     54279 | PA      | $53395.32     | 0.01%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.50% 11/39 #AC5442                                                         | CUSIP: 31417SBL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     93270 | PA      | $91789.89     | 0.02%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 09/01/2047#ZM4241                                                 | CUSIP: 3131XXWA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6038 | PA      | $5495.06      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 7/26 #256384                                                          | CUSIP: 31371MXM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        96 | PA      | $95.59        | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 09/01/2053#CB7134                                                 | CUSIP: 3140QS4U2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    584460 | PA      | $606025.49    | 0.10%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 5/29 #510903                                                          | CUSIP: 36211ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1194 | PA      | $1216.17      | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE OWNER TRUST 2025-A                              | BMW VEHICLE OWNER TRUST 2025-A 4.56% 09/25/2029                                  | CUSIP: 096924AD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200000 | PA      | $201035.66    | 0.03%             | 2029-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 12/01/2040#AE0698                                                 | CUSIP: 31419AX44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68247 | PA      | $67101.59     | 0.01%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 12/01/2051#CB2346                                                   | CUSIP: 3140QMTC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    508796 | PA      | $403059.69    | 0.07%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2045#Q33801                                                 | CUSIP: 3132QQGK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10710 | PA      | $9743.81      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                      | CUSIP: 3136AA2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     26825 | PA      | $24791.38     | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 6/39 #AA9805                                                          | CUSIP: 31416T3P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1722 | PA      | $1652.28      | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 05/01/2053#FS4631                                                 | CUSIP: 3140XLED6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    951327 | PA      | $950118.41    | 0.16%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 05/01/2050#FM3237                                                 | CUSIP: 3140X6S36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    215667 | PA      | $192709.95    | 0.03%             | 2050-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                     | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    374876 | PA      | $329528.59    | 0.05%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 03/01/2044#V81064                                                 | CUSIP: 3132L6FD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1875 | PA      | $1824.24      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2015-C31                            | WFCM 2015-C31 XA CSTR 11/48                                                      | CUSIP: 94989WAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3081021 | PA      | $1069.73      | 0.00%             | 2048-11-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 12/01/2032#BM5345                                                   | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1053519 | PA      | $1020815.79   | 0.17%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 12/26 #C91019                                                    | CUSIP: 3128P7DY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1057 | PA      | $1067.07      | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2802 OB 6% 5/34                                                              | CUSIP: 31394YPA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     29628 | PA      | $30199.37     | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 7/29 #506350                                                          | CUSIP: 31383LQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1339 | PA      | $1398.78      | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 3/42 #AK7441                                                          | CUSIP: 3138ECHT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21912 | PA      | $20810.14     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA FHAL 7% 12/28#252285                                                        | CUSIP: 31371HF29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       524 | PA      | $533.51       | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 4/1/43 #AT3073                                                    | CUSIP: 3138WQMX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18002 | PA      | $16606.69     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2046#AS7822                                                 | CUSIP: 3138WHVQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     96583 | PA      | $87660.46     | 0.01%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TR 2025-P1                         | CARVANA AUTO RECEIVABLES TR 2025-P1 4.5% 06/12/2028                              | CUSIP: 14689MAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    485000 | PA      | $484222.59    | 0.08%             | 2028-06-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 10/41 #772072                                                         | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20965 | PA      | $20060.64     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 10/01/2052#FS3047                                                   | CUSIP: 3140XJL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    952943 | PA      | $933473.77    | 0.15%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 10/01/2051#MA4438                                                 | CUSIP: 31418D4Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2087375 | PA      | $1708698.04   | 0.28%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2                  | EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2 4.74% 01/16/2029                      | CUSIP: 30168JAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1080000 | PA      | $1080917.03   | 0.18%             | 2029-01-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2007-66 SB SOFR30A+3891.312 7/37                                             | CUSIP: 31396WYZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      3805 | PA      | $4217.66      | 0.00%             | 2037-07-25      | Variable      | 0.13%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 11/01/2041#BT9396                                                 | CUSIP: 3140LYNN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105880 | PA      | $92854.78     | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 09/01/2054#CB9216                                                   | CUSIP: 3140QVG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1635307 | PA      | $1654621.18   | 0.27%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 02/25/2055                            | CUSIP: 3137HJYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   1290012 | PA      | $1284430.85   | 0.21%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FS9872                                                   | CUSIP: 3140XR6J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    201773 | PA      | $159714.97    | 0.03%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A        | WORLD OMNI AUTOMOBILE LEASE SECURITIZATION TR 2025-A 4.35% 12/15/2027            | CUSIP: 98164PAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    700000 | PA      | $698897.71    | 0.11%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 03/01/2054#CB8112                                                   | CUSIP: 3140QUAN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383069 | PA      | $387713.27    | 0.06%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 04/20/2055#MB0306                                                   | CUSIP: 3618N5KU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    105180 | PA      | $99318.48     | 0.02%             | 2055-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2               | SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2 4.67% 08/15/2029                   | CUSIP: 80287NAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    600000 | PA      | $601798.14    | 0.10%             | 2029-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 07/01/2041#CB1071                                                   | CUSIP: 3140QLFM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    690144 | PA      | $583768.30    | 0.10%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.875% 08/15/2034                                                      | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6750000 | PA      | $6501541.28   | 1.07%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 02/15/2042#778869                                                 | CUSIP: 36176XCE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16009 | PA      | $15327.98     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 11/01/2050#CA7616                                                   | CUSIP: 3140QFPA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581609 | PA      | $457832.75    | 0.08%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.83% 10/16/2028                  | CUSIP: 30185AAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     65000 | PA      | $64944.47     | 0.01%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 01/01/2046#G08687                                                 | CUSIP: 3128MJXR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     48468 | PA      | $44048.19     | 0.01%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 04/01/2054#SD7569                                                   | CUSIP: 3132DVMS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2156355 | PA      | $2206756.44   | 0.36%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 10/01/2051#CB1799                                                   | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2032566 | PA      | $1610164.77   | 0.26%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 06/01/2044#AL5512                                                 | CUSIP: 3138ENDS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45519 | PA      | $44222.30     | 0.01%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4% 10/15/2046                                     | CUSIP: 3137BYNZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    184707 | PA      | $179282.79    | 0.03%             | 2046-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 5/32 #641058                                                          | CUSIP: 31390BE79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3253 | PA      | $3470.76      | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 03/01/2033#AB0066                                                   | CUSIP: 31416VCC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25465 | PA      | $25588.32     | 0.00%             | 2033-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 02/01/2041#MA4266                                                 | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    133643 | PA      | $110166.58    | 0.02%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 05/01/2051#MA4326                                                 | CUSIP: 31418DYY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    846730 | PA      | $693915.83    | 0.11%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3002 NE 5% 7/35                                                              | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     30243 | PA      | $30808.55     | 0.01%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+145 10/25/2053                            | CUSIP: 3137HAT48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    725459 | PA      | $729857.49    | 0.12%             | 2053-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 3.75% 04/15/2028                                                       | CUSIP: 91282CMW8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4450000 | PA      | $4435746.12   | 0.73%             | 2028-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 01/01/2037#FS2747                                                 | CUSIP: 3140XJBR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    991871 | PA      | $872035.61    | 0.14%             | 2037-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST.                                      | CCG RECEIVABLES TRUST. 4.48% 10/14/2032 144A                                     | CUSIP: 12515XAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    120000 | PA      | $119989.84    | 0.02%             | 2032-10-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 06/01/2053#CB6539                                                   | CUSIP: 3140QSHR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729841 | PA      | $744162.93    | 0.12%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 02/01/2053#CB5600                                                 | CUSIP: 3140QRGJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332827 | PA      | $331780.43    | 0.05%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 9/35 #A47784                                                          | CUSIP: 3128K8UH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14847 | PA      | $15657.78     | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+145 11/25/2053                            | CUSIP: 3136BQRD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1487428 | PA      | $1497999.38   | 0.25%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 11/39 #004577                                                      | CUSIP: 36202FCN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1612 | PA      | $1586.74      | 0.00%             | 2039-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 03/01/2036#BR4700                                                 | CUSIP: 3140L3GJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15090 | PA      | $13309.30     | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 2.691% 02/01/2042#AK2344                                                | CUSIP: 3138E6TA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5155 | PA      | $5370.39      | 0.00%             | 2042-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JOHN DEERE OWNER TRUST 2025                                 | JOHN DEERE OWNER TRUST 2025 4.23% 03/15/2028 REGS                                | CUSIP: 47800DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    700000 | PA      | $698516.07    | 0.11%             | 2028-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD      | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                         | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    299150 | PA      | $291118.42    | 0.05%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 09/01/2051#QC7480                                                   | CUSIP: 3133ASJZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14803 | PA      | $13825.54     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 12/01/2051#FM9919                                                   | CUSIP: 3140XEAV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    524711 | PA      | $451016.39    | 0.07%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+153 07/25/2054                            | CUSIP: 3136BSMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    666935 | PA      | $667061.24    | 0.11%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 09/01/2051#MA4414                                                 | CUSIP: 31418D3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37488 | PA      | $30687.04     | 0.01%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 22-64 GF SOFR30A+80 10/25/2052                    | CUSIP: 3136BPDD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    551219 | PA      | $540193.25    | 0.09%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 06/01/2042#C04038                                                 | CUSIP: 31292LPX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31889 | PA      | $29606.34     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   2000000 | NC      | $-35014.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 6/41 #754005                                                          | CUSIP: 36230NNW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6835 | PA      | $6588.78      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6                 | CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P6 XA CSTR 12/10/2049                   | CUSIP: 17291EBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6138996 | PA      | $36772.59     | 0.01%             | 2049-12-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                   | JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2 A1 VAR 09/25/2065 144A                 | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $500560.90    | 0.08%             | 2065-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 2/27 #D97194                                                     | CUSIP: 3128E37F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       117 | PA      | $116.79       | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 2.5% 01/01/2052#FA0375                                            | CUSIP: 3140W0MZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    282460 | PA      | $231924.24    | 0.04%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 11/01/2050#QB6612                                                 | CUSIP: 3133ADKZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     60186 | PA      | $45005.58     | 0.01%             | 2050-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 01/01/2053#SD2186                                                   | CUSIP: 3132DPNB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    762637 | PA      | $745149.34    | 0.12%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2.5% 06/01/2055 #TBA                                                   | CUSIP: 01F022667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  14150000 | PA      | $11531695.32  | 1.90%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6.5% 07/01/2055 #TBA                                                     | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3600000 | PA      | $3674450.16   | 0.60%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 3.50% 4/42 #C03811                                                          | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    605193 | PA      | $563327.66    | 0.09%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2022-1 KA 3% 05/25/2048                           | CUSIP: 3136BLMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    262445 | PA      | $238306.16    | 0.04%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2996 ZD 5.5% 06/35                                                           | CUSIP: 31395UZR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     71188 | PA      | $70151.52     | 0.01%             | 2035-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 10/01/2051#FM9068                                                 | CUSIP: 3140XDCE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    195574 | PA      | $160950.12    | 0.03%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2045#AS6262                                                 | CUSIP: 3138WF5Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3512 | PA      | $3187.51      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 8/40 #741372                                                          | CUSIP: 3620AVT51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34788 | PA      | $34186.29     | 0.01%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 09/01/2047#ZM4140                                                 | CUSIP: 3131XXS51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6471 | PA      | $5889.25      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 8/39 #710465                                                          | CUSIP: 36297FJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    124146 | PA      | $122033.19    | 0.02%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 09/20/2040#004799                                                   | CUSIP: 36202FKL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5147 | PA      | $4779.27      | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 09/01/2050#SD8092                                                   | CUSIP: 3132DV7D1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17489 | PA      | $15051.57     | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 12/25/2054                            | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1766396 | PA      | $1761343.75   | 0.29%             | 2054-12-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 12/40 #737790                                                         | CUSIP: 3620ARUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3696 | PA      | $3547.94      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 5.78% 10/35 #1N0063                                                     | CUSIP: 3128QGB84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       134 | PA      | $139.52       | 0.00%             | 2035-10-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 12/01/2033#C91737                                                 | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    100873 | PA      | $98084.24     | 0.02%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 03/01/2052#SD3489                                                   | CUSIP: 3132DQ2W5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    567967 | PA      | $446384.35    | 0.07%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 3/42 #Q06886                                                          | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     35111 | PA      | $33501.27     | 0.01%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                            | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     23237 | PA      | $924.43       | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNMA 2017-H06 FA T1Y+35 08/66                                                    | CUSIP: 38376RV60<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     84253 | PA      | $83835.99     | 0.01%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                            | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    105667 | PA      | $100825.19    | 0.02%             | 2036-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                   | CUSIP: 3137H5UF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    211635 | PA      | $181385.84    | 0.03%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 06/01/2041#MA4364                                                   | CUSIP: 31418DZ62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17786 | PA      | $15064.61     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 11/01/2040#AE8265                                                 | CUSIP: 31419KFF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11682 | PA      | $11215.17     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 11/01/2052#SD1863                                                   | CUSIP: 3132DPB80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1403171 | PA      | $1374065.86   | 0.23%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UPGRADE RECEIVABLES TRUST 2024-1A                           | UPGRADE RECEIVABLES TRUST 2024-1A 5.37% 02/18/2031 144A                          | CUSIP: 91533NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    175334 | PA      | $175426.36    | 0.03%             | 2031-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.0% 03/01/2043#Q16470                                                 | CUSIP: 3132J7T44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22048 | PA      | $19907.26     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.50% 10/39 #932130                                                         | CUSIP: 31412QST7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45054 | PA      | $44463.01     | 0.01%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                            | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    379176 | PA      | $375921.68    | 0.06%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                           | CIM TRUST 2025-R1 5% 02/25/2099 144A                                             | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1497230 | PA      | $1469565.99   | 0.24%             | 2099-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 6% 07/01/2039#SB1215                                                   | CUSIP: 3132CXK43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3003904 | PA      | $3077354.58   | 0.51%             | 2039-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 0.0% 01/01/2042#AJ8357                                                  | CUSIP: 3138E1JB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11936 | PA      | $12423.69     | 0.00%             | 2042-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 05/01/2054#                                                         | CUSIP: 3140QUNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1849067 | PA      | $1871483.50   | 0.31%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2043#Q19764                                                 | CUSIP: 3132JBJJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10351 | PA      | $9788.27      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 04/51#MA7311                                                          | CUSIP: 36179WDQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225858 | PA      | $181538.73    | 0.03%             | 2051-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2587 IM 6.5% 3/33                                                            | CUSIP: 31393NA66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      8508 | PA      | $1265.88      | 0.00%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 03/01/2049#ZN6553                                                   | CUSIP: 3131YDH64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    564566 | PA      | $525124.89    | 0.09%             | 2049-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 03/01/2053#SD7559                                                 | CUSIP: 3132DVMG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3136570 | PA      | $3145328.07   | 0.52%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 07/01/2043#Q19597                                                 | CUSIP: 3132JBDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28862 | PA      | $27324.03     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/01/2051#CB1109                                                   | CUSIP: 3140QLGT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18539 | PA      | $14524.43     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 06/01/2054#SD7571                                                 | CUSIP: 3132DVMU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1445624 | PA      | $1502577.63   | 0.25%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 03/01/2039#AV6581                                                   | CUSIP: 3138XJJ32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41903 | PA      | $40103.61     | 0.01%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    600000 | NC      | $45861.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 10/01/2044#AS3651                                                 | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35329 | PA      | $34256.54     | 0.01%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $7643.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 10/01/2053#RJ0002                                                 | CUSIP: 3142GQAC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    320185 | PA      | $331798.93    | 0.05%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   2400000 | NC      | $-42017.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 06/01/2055 #TBA                                                     | CUSIP: 21H052660<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -7150000 | PA      | $-7100962.44  | -1.17%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 08/20/2043#MA1225                                                   | CUSIP: 36179NLE6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22916 | PA      | $21804.21     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 5.00% 11/33 #G01625                                                         | CUSIP: 31283HYW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    117609 | PA      | $118386.04    | 0.02%             | 2033-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 04/01/2052#SD7554                                                 | CUSIP: 3132DVMB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1100155 | PA      | $912261.54    | 0.15%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 05/01/2055#CC0404                                                   | CUSIP: 3140Y6NW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    890351 | PA      | $910118.24    | 0.15%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 09/01/2050#SD8090                                                   | CUSIP: 3132DV7B5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1430650 | PA      | $1122607.32   | 0.18%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 12M+1.75 9/1/41 #1B8787                                                 | CUSIP: 3128UHEK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14454 | PA      | $14972.71     | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#CB3038                                                   | CUSIP: 3140QNLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    172684 | PA      | $135609.92    | 0.02%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 04/01/2041#                                                         | CUSIP: 3133KYU98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1259119 | PA      | $1067667.20   | 0.18%             | 2041-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 3/41 #004978                                                       | CUSIP: 36202FQ74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9904 | PA      | $9739.65      | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 05/01/2043#Q18363                                                 | CUSIP: 3132J9WZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5713 | PA      | $5402.45      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 09/42#G07184                                                        | CUSIP: 3128M9J52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1463114 | PA      | $1391739.23   | 0.23%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 08/01/2048#ZS4785                                                   | CUSIP: 3132A5J63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    167433 | PA      | $155893.10    | 0.03%             | 2048-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 10/32 #G01766                                                         | CUSIP: 31283H6B6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13525 | PA      | $14105.90     | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 05/01/2053#FS4662                                                 | CUSIP: 3140XLFC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    723713 | PA      | $751603.87    | 0.12%             | 2053-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 11/01/2041#RB5135                                                   | CUSIP: 3133KYV48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    548686 | PA      | $462749.39    | 0.08%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 1.5% 01/01/2051#MA4236                                                 | CUSIP: 31418DV66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2407786 | PA      | $1780926.90   | 0.29%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 11/34 #A45143                                                         | CUSIP: 3128K5WC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5756 | PA      | $6057.07      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                            | WHEELS FLEET LEASE FUNDING 1 LLC 2023-1A A 5.8% 04/18/2038 144A                  | CUSIP: 96328GAS6<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    428279 | PA      | $430826.15    | 0.07%             | 2038-04-18      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 04/01/2041#AH4043                                                 | CUSIP: 3138A5P55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35579 | PA      | $34883.10     | 0.01%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2218 ZB 6% 3/30                                                              | CUSIP: 3133TNM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      3817 | PA      | $3892.05      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY873248 04/17/65 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |     90000 | NC      | $15344.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 10/01/2039#                                                       | CUSIP: 312936C70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9768 | PA      | $9618.54      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/01/2046#BM5096                                                 | CUSIP: 3140J9UW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1364850 | PA      | $1260335.22   | 0.21%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2021-BXMF                                                | BX 2021-BXMF TSFR1M+75.041 10/15/2026 144A                                       | CUSIP: 05609RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242408 | PA      | $241498.77    | 0.04%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                   | CUSIP: 3137H5VK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    205887 | PA      | $176433.97    | 0.03%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TESLA 2024-A A3                                             | TESLA 2024-A A3 5.37% 06/22/2026 144A                                            | CUSIP: 88166VAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     18005 | PA      | $18019.19     | 0.00%             | 2026-06-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 02/01/2055#CB9989                                                   | CUSIP: 3140QWC34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1172969 | PA      | $1197910.66   | 0.20%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3% 10/25/2040                                     | CUSIP: 3137FXBN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    119362 | PA      | $106367.45    | 0.02%             | 2040-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 9/41 #Q03529                                                          | CUSIP: 3132GJSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5125 | PA      | $5045.31      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 12/01/2050#MA4211                                                   | CUSIP: 31418DVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1009159 | PA      | $868528.82    | 0.14%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2052#SD0958                                                 | CUSIP: 3132DNB36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10614486 | PA      | $9547637.76   | 1.57%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 11/36 #995606                                                           | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1308 | PA      | $1343.72      | 0.00%             | 2036-11-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                           | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    220116 | PA      | $185605.04    | 0.03%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/01/2050#MA4077                                                   | CUSIP: 31418DQ70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1040336 | PA      | $816334.30    | 0.13%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG2012-9 SH SOFR30A+643.552 06/25/2041                              | CUSIP: 3136A3M81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       499 | PA      | $1.06         | 0.00%             | 2041-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    200000 | NC      | $15287.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 03/01/2046#BM4980                                                   | CUSIP: 3140J9RA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    187143 | PA      | $177875.23    | 0.03%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 7.00% 12/26 #256589                                                    | CUSIP: 31371M7A9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       381 | PA      | $383.60       | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.00% 5/42 #Q08167                                                          | CUSIP: 3132GTMQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     34311 | PA      | $32746.35     | 0.01%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                            | BANK5 2025-5YR14 CSTR 04/15/2058                                                 | CUSIP: 06604MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5299185 | PA      | $221114.84    | 0.04%             | 2058-04-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4% 06/01/2055 #TBA                                                       | CUSIP: 21H040665<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2300000 | PA      | $2107919.18   | 0.35%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 11/01/2052#FS3248                                                   | CUSIP: 3140XJTE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    518288 | PA      | $507699.03    | 0.08%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 3.753% 10/33 #746320                                                    | CUSIP: 31403EDZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2009 | PA      | $2050.67      | 0.00%             | 2033-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO LEASE TRUST 2024-B                         | FORD CREDIT AUTO LEASE TRUST 2024-B A3 4.99% 12/15/2027                          | CUSIP: 345279AD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1600000 | PA      | $1608684.48   | 0.26%             | 2027-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 4% 01/01/2036#G30933                                                   | CUSIP: 3132J4HK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    212856 | PA      | $206418.08    | 0.03%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                   | UST NOTES 4.75% 02/15/2045                                                       | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3730000 | PA      | $3640829.69   | 0.60%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHR 2095 PE 6% 11/28                                                             | CUSIP: 3133TGWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     20161 | PA      | $20525.08     | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 01/20/2043#MA0852                                                   | CUSIP: 36179M5M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116971 | PA      | $107897.97    | 0.02%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 6/40 #745083                                                          | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     59405 | PA      | $58368.84     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 12/01/2035#MA4205                                                 | CUSIP: 31418DU75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    567667 | PA      | $500680.08    | 0.08%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US LONG BOND(CBT) FUT SEP25 USU5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -19 | NC      | $-51396.14    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 03/20/2050#MA6541                                                     | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    532689 | PA      | $465341.76    | 0.08%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                          | BRAVO RESIDENTIAL FDG TR 2025-NQM5 STEP 02/25/2065 144A                          | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500000 | PA      | $500252.10    | 0.08%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2052#FS0631                                                   | CUSIP: 3140XFVZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    682045 | PA      | $585827.56    | 0.10%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 05/51#QC1514                                                        | CUSIP: 3133AKVF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    256627 | PA      | $202733.91    | 0.03%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                 | MERCHANTS FLEET FUNDING LLC 5.82% 04/20/2037 144A                                | CUSIP: 588926AF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    252086 | PA      | $253625.89    | 0.04%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 09/01/2054#SD7574                                                   | CUSIP: 3132DVMX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    187733 | PA      | $191416.80    | 0.03%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MFRA TRST                                                   | MFRA TRUST VAR 02/25/2066 144A                                                   | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    275675 | PA      | $255166.88    | 0.04%             | 2066-02-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 6.50% 10/34 #605525                                                         | CUSIP: 36200NVS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20012 | PA      | $20673.36     | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 08/01/2051#MA4399                                                 | CUSIP: 31418D3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    168763 | PA      | $138147.39    | 0.02%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THORNBURG MTG SECS TR                                       | TMST 2003-4 A1 TSFR1M+75.448 9/43                                                | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    200351 | PA      | $193171.35    | 0.03%             | 2043-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 09/01/2054#CB9209                                                 | CUSIP: 3140QVGT5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1364844 | PA      | $1354580.40   | 0.22%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.01% 07/25/2025                                  | CUSIP: 3137BLMZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26361 | PA      | $26280.68     | 0.00%             | 2025-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 12/31 #556294                                                         | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1102 | PA      | $1133.80      | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 3/32 #C64888                                                          | CUSIP: 31287QND9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1191 | PA      | $1242.63      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                   | CUSIP: 3137F64V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    600319 | PA      | $493258.44    | 0.08%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 2/40 #711188                                                          | CUSIP: 36297GCZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1418 | PA      | $1394.21      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 09/01/2051#FS6219                                                 | CUSIP: 3140XM4D5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    696158 | PA      | $621619.92    | 0.10%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 5.37% 6/36 #916726                                                      | CUSIP: 31411WPK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10712 | PA      | $10953.75     | 0.00%             | 2036-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                    | DELL EQUIP FIN TR 2025-1 4.61% 02/24/2031 144A                                   | CUSIP: 24703UAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $401952.44    | 0.07%             | 2031-02-24      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 10/01/2047#Q51296                                                 | CUSIP: 3132XTNN4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9368 | PA      | $8992.51      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.5% MAC 06/18/45                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -10900000 | NC      | $208210.69    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                     | BX COML MTG TR 2024-XL5 B TSFR1M+169.12 03/15/2039 144A                          | CUSIP: 05612GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    159262 | PA      | $159361.09    | 0.03%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 05/01/2039#                                                       | CUSIP: 312933G73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     82090 | PA      | $80941.60     | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.5% 04/25/2051                                   | CUSIP: 3137H22J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    172282 | PA      | $142690.04    | 0.02%             | 2051-04-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 5/46#Q40310                                                         | CUSIP: 3132WDKY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     79268 | PA      | $69923.31     | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY451600 12/16/72 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    760000 | NC      | $-1383.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 02/01/2045#G07949                                                   | CUSIP: 3128MAEW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    159215 | PA      | $150518.50    | 0.02%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 11/01/2042#Q13381                                                 | CUSIP: 3132HPXJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1049 | PA      | $1017.25      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 05/01/2031#BC0919                                                 | CUSIP: 3140EVAV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     34647 | PA      | $33273.83     | 0.01%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH CAPITAL SERVICES , INC.                       | MLCS SWAP CY451600 12/16/72 B                                                    | CUSIP: N/A<br>LEI: GDWTXX036O1TB7DW3U69       | N/A              | DCR              | CORP              | US        |    720000 | NC      | $-1310.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    300000 | NC      | $-5252.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2024-2                                 | CARMAX AUTO OWNER TR 2024-2 5.5% 01/16/2029                                      | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    158000 | PA      | $160072.47    | 0.03%             | 2029-01-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 6.50% 7/36 #658019                                                          | CUSIP: 36294SAU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       335 | PA      | $348.18       | 0.00%             | 2036-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 01/20/2051#MA7135                                                     | CUSIP: 36179V4U1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9655004 | PA      | $7760448.28   | 1.28%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 11/01/2053#SD4349                                                   | CUSIP: 3132E0ZN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   8988922 | PA      | $9162505.20   | 1.51%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 07/01/2035#SB8065                                                 | CUSIP: 3132D56A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    221981 | PA      | $196618.21    | 0.03%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 12/01/2044#AX5347                                                 | CUSIP: 3138Y65H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    147132 | PA      | $138791.06    | 0.02%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2051#BT0253                                                   | CUSIP: 3140LNH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10511 | PA      | $9816.69      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 7/41 #748144                                                          | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3670 | PA      | $3509.02      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 7/28 #481798                                                          | CUSIP: 36209UGF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       578 | PA      | $585.15       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 05/01/2052#FS7943                                                 | CUSIP: 3140XPZH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    103078 | PA      | $85183.64     | 0.01%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 04/01/2037#FS1697                                                   | CUSIP: 3140XG3F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    463291 | PA      | $437286.91    | 0.07%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 07/01/2032#C91467                                                 | CUSIP: 3128P7TY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    413102 | PA      | $403181.54    | 0.07%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 08/01/2054#CB9059                                                 | CUSIP: 3140QVB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    291372 | PA      | $289271.97    | 0.05%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                           | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    160689 | PA      | $139126.44    | 0.02%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 06/47#BH1008                                                      | CUSIP: 3140GPDN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6961 | PA      | $6675.48      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C25 | MSBAM 2015-C25 XA CSTR 10/48                                                     | CUSIP: 61765TAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2466484 | PA      | $1402.94      | 0.00%             | 2048-10-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 11/41 #005234                                                      | CUSIP: 36202FY75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1218 | PA      | $1196.94      | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 11/01/2047#ZM4961                                                 | CUSIP: 3131XYQN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     51695 | PA      | $47048.40     | 0.01%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 4/32 #638545                                                          | CUSIP: 31389XL27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1342 | PA      | $1431.81      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TR 2025-A                         | CARMAX SELECT RECEIVABLES TR 2025-A 4.77% 09/17/2029                             | CUSIP: 14319UAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    325000 | PA      | $326314.79    | 0.05%             | 2029-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3.5% 02/01/2034#G16752                                                 | CUSIP: 3128MFWM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    249633 | PA      | $240660.12    | 0.04%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3949 MK 4.5% 10/34                                                           | CUSIP: 3137AFZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     21380 | PA      | $21090.69     | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 5.5% 09/20/2054#MA9906                                                   | CUSIP: 36180AAF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    744606 | PA      | $740026.35    | 0.12%             | 2054-09-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 05/01/2051#FM7352                                                 | CUSIP: 3140XBE22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1554345 | PA      | $1286452.85   | 0.21%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 11/20/2043#MA1448                                                   | CUSIP: 36179NTD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4404 | PA      | $4044.70      | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.0% 06/01/2041#AI5034                                                 | CUSIP: 3138AJSY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7192 | PA      | $7227.99      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 10/01/2048#ZM8580                                                   | CUSIP: 3131Y3Q90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    198342 | PA      | $184485.77    | 0.03%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 3/35 #255661                                                          | CUSIP: 31371L5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       677 | PA      | $711.31       | 0.00%             | 2035-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                    | GS MTG SECS TR 2018-GS10 A4 3.89% 07/10/2051                                     | CUSIP: 36250SAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2122662.96   | 0.35%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 08/15/2041#768109                                                   | CUSIP: 36176KDN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      8559 | PA      | $8220.28      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 09/01/2041#FM8850                                                 | CUSIP: 3140XCZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    370730 | PA      | $324530.72    | 0.05%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 7/29 #514330                                                          | CUSIP: 36211JLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        93 | PA      | $95.00        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO LEASE TRUST 2024-A                       | MERCEDES-BENZ AUTO LEASE TRUST 2024-A 5.32% 01/18/2028                           | CUSIP: 58770JAD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    302000 | PA      | $305177.19    | 0.05%             | 2028-01-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 05/01/2055#SD8533                                                 | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2299999 | PA      | $2279108.95   | 0.37%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 03/01/2046#G60440                                                 | CUSIP: 31335APZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    678263 | PA      | $619380.99    | 0.10%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/01/2042#AQ8878                                                 | CUSIP: 3138MQ2L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9592 | PA      | $8859.49      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHLMC REMI 30YR 5.5% 04/01/2055#RJ4005                                           | CUSIP: 3142GUNX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    699243 | PA      | $693765.91    | 0.11%             | 2055-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 1/41 #004946                                                       | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    100035 | PA      | $98380.32     | 0.02%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 06/01/2029#                                                         | CUSIP: 31293RUJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       234 | PA      | $238.55       | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/01/2046#AL9489                                                 | CUSIP: 3138ERRK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     90631 | PA      | $82173.56     | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO 2024-5C6 MTG TR                                         | BMO 2024-5C6 MTG TR 5.3161% 09/15/2057                                           | CUSIP: 05593QAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1218731.40   | 0.20%             | 2057-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 11/01/2029#                                                       | CUSIP: 31293YAH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       195 | PA      | $202.02       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 02/01/2052#FS3884                                                   | CUSIP: 3140XKJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    376984 | PA      | $323801.63    | 0.05%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+61.448 10/20/2049                          | CUSIP: 38382AFL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    116390 | PA      | $113863.64    | 0.02%             | 2049-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-GRP                            | WELLS FARGO COML MTG 2024-GRP A TSFR1M+179.132 10/15/2041 144A                   | CUSIP: 95003YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    637000 | PA      | $639166.56    | 0.11%             | 2041-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 09/01/2046#BD0711                                                 | CUSIP: 3140F7YH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51665 | PA      | $46956.24     | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 07/01/2042#Q09230                                                   | CUSIP: 3132GUST2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    297797 | PA      | $282745.62    | 0.05%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 4% 12/25/2048                                     | CUSIP: 3136BNE69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    229057 | PA      | $222332.98    | 0.04%             | 2048-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885802 12/15/56 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    150000 | NC      | $19528.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 8/41 #Q02849                                                          | CUSIP: 3132GGEW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2543 | PA      | $2503.00      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/20/2046#AR3125                                                   | CUSIP: 36192XPJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15089 | PA      | $13589.75     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 11/01/2041#CB2110                                                   | CUSIP: 3140QMKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    587282 | PA      | $495463.03    | 0.08%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 09/01/2042#AL5881                                                 | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26952 | PA      | $26496.31     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 30YR 2% 03/01/2052#                                                    | CUSIP: 3140W04U6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1570188 | PA      | $1228175.10   | 0.20%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 12/01/2050#QB7301                                                 | CUSIP: 3133AEDE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     42888 | PA      | $32070.87     | 0.01%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 10/01/2047#CA0526                                                 | CUSIP: 3140Q7SQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236768 | PA      | $215486.28    | 0.04%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 11/01/2041#MA4473                                                 | CUSIP: 31418D6K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2714186 | PA      | $2218923.62   | 0.36%             | 2041-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 5.00% 1/35 #G06928                                                          | CUSIP: 3128M9A51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12985 | PA      | $13072.67     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 5/32 #254335                                                          | CUSIP: 31371KPU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3904 | PA      | $4143.14      | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 6/40 #782989                                                          | CUSIP: 36241LKA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    110202 | PA      | $108304.84    | 0.02%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2046#G60603                                                 | CUSIP: 31335AU48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    527841 | PA      | $480697.73    | 0.08%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 3/41 #783295                                                          | CUSIP: 36241LUU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53466 | PA      | $52455.18     | 0.01%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 11/01/2051#FM9501                                                 | CUSIP: 3140XDRX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2322637 | PA      | $1920877.61   | 0.32%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 2/1/43 #AR5859                                                    | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11472 | PA      | $10612.81     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY885802 12/15/56 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $13019.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 3/42 #AK5316                                                          | CUSIP: 3138E94A5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14282 | PA      | $13523.53     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 06/01/2053#CB6538                                                   | CUSIP: 3140QSHQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    953343 | PA      | $973241.91    | 0.16%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 5.0% 06/15/2041#783838                                                 | CUSIP: 3622A2HP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9350 | PA      | $9394.74      | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 7.00% 4/32 #781432                                                       | CUSIP: 36225BSV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22706 | PA      | $23532.02     | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 1/1/43 #Q14696                                                      | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46195 | PA      | $41691.72     | 0.01%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 2/42 #AK3548                                                          | CUSIP: 3138E75J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6805 | PA      | $6485.69      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY562349 11/18/64 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $16546.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 08/20/2051#785602                                                   | CUSIP: 3622ABDF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4406978 | PA      | $3662024.70   | 0.60%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 07/01/2041#SC0162                                                   | CUSIP: 3132D9FB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1721088 | PA      | $1464690.16   | 0.24%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.0% 09/01/2033#AL7521                                                 | CUSIP: 3138EQLB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557647 | PA      | $560655.82    | 0.09%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES   | FNS 351 13 6% 3/34                                                               | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     10943 | PA      | $1850.92      | 0.00%             | 2034-03-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 09/20/2051#785616                                                   | CUSIP: 3622ABDV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1742250 | PA      | $1447741.36   | 0.24%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 4.50% 7/25 #G13844                                                     | CUSIP: 3128MCP58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       224 | PA      | $223.15       | 0.00%             | 2025-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 10/01/2040#FM4644                                                   | CUSIP: 3140X8ES2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40374 | PA      | $34479.70     | 0.01%             | 2040-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #745232                                                          | CUSIP: 3620C04R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33425 | PA      | $32849.76     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 4.07 12/19/29                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2660000 | NC      | $103151.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 3/42 #AK1510                                                          | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21576 | PA      | $20546.13     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 07/20/2043#635118                                                   | CUSIP: 36291QSF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43355 | PA      | $40040.47     | 0.01%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6.5% 06/01/2055 #TBA                                                   | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8900000 | PA      | $9139183.05   | 1.50%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 03/01/2051#SD8133                                                 | CUSIP: 3132DWBA0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    993896 | PA      | $735138.78    | 0.12%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 10/40 #783143                                                         | CUSIP: 36241LP42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     32910 | PA      | $31610.99     | 0.01%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 1/28 #462495                                                          | CUSIP: 36208VXY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        23 | PA      | $22.90        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 01/01/2027#                                                       | CUSIP: 31283GW60<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        24 | PA      | $23.97        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                | Fidelity Cash Central Fund                                                       | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  16113050 | NS      | $16116272.77  | 2.65%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2274 ZM 6.5% 1/31                                                            | CUSIP: 3133TR4H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      6346 | PA      | $6421.73      | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 1/32 #C62372                                                          | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21059 | PA      | $21918.17     | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885802 12/15/56 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $13019.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2001-20 Z 6% 5/31                                                            | CUSIP: 31359SXB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     21073 | PA      | $21368.57     | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 09/39#G05624                                                      | CUSIP: 3128M7SM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     26217 | PA      | $25842.99     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 3/42 #AL1521                                                          | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127767 | PA      | $121325.99    | 0.02%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 3/40 #545934                                                          | CUSIP: 36212WPT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21783 | PA      | $21398.07     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 06/01/2055 #TBA                                                       | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -2450000 | PA      | $-2377309.97  | -0.39%            | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.5% 11/25/2040                                   | CUSIP: 3137F6YK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    789625 | PA      | $649512.37    | 0.11%             | 2040-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 05/01/2052#RA7375                                                   | CUSIP: 3133KPFQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    723536 | PA      | $622256.81    | 0.10%             | 2052-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 10/40 #737559                                                         | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85956 | PA      | $82509.40     | 0.01%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 10/40 #004833                                                      | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    313394 | PA      | $300485.92    | 0.05%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+660.552 06/25/2035                        | CUSIP: 31394D4V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     39656 | PA      | $2931.88      | 0.00%             | 2035-06-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 10/42 #AP7882                                                         | CUSIP: 3138MBXL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53617 | PA      | $49601.22     | 0.01%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2520 BE 6% 11/32                                                             | CUSIP: 31392XV96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     23347 | PA      | $23982.92     | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 01/01/2051#SD8121                                                   | CUSIP: 3132DWAW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9069367 | PA      | $7099575.84   | 1.17%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 7.00% 3/32 #003216                                                       | CUSIP: 36202DSD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3454 | PA      | $3585.73      | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 01/01/2036#SB8083                                                 | CUSIP: 3132D56U1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    578748 | PA      | $510453.19    | 0.08%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 08/01/2041#Q02721                                                 | CUSIP: 3132GGAW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3041 | PA      | $2897.39      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNR 2011-136 WI 4.5% 5/40                                                        | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      4349 | PA      | $187.15       | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 9/42 #AP3391                                                          | CUSIP: 3138M6XV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15874 | PA      | $14739.99     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 07/01/2054#CB8857                                                   | CUSIP: 3140QUZX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1043090 | PA      | $1055736.18   | 0.17%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 01/01/2041#SC0119                                                 | CUSIP: 3132D9DY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326260 | PA      | $286940.21    | 0.05%             | 2041-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 02/01/2049#BM5577                                                   | CUSIP: 3140JAFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    211251 | PA      | $208964.97    | 0.03%             | 2049-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 03/47#Q46995                                                      | CUSIP: 3132WLXZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10932 | PA      | $10510.83     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2.7% 05/25/2047                                   | CUSIP: 3136AWLF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   3313373 | PA      | $2985160.96   | 0.49%             | 2047-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 02/01/2047#Q47737                                                 | CUSIP: 3132WMS39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13904 | PA      | $13368.49     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 09/01/2042#Q11138                                                 | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     16603 | PA      | $15872.41     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 01/01/2052#QD4275                                                   | CUSIP: 3133B1XC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89810 | PA      | $77168.13     | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 12/15/2042#AB8144                                                   | CUSIP: 36178VBM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6701 | PA      | $6411.19      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNR 2011-52 HI 7% 4/41                                                           | CUSIP: 38377VGY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     95197 | PA      | $11640.99     | 0.00%             | 2041-04-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 03/46#BM3928                                                      | CUSIP: 3140J8LJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    450727 | PA      | $443512.97    | 0.07%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                           | SREIT TR 2021-MFP TSFR1M+84.528 08 11/15/2038 144A                               | CUSIP: 78472UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    567300 | PA      | $566590.99    | 0.09%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2048#Q55720                                                   | CUSIP: 3132XYLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5202 | PA      | $4850.25      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 10/26 #256507                                                         | CUSIP: 31371M3Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       585 | PA      | $588.06       | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 11/01/2041#FM9558                                                 | CUSIP: 3140XDTQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    441518 | PA      | $385604.58    | 0.06%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2020-BNK26                                             | BANK 2020-BNK26 2.313% 03/15/2063                                                | CUSIP: 06540JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    677272 | PA      | $644934.91    | 0.11%             | 2063-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FGLMC 30YR 3.5% 09/46#Q43176                                                     | CUSIP: 3132WGQ67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    118816 | PA      | $107869.89    | 0.02%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 12/01/2040#RB5089                                                 | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     78505 | PA      | $64820.92     | 0.01%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 3.63 10/30/25                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  -4100000 | NC      | $-55515.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 06/01/2041#FM7891                                                   | CUSIP: 3140XBXV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     35253 | PA      | $30074.36     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 02/01/2035#FM2502                                                 | CUSIP: 3140X5X81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    338741 | PA      | $316669.06    | 0.05%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 12/15/2040#746175                                                 | CUSIP: 3620C16L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9254 | PA      | $8893.08      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 10/25 #387082                                                         | CUSIP: 36205C6T2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        35 | PA      | $35.03        | 0.00%             | 2025-10-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2020-5058 BE 3% 11/25/2050                        | CUSIP: 3137F8AX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    510450 | PA      | $428768.26    | 0.07%             | 2050-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 01/01/2041#MA4231                                                 | CUSIP: 31418DVZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    131283 | PA      | $108312.64    | 0.02%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 12/20/44#MA2446                                                     | CUSIP: 36179QWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11547 | PA      | $10954.54     | 0.00%             | 2044-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 10/20/2043#MA1375                                                   | CUSIP: 36179NQ43<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4019 | PA      | $3692.27      | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 12/01/2040#MA4202                                                 | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129780 | PA      | $107161.02    | 0.02%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 08/20/2051#785564                                                   | CUSIP: 3622ABB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1153483 | PA      | $958499.16    | 0.16%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 04/20/2043#MA0934                                                   | CUSIP: 36179NBB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187395 | PA      | $172812.30    | 0.03%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 12/46#BC9077                                                      | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    493081 | PA      | $447066.04    | 0.07%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 2.5% 07/01/2036#SB0535                                                 | CUSIP: 3132CWSY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    392622 | PA      | $364463.32    | 0.06%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 07/46#AS7533                                                        | CUSIP: 3138WHLP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    729573 | PA      | $642724.14    | 0.11%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 10/01/2035#BK5705                                                   | CUSIP: 3140HKKT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    468413 | PA      | $426214.87    | 0.07%             | 2035-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 08/01/2031#BC2778                                                 | CUSIP: 3140EXCQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47176 | PA      | $45285.96     | 0.01%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 01/01/2051#MA4237                                                   | CUSIP: 31418DV74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    814791 | PA      | $637824.81    | 0.10%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 01/01/2048#CA0990                                                 | CUSIP: 3140Q8C45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    252096 | PA      | $229200.51    | 0.04%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 08/01/2041#QK0985                                                 | CUSIP: 3133D4CW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67580 | PA      | $59499.20     | 0.01%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.5% 07/15/2043#AC1095                                                 | CUSIP: 36179AGC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17178 | PA      | $15930.26     | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 01/01/2052#FS0191                                                 | CUSIP: 3140XFF97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    159043 | PA      | $131880.19    | 0.02%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2007-57 SA 4062-6*1ML 6/37                                                   | CUSIP: 31396WJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     25290 | PA      | $31234.86     | 0.01%             | 2037-06-25      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2050#SD8106                                                   | CUSIP: 3132DWAF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4518237 | PA      | $3539737.46   | 0.58%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 5.5% 07/01/2053#RA9373                                                 | CUSIP: 3133KRMW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1084167 | PA      | $1083128.83   | 0.18%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6% 06/01/2055 #TBA                                                       | CUSIP: 21H060663<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  29150000 | PA      | $29433128.12  | 4.84%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 05/01/2041#FM7587                                                 | CUSIP: 3140XBND8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    122213 | PA      | $107829.91    | 0.02%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                 | USTN TII 2.375% 02/15/2055                                                       | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2590000 | PA      | $2497453.95   | 0.41%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 04/01/2041#QK0705                                                 | CUSIP: 3133D3YA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    609684 | PA      | $502304.92    | 0.08%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 09/01/2051#QC7496                                                   | CUSIP: 3133ASKH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     19672 | PA      | $16902.65     | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 01/01/2052#CB2695                                                   | CUSIP: 3140QM7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     27353 | PA      | $25529.76     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    130000 | NC      | $22164.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                            | WHEELS FLEET LEASE FUNDING 1 LLC 4.87% 06/21/2039 144A                           | CUSIP: 96328GBT3<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    415000 | PA      | $416121.91    | 0.07%             | 2039-06-21      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 09/01/2043#Q21605                                                 | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20548 | PA      | $19490.80     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 12/01/2047#G61305                                                   | CUSIP: 31335BNW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    518750 | PA      | $484599.29    | 0.08%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4% 09/15/2045                                     | CUSIP: 3137BUF78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     49629 | PA      | $49275.30     | 0.01%             | 2045-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/20/2046#AS4297                                                   | CUSIP: 36193NX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46878 | PA      | $42218.57     | 0.01%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 12/01/2050#SD8115                                                   | CUSIP: 3132DWAQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    593276 | PA      | $510600.83    | 0.08%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 8/39 #698474                                                          | CUSIP: 36296Q6K0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     79969 | PA      | $78660.00     | 0.01%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 8/41 #Q02511                                                          | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3063 | PA      | $3015.79      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 04/20/46#AS7319                                                     | CUSIP: 36193TDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12471 | PA      | $11243.09     | 0.00%             | 2046-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 5/39 #G05457                                                          | CUSIP: 3128M7ME3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37282 | PA      | $36774.83     | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP PAY 3.753 10/31/29                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4600000 | NC      | $202428.34    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 2/42 #AK2525                                                          | CUSIP: 3138E6YX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10862 | PA      | $10400.42     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 02/01/2054#MA5272                                                   | CUSIP: 31418E2E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    281251 | PA      | $284309.00    | 0.05%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 06/20/2054#MA9719                                                   | CUSIP: 36179YYQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    469875 | PA      | $393788.31    | 0.06%             | 2054-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2011-4 PZ 5% 2/41                                                            | CUSIP: 31397QKY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     87020 | PA      | $86185.82     | 0.01%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 08/20/2051#785575                                                   | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    432928 | PA      | $359745.81    | 0.06%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 10/41 #AJ3485                                                         | CUSIP: 3138AU2T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11920 | PA      | $11320.27     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 08/01/2054#CB8984                                                 | CUSIP: 3140QU6W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    755569 | PA      | $758150.76    | 0.12%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 06/01/2039#AS2599                                                   | CUSIP: 3138WB3H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11152 | PA      | $10664.29     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 07/01/2029#                                                         | CUSIP: 31293SRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2703 | PA      | $2762.61      | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNR 2010-170 B 4% 12/40                                                          | CUSIP: 38377NRP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     67342 | PA      | $65132.61     | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2024-B                                | ARI FLEET LEASE TRUST 2024-B 5.54% 04/15/2033 144A                               | CUSIP: 04033HAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     98681 | PA      | $99195.53     | 0.02%             | 2033-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 11/01/2041#QK1203                                                 | CUSIP: 3133D4KQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    144930 | PA      | $127099.09    | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3336 LI SOFR30A+646.552 6/37                                                 | CUSIP: 31397J7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     30183 | PA      | $3364.08      | 0.00%             | 2037-06-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 11/40 #004854                                                      | CUSIP: 36202FMB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    125428 | PA      | $123369.71    | 0.02%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 07/01/2041#CB1069                                                   | CUSIP: 3140QLFK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    469793 | PA      | $399392.27    | 0.07%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 03/01/2041#AH7219                                                 | CUSIP: 3138A9AV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63566 | PA      | $62348.93     | 0.01%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+ 12/25/2054                               | CUSIP: 3136BTF81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    979493 | PA      | $978276.26    | 0.16%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 5/39 #713327                                                          | CUSIP: 36297JPL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20589 | PA      | $20686.69     | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 7/29 #C47273                                                          | CUSIP: 31298GCJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9602 | PA      | $10016.00     | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNMA 13-149 MA 2.5% 5/20/40                                                      | CUSIP: 38378UQY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    124843 | PA      | $122396.51    | 0.02%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                   | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    196520 | PA      | $173111.91    | 0.03%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 08/20/2045#MA3035                                                   | CUSIP: 36179RLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274051 | PA      | $256788.12    | 0.04%             | 2045-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 5.00% 12/34 #G05423                                                         | CUSIP: 3128M7LC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47583 | PA      | $47912.84     | 0.01%             | 2034-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.50% 12/38 #782537                                                         | CUSIP: 36241KZA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1075 | PA      | $1095.31      | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 3.805 11/05/29                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   3900000 | NC      | $167975.07    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 09/01/2048#ZM8169                                                   | CUSIP: 3131Y3CE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    219805 | PA      | $204655.56    | 0.03%             | 2048-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 11/41 #489862                                                         | CUSIP: 36210EFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101212 | PA      | $96980.92     | 0.02%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 11/01/2043#Q23023                                                 | CUSIP: 3132M3AY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    163778 | PA      | $155434.73    | 0.03%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.0% 04/15/2045#AL9296                                                 | CUSIP: 36184HKH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23164 | PA      | $20497.29     | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 06/47#Q48877                                                        | CUSIP: 3132WN2K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152160 | PA      | $142808.49    | 0.02%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANKERS HEALTHCARE GROUP SECURITIZATION TRUST               | BANKERS HEALTHCARE GROUP SECURITIZATION TRUST 4.82% 04/17/2036 144A              | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    651591 | PA      | $650192.09    | 0.11%             | 2036-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 04/01/2052#SD6932                                                   | CUSIP: 3132DUVZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1510157 | PA      | $1186882.47   | 0.20%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 5/40 #736729                                                          | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65865 | PA      | $64741.19     | 0.01%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY451600 12/16/72 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |   1620000 | NC      | $-2949.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 07/01/2051#CB1142                                                   | CUSIP: 3140QLHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    581332 | PA      | $501320.47    | 0.08%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 12/01/2054#CB9668                                                 | CUSIP: 3140QVW67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1326209 | PA      | $1315821.72   | 0.22%             | 2054-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 03/01/2040#MA3965                                                 | CUSIP: 31418DMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    332684 | PA      | $295260.17    | 0.05%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 6/1/52#CB3785                                                       | CUSIP: 3140QPF36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    314667 | PA      | $290643.61    | 0.05%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+120 02/25/2055                                | CUSIP: 3136BUVN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    952409 | PA      | $949545.08    | 0.16%             | 2055-02-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 10/01/2037#BM1951                                                 | CUSIP: 3140J6EZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124647 | PA      | $113290.09    | 0.02%             | 2037-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 5/42 #MA0090                                                       | CUSIP: 36179MC32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9155 | PA      | $9002.53      | 0.00%             | 2042-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 8/33 #604574                                                          | CUSIP: 36200MT78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       280 | PA      | $277.25       | 0.00%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 11/01/2043#AV0047                                                 | CUSIP: 3138XBBR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7090 | PA      | $6922.89      | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+115 02/25/2055                                | CUSIP: 3136BUWD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    396237 | PA      | $395162.53    | 0.06%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 07/01/2055 #TBA                                                       | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4150000 | PA      | $3333734.01   | 0.55%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 10/28 #483492                                                         | CUSIP: 36209WC59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       541 | PA      | $553.81       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 01/01/2052#MA4512                                                 | CUSIP: 31418EAN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    301599 | PA      | $246884.90    | 0.04%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 03/01/2051#RA4749                                                 | CUSIP: 3133KLH26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    395057 | PA      | $325363.67    | 0.05%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 4/32 #C01344                                                          | CUSIP: 31292HP57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15992 | PA      | $16528.66     | 0.00%             | 2032-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 7.00% 8/26 #256430                                                     | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       923 | PA      | $927.77       | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 3/32 #639704                                                          | CUSIP: 31389YU58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1268 | PA      | $1344.18      | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 03/01/2033#BM4614                                                   | CUSIP: 3140J9DU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     95502 | PA      | $92427.58     | 0.02%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 6/41 #768770                                                          | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9568 | PA      | $9169.83      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2024-1                               | MARLETTE FUNDING TRUST 2024-1 5.95% 07/17/2034 144A                              | CUSIP: 57108VAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     21244 | PA      | $21277.67     | 0.00%             | 2034-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4% 12/20/2054#MB0089                                                     | CUSIP: 3618N5C31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1089005 | PA      | $998117.13    | 0.16%             | 2054-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2025-B OWNER TR                     | TOYOTA AUTO RECEIVABLES 2025-B OWNER TR 4.34% 11/15/2029                         | CUSIP: 89231HAD8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1700000 | PA      | $1701051.96   | 0.28%             | 2029-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 4/41 #A97942                                                          | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     15745 | PA      | $15493.53     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2048#Q55141                                                   | CUSIP: 3132XXWB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4461 | PA      | $4159.17      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1              | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-1 4.69% 04/15/2030                  | CUSIP: 30185AAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     55000 | PA      | $54922.22     | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+150 11/25/2053                            | CUSIP: 3136BQVT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1379271 | PA      | $1388490.94   | 0.23%             | 2053-11-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 12/40 #004882                                                      | CUSIP: 36202FM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2406 | PA      | $2307.04      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERD 2025-1A A2                                             | VERD 2025-1A A2 4.85% 03/13/2028 144A                                            | CUSIP: 92340GAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    190000 | PA      | $190165.38    | 0.03%             | 2028-03-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 02/01/2042#SC0248                                                 | CUSIP: 3132D9HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    563549 | PA      | $494695.61    | 0.08%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 04/01/2046#Q39717                                                   | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     29622 | PA      | $26130.16     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA STRIPPED MTG BKD SECS                                  | FNS 384 6 5% 7/37                                                                | CUSIP: 3136FER61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     21311 | PA      | $3426.93      | 0.00%             | 2037-07-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                   | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    697408 | PA      | $619186.63    | 0.10%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 3.63 10/30/25                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |  -4100000 | NC      | $-129641.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 7.00% 1/36 #A54473                                                          | CUSIP: 3128KG6J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3533 | PA      | $3718.38      | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 11/01/2050#SD8108                                                   | CUSIP: 3132DWAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     72692 | PA      | $62561.75     | 0.01%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 5.5% 08/01/2053#RA9619                                                 | CUSIP: 3133KRVL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1217970 | PA      | $1219087.73   | 0.20%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PRMI SECURITIZATION TR 2024-CMG1                            | PRMI SECURITIZATION TR 2024-CMG1 SOFR30A+130 07/25/2054 144A                     | CUSIP: 74275VAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    594578 | PA      | $590990.04    | 0.10%             | 2054-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 03/15/2041#769036                                                   | CUSIP: 36176LEH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14408 | PA      | $13784.12     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 4/1/43 #AT0668                                                    | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11459 | PA      | $10580.45     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 4/42 #AK6409                                                          | CUSIP: 3138EBDP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18975 | PA      | $18011.42     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 08/20/2051#MA7533                                                     | CUSIP: 36179WLN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    325176 | PA      | $261368.19    | 0.04%             | 2051-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 6/40 #745094                                                          | CUSIP: 3620C0XX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     84234 | PA      | $82796.98     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 11/01/2053#FS6498                                                   | CUSIP: 3140XNGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1037634 | PA      | $1054805.40   | 0.17%             | 2053-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2.5% 11/01/2031#MA2803                                                 | CUSIP: 31418CDH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     99200 | PA      | $95012.73     | 0.02%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.25% MAC 06/18/27                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -34128000 | NC      | $11908.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 11/01/2051#RA6334                                                   | CUSIP: 3133KNBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    372777 | PA      | $292045.71    | 0.05%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM 6.36% 7/36 #1B7105                                                      | CUSIP: 3128QPH96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6717 | PA      | $6932.90      | 0.00%             | 2036-07-01      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY885802 12/15/56 B                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $13019.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 05/01/2036#FM7429                                                 | CUSIP: 3140XBHF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     62596 | PA      | $55346.39     | 0.01%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES   | FNS 348 14 6.5% 8/34                                                             | CUSIP: 3136FCEU6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     11808 | PA      | $2118.75      | 0.00%             | 2034-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6% 06/01/2053#RA9276                                                   | CUSIP: 3133KRJV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    571382 | PA      | $583308.82    | 0.10%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 12/01/2035#MA4206                                                   | CUSIP: 31418DU83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1076199 | PA      | $979246.13    | 0.16%             | 2035-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 08/01/2035#SB8066                                                 | CUSIP: 3132D56B3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    456560 | PA      | $404395.62    | 0.07%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 10/41 #Q03643                                                         | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70043 | PA      | $68811.95     | 0.01%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2154 PT 6% 5/29                                                              | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     17394 | PA      | $17732.02     | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 10/25/2047                                   | CUSIP: 3137H62Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    159831 | PA      | $141154.45    | 0.02%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2048#Q55504                                                   | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11165 | PA      | $10409.07     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 3.5% 06/01/2032#C91456                                                 | CUSIP: 3128P7TM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    427718 | PA      | $417534.09    | 0.07%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                        | CUSIP: 31394FGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     50586 | PA      | $49671.33     | 0.01%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/01/2051#CB1110                                                   | CUSIP: 3140QLGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33593 | PA      | $26318.03     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 4/28 #458840                                                          | CUSIP: 36208RV92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       286 | PA      | $291.93       | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 03/01/2052#FA0995                                                   | CUSIP: 3140W1C92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    820931 | PA      | $645709.83    | 0.11%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6.5% 01/01/2055#RJ3341                                                 | CUSIP: 3142GTWB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    463167 | PA      | $483947.55    | 0.08%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 4.065 05/02/30                                                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    790000 | NC      | $29701.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 07/01/2050#SD7521                                                 | CUSIP: 3132DVLA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2135448 | PA      | $1776744.70   | 0.29%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 07/01/2051#RA5574                                                 | CUSIP: 3133KMFP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1687943 | PA      | $1395969.74   | 0.23%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNR 2007-37 TS TSFR1M+657.552 6/37                                               | CUSIP: 38375KNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     17455 | PA      | $1708.76      | 0.00%             | 2037-06-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 05/15/2042#AA1859                                                   | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3425 | PA      | $3325.49      | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 12/01/2049#FM2077                                                   | CUSIP: 3140X5JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4302560 | PA      | $3743320.08   | 0.62%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.50% 10/40 #AE3832                                                         | CUSIP: 31419EHJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      9685 | PA      | $9525.63      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.0% 06/20/2042#783637                                                   | CUSIP: 3622A2BE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197516 | PA      | $179055.81    | 0.03%             | 2042-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2051#                                                       | CUSIP: 3140QMKN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    356584 | PA      | $318404.14    | 0.05%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3% 01/25/2049                                     | CUSIP: 3137H5ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    124322 | PA      | $112338.46    | 0.02%             | 2049-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 3/40 #711223                                                          | CUSIP: 36297GD49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    182553 | PA      | $179466.51    | 0.03%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 06/01/2051#QC3131                                                 | CUSIP: 3133AMPQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     37920 | PA      | $28391.46     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 4% 05/20/2049#BN2615                                                     | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    185966 | PA      | $171462.54    | 0.03%             | 2049-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 12/20/2051#MA7767                                                   | CUSIP: 36179WTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94632 | PA      | $79344.95     | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2051#CB1703                                                   | CUSIP: 3140QL3M6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28939 | PA      | $27018.75     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2051#FM6944                                                   | CUSIP: 3140XAWE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1006991 | PA      | $795518.91    | 0.13%             | 2051-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B14 MTG TR                                   | BENCHMARK 2019-B14 MTG TR CSTR 12/15/2062                                        | CUSIP: 08162YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12114494 | PA      | $258612.95    | 0.04%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 11/01/2048#ZN1277                                                   | CUSIP: 3131Y7M20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     39323 | PA      | $36587.94     | 0.01%             | 2048-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 10/01/2049#CA4406                                                   | CUSIP: 3140QB3Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1083657 | PA      | $942466.09    | 0.15%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 09/01/2041#SC0185                                                 | CUSIP: 3132D9F25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    148169 | PA      | $130304.17    | 0.02%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 11/01/2042#AP4319                                                 | CUSIP: 3138M7YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12101 | PA      | $11134.39     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 12/20/2051#785792                                                   | CUSIP: 3622ABKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    513620 | PA      | $426798.05    | 0.07%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 04/01/2050#SD0516                                                   | CUSIP: 3132DMSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    602950 | PA      | $520057.65    | 0.09%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                     | MNGT SWAP CZ030008 12/17/57 B                                                    | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $7643.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 1999-33 PK 6% 7/29                                                           | CUSIP: 31359WKN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     16209 | PA      | $16473.15     | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #650527                                                          | CUSIP: 31390MVU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $195.73       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 05/01/2051#RA5287                                                   | CUSIP: 3133KL2U0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     81327 | PA      | $63790.45     | 0.01%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 04/01/2034#G16829                                                   | CUSIP: 3128MFY28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95271 | PA      | $91248.39     | 0.01%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 12/01/2050#MA4208                                                   | CUSIP: 31418DVA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    993821 | PA      | $778592.39    | 0.13%             | 2050-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 07/01/2032#J37270                                                   | CUSIP: 31307UCF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12512 | PA      | $12111.98     | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 06/01/2045#Q33791                                                 | CUSIP: 3132QQF98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    171629 | PA      | $157751.14    | 0.03%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 03/01/2050#BP2186                                                   | CUSIP: 3140K9NC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2041479 | PA      | $1771664.95   | 0.29%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 3% 2/1/43 #Q15788                                                           | CUSIP: 3132J62W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13460 | PA      | $12160.77     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 07/01/2047#Q49738                                                 | CUSIP: 3132WPZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9824 | PA      | $9433.56      | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                            | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    186240 | PA      | $152314.53    | 0.03%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 12/01/2040#                                                       | CUSIP: 312944LX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     11783 | PA      | $11579.96     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5% 06/01/2055 #TBA                                                     | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   8000000 | PA      | $7745935.20   | 1.27%             | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 04/01/2037#QO0091                                                   | CUSIP: 3133WJC49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    624290 | PA      | $589054.52    | 0.10%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 1999-32 PL 6% 7/29                                                           | CUSIP: 31359WHX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     22387 | PA      | $22772.96     | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 9/28 #484239                                                          | CUSIP: 36209W4Y5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        14 | PA      | $14.09        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                      | US 2YR NOTE (CBT) FUT SEP25 TUU5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       210 | NC      | $82255.05     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.0% 08/01/2041#AI5189                                                 | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1357 | PA      | $1364.16      | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 4/32 #638123                                                          | CUSIP: 31389W4G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7355 | PA      | $7856.15      | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                       | LCH OIS SOFRV3.25% MAC 06/18/29                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -15397000 | NC      | $82531.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CZ030008 12/17/57 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    500000 | NC      | $38217.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 11/27 #404745                                                         | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        35 | PA      | $35.69        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 9/39 #726298                                                          | CUSIP: 3620AC3F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18587 | PA      | $18674.67     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 6/32 #644836                                                          | CUSIP: 31390FLR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1539 | PA      | $1642.75      | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 02/01/2033#BM5108                                                   | CUSIP: 3140J9VA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    613272 | PA      | $591966.88    | 0.10%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6.5% 07/01/2055 #TBA                                                   | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2600000 | PA      | $2667436.20   | 0.44%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.50% 11/27 #251298                                                         | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       121 | PA      | $123.72       | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 04/01/2046#Q40165                                                   | CUSIP: 3132WDFF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     33009 | PA      | $29117.72     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 11/01/2042#G07368                                                   | CUSIP: 3128M9QV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    153113 | PA      | $145788.76    | 0.02%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 10/01/2041#                                                         | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    980964 | PA      | $827709.47    | 0.14%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MORTAGE TR 2024-MGP                        | WELLS FARGO COML MORTAGE TR 2024-MGP TSFR1M+199.073 08/15/2041 144A              | CUSIP: 95003TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $399023.76    | 0.07%             | 2041-08-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 09/45#MA3106                                                        | CUSIP: 36179RNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3080 | PA      | $2886.45      | 0.00%             | 2045-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 04/01/2050#BK2249                                                   | CUSIP: 3140HFQB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2100041 | PA      | $1822487.08   | 0.30%             | 2050-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 05/01/2041#SC0237                                                 | CUSIP: 3132D9HN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1206014 | PA      | $1065805.37   | 0.18%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 10/01/2045#BM4643                                                 | CUSIP: 3140J9ER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     86177 | PA      | $85211.94     | 0.01%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK33                                             | BANK 2021-BNK33 VAR 05/15/2064                                                   | CUSIP: 06541CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4926388 | PA      | $208129.05    | 0.03%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3% 03/20/2043#AD8812                                                     | CUSIP: 36180MYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44902 | PA      | $40766.78     | 0.01%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 09/01/2043#Q21900                                                 | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7550 | PA      | $7130.37      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 10/01/2045#AZ4750                                                 | CUSIP: 3138YWH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     78211 | PA      | $71059.13     | 0.01%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.50% 10/28 #780881                                                         | CUSIP: 36225A6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       864 | PA      | $877.72       | 0.00%             | 2028-10-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL LEASING TRUST 2023-3                           | GM FINANCIAL LEASING TRUST 2023-3 5.38% 11/20/2026                               | CUSIP: 379929AD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     72234 | PA      | $72377.90     | 0.01%             | 2026-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3% 06/01/2055 #TBA                                                       | CUSIP: 21H030666<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  21050000 | PA      | $18345001.33  | 3.02%             | 2055-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 21-96 HA 2.5% 02/25/2050                          | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    257574 | PA      | $219475.31    | 0.04%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 11/32#BJ6650                                                        | CUSIP: 3140H8L86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18286 | PA      | $17644.43     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-CP1                                    | NYMT LOAN TRUST 2024-CP1 3.75% 02/25/2068 144A                                   | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    351358 | PA      | $323548.30    | 0.05%             | 2068-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 6.54% 4/37 #918912                                                      | CUSIP: 31411Y3V3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6723 | PA      | $6910.69      | 0.00%             | 2037-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 4/40 #737177                                                          | CUSIP: 3620AQ6N8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74742 | PA      | $75089.60     | 0.01%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 01/01/2051#FM5651                                                 | CUSIP: 3140X9H57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    236556 | PA      | $194824.76    | 0.03%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #719228                                                          | CUSIP: 3620A5A58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86628 | PA      | $85143.30     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2% 08/01/2051#SD2230                                                   | CUSIP: 3132DPPP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    206187 | PA      | $161533.57    | 0.03%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 6/46#V82414                                                         | CUSIP: 3132L7VF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    502266 | PA      | $443053.49    | 0.07%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 11/20/2047#784391                                                   | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    813551 | PA      | $732948.45    | 0.12%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.5% 10/01/2039#A89270                                                 | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    141696 | PA      | $139574.04    | 0.02%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 9/40 #004800                                                       | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    243492 | PA      | $233451.14    | 0.04%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2045#Q33547                                                 | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    891372 | PA      | $815748.37    | 0.13%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885799 12/15/56 S                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    200000 | NC      | $-3501.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-MDHS                                    | BX COML MTG TR 2024-MDHS 6.8415% 05/15/2041 144A                                 | CUSIP: 12433BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    599885 | PA      | $600635.04    | 0.10%             | 2041-05-15      | Floating      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 5.00% 8/36 #G02307                                                          | CUSIP: 3128LXR44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     70245 | PA      | $70754.26     | 0.01%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 11/01/2051#MA4466                                                 | CUSIP: 31418D6C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2444315 | PA      | $2000883.91   | 0.33%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2502 ZC 6 9/32                                                               | CUSIP: 31392UTM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     17207 | PA      | $17609.43     | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP PAY 4.01 05/07/30                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   1900000 | NC      | $79441.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY562346 11/18/64 S                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    500000 | NC      | $-2888.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING                                        | STORE MASTER FUNDING 2.12% 06/20/2051 144A                                       | CUSIP: 86190BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    992978 | PA      | $913262.91    | 0.15%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 12/01/2051#FM9777                                                   | CUSIP: 3140XD2K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    382999 | PA      | $329447.61    | 0.05%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL2                                              | PRET 2025-RPL2 4% 08/25/2064 144A                                                | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1535679 | PA      | $1470138.09   | 0.24%             | 2064-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 12/01/2052#SD1924                                                   | CUSIP: 3132DPD54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1430719 | PA      | $1401042.44   | 0.23%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 11/01/2035#CA7953                                                 | CUSIP: 3140QFZT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    295133 | PA      | $260306.17    | 0.04%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 1.5% 10/25/2051                                   | CUSIP: 3136BJHA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    228590 | PA      | $192328.31    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 02/20/2043#MA0783                                                   | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    153571 | PA      | $141698.09    | 0.02%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 9/39 #A88305                                                          | CUSIP: 312935GN3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1888 | PA      | $1862.22      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 9/26 #256469                                                          | CUSIP: 31371M2A4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1041 | PA      | $1048.01      | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                         | MSCS SWAP CY451600 12/16/72 S                                                    | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   3100000 | NC      | $5644.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2.5% 12/25/2049                                   | CUSIP: 3136BLGX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    222191 | PA      | $187630.09    | 0.03%             | 2049-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 1.5% 09/01/2036#CB1715                                                 | CUSIP: 3140QL3Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1585351 | PA      | $1397281.72   | 0.23%             | 2036-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 07/01/2034#FM8940                                                   | CUSIP: 3140XC5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    113423 | PA      | $110379.45    | 0.02%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 3.5% 07/01/2055 #TBA                                                   | CUSIP: 01F032674<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   3175000 | PA      | $2815702.40   | 0.46%             | 2055-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 03/01/2047#BE9249                                                 | CUSIP: 3140FVH33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     47103 | PA      | $42810.19     | 0.01%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    100000 | NC      | $17049.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 3.50% 9/42 #AP4410                                                          | CUSIP: 3138M73U7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77024 | PA      | $71323.43     | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4% 03/15/2042#733816                                                   | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53239 | PA      | $50942.95     | 0.01%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 1.5% 10/25/2051                                   | CUSIP: 3137H2UC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    227053 | PA      | $190499.00    | 0.03%             | 2051-10-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TR 2024-X1                      | AFFIRM ASSET SECURITIZATION TR 2024-X1 6.27% 05/15/2029 144A                     | CUSIP: 00834XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     25082 | PA      | $25109.54     | 0.00%             | 2029-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 1/1/42 #Q05962                                                    | CUSIP: 3132GMJF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    105638 | PA      | $100601.24    | 0.02%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD      | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 1.5% 11/25/2051           | CUSIP: 3137H3V82<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    288265 | PA      | $242398.96    | 0.04%             | 2051-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.0% 02/01/2043#AR0015                                                 | CUSIP: 3138NWAR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44615 | PA      | $40159.96     | 0.01%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3.187% 09/25/2027                                 | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    196599 | PA      | $192012.42    | 0.03%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNR 2010-160 DY 4% 12/20/2040                                                    | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    305238 | PA      | $295512.04    | 0.05%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 7.00% 7/26 #D97040                                                     | CUSIP: 3128E3ZD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       188 | PA      | $188.87       | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CFMT 2024-HB13 LLC                                          | CFMT 2024-HB13 LLC VAR 05/25/2034 144A                                           | CUSIP: 12530VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    151911 | PA      | $148961.54    | 0.02%             | 2034-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 9/39 #G06670                                                          | CUSIP: 3128M8W75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21191 | PA      | $22493.83     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 04/01/2045#AY9393                                                 | CUSIP: 3138YPNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75968 | PA      | $71340.16     | 0.01%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 11/01/2053#CB7520                                                 | CUSIP: 3140QTLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    618133 | PA      | $640553.76    | 0.11%             | 2053-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2.5% 07/01/2055 #TBA                                                     | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13925000 | PA      | $11665271.89  | 1.92%             | 2055-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 05/01/2042#RB0710                                                 | CUSIP: 3133KTYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94009 | PA      | $82248.76     | 0.01%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 4.58% 7/35 #995273                                                      | CUSIP: 31416BT65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1158 | PA      | $1190.62      | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                       | BOAM SWAP REC 4.07 12/19/29                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   2660000 | NC      | $99971.63     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 03/01/2032#C91403                                                 | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    129844 | PA      | $126834.64    | 0.02%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 02/01/2051#SD7535                                                 | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7189062 | PA      | $5972488.32   | 0.98%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 08/01/2049#FM1338                                                 | CUSIP: 3140X4PY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466745 | PA      | $446591.40    | 0.07%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 11/39 #726095                                                         | CUSIP: 3620ACUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     22547 | PA      | $22650.76     | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 1.5% 11/01/2040#MA4175                                                 | CUSIP: 31418DT93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    127768 | PA      | $105589.92    | 0.02%             | 2040-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5.5% 08/01/2053#CB6911                                                 | CUSIP: 3140QSVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1408561 | PA      | $1410733.99   | 0.23%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 07/01/2032#MA3060                                                   | CUSIP: 31418CMJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    394255 | PA      | $380889.72    | 0.06%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2002-74 SV SOFR30A+743.552 11/32                                             | CUSIP: 31392FRK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      1495 | PA      | $39.15        | 0.00%             | 2032-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY885802 12/15/56 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    100000 | NC      | $13019.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DLLAA 2023-1A                                               | DLLAA 2023-1A 5.64% 02/22/2028 144A                                              | CUSIP: 23292HAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    106000 | PA      | $107197.92    | 0.02%             | 2028-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 02/01/2043#Q15400                                                 | CUSIP: 3132J6NS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17396 | PA      | $16480.88     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.5% 02/01/2041#AH5580                                                 | CUSIP: 3138A7FW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140648 | PA      | $138287.09    | 0.02%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 8/40 #A93505                                                          | CUSIP: 3129413N5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     76181 | PA      | $75018.80     | 0.01%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 5/33 #A45795                                                          | CUSIP: 3128K6NL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28733 | PA      | $29676.99     | 0.00%             | 2033-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 1.5% 11/01/2035#SB8073                                                 | CUSIP: 3132D56J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    537392 | PA      | $473977.52    | 0.08%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 11/01/2054#CB9501                                                   | CUSIP: 3140QVRX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    311195 | PA      | $318857.75    | 0.05%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 04/01/2043#Q17518                                                 | CUSIP: 3132J8YQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12101 | PA      | $11495.25     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 5% 02/01/2035#AB0067                                                   | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     45951 | PA      | $46200.21     | 0.01%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |    350000 | NC      | $59674.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 2380 SY SOFR30A+808.552 11/31                                                | CUSIP: 31339GVS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      9220 | PA      | $417.46       | 0.00%             | 2031-11-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+51.448 01/20/2049                          | CUSIP: 38381BSP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     66327 | PA      | $65868.41     | 0.01%             | 2049-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 10/35 #A47209                                                         | CUSIP: 3128K8AJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      5797 | PA      | $5734.70      | 0.00%             | 2035-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.00% 5/33 #G01785                                                          | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     12165 | PA      | $12528.70     | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 12/34#FM0045                                                        | CUSIP: 3140X3BP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     69603 | PA      | $66305.24     | 0.01%             | 2034-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.00% 2/41 #004945                                                       | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52335 | PA      | $50156.90     | 0.01%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 11/01/2051#                                                         | CUSIP: 3140XDKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18398 | PA      | $15922.93     | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 01/20/2044#MA1600                                                   | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11640 | PA      | $10677.97     | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 05/01/2054#SD7570                                                   | CUSIP: 3132DVMT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1171607 | PA      | $1200089.99   | 0.20%             | 2054-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 22-53 FG SOFR30A+80 08/25/2052                    | CUSIP: 3136BNS31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    757914 | PA      | $734896.58    | 0.12%             | 2052-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2052#QE3536                                                 | CUSIP: 3133BC4V6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    137833 | PA      | $122343.10    | 0.02%             | 2052-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6% 10/01/2054#CB9336                                                   | CUSIP: 3140QVLS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    767559 | PA      | $786218.77    | 0.13%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 03/01/2052#RA6988                                                   | CUSIP: 3133KNXR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     98090 | PA      | $84052.58     | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5% 12/01/2052#RA8292                                                   | CUSIP: 3133KQF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165385 | PA      | $161954.50    | 0.03%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 2.5% 03/01/2050#SD8049                                                 | CUSIP: 3132DV5J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    286081 | PA      | $236238.69    | 0.04%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-A                    | AFFIRM ASSET SECURITIZATION TRUST 2024-A 5.61% 02/15/2029 144A                   | CUSIP: 00834BAF4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $401651.04    | 0.07%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BLOX 2021-BLOX                                              | BLOX 2021-BLOX A TSFR1M+86.448 09/15/2026 144A                                   | CUSIP: 055522AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    772269 | PA      | $762230.58    | 0.13%             | 2026-09-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 9/37 #889631                                                          | CUSIP: 31410KLL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       847 | PA      | $896.87       | 0.00%             | 2038-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2023-C                    | WORLD OMNI AUTO RECEIVABLES TRUST 2023-C 5.15% 11/15/2028                        | CUSIP: 98164FAD4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    127000 | PA      | $127431.01    | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 4.0% 02/15/2042#794219                                                 | CUSIP: 36177NVM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75622 | PA      | $72403.93     | 0.01%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 07/01/2041#                                                         | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     17656 | PA      | $14928.22     | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR14                                            | BANK5 2025-5YR14 5.646% 04/15/2058                                               | CUSIP: 06604MAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    700000 | PA      | $722718.57    | 0.12%             | 2058-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP PAY 4.01 12/20/29                                                      | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   2000000 | NC      | $79769.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 02/01/2041#RB5099                                                 | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    134598 | PA      | $110942.14    | 0.02%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 2% 07/01/2055 #TBA                                                     | CUSIP: 01F020679<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  51575000 | PA      | $40111646.52  | 6.59%             | 2055-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 05/01/2051#CB0443                                                 | CUSIP: 3140QKP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1171382 | PA      | $971323.79    | 0.16%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS       | GNR 2010-H19 FG TSFR1M+41.448 8/60                                               | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     15447 | PA      | $15461.66     | 0.00%             | 2060-08-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 4.5% 05/01/2039#FM1194                                                 | CUSIP: 3140X4KG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    380888 | PA      | $374321.00    | 0.06%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 7.5% 09/01/2030#                                                       | CUSIP: 31283HHG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       210 | PA      | $220.61       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2001-31 ZC 6.5% 7/31                                                         | CUSIP: 313920CW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      7266 | PA      | $7354.70      | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4.0% 08/01/2044#Q27808                                                 | CUSIP: 3132M8KV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4263 | PA      | $4051.24      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 6/40 #783008                                                          | CUSIP: 36241LKV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85345 | PA      | $83683.92     | 0.01%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 2/42 #AK3455                                                          | CUSIP: 3138E7ZV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     31038 | PA      | $29593.51     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MHP COML MTG TR 2021-STOR                                   | MERIT 2021-STOR A TSFR1M+81.448 07/15/2038 144A                                  | CUSIP: 55293BAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    340811 | PA      | $340384.99    | 0.06%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 05/01/2031#                                                       | CUSIP: 31298MDZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      2459 | PA      | $2555.71      | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 09/01/2048#ZS4788                                                   | CUSIP: 3132A5J97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    647177 | PA      | $562450.97    | 0.09%             | 2048-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONITY LOAN INVESTMENT TRUST 2024-HB2                        | ONITY LOAN INVESTMENT TRUST 2024-HB2 A 5% 08/25/2037 144A                        | CUSIP: 68278DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    258159 | PA      | $257159.11    | 0.04%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 5180 KA 2.5% 10/25/2047                           | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    187036 | PA      | $164891.66    | 0.03%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 4/1/43 #AT1745                                                    | CUSIP: 3138WN5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74863 | PA      | $68972.80     | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL2 LLC                                          | PRPM 2024-RPL2 A1 LLC VAR 05/25/2054 144A                                        | CUSIP: 69381DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    572956 | PA      | $551912.70    | 0.09%             | 2054-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GNMA 2004-24 ZM 5% 04/34                                                         | CUSIP: 38374F2L7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     48300 | PA      | $47908.59     | 0.01%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM ARM RFT1Y+190 9 10/42#849255                                                | CUSIP: 31300MH89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7497 | PA      | $7771.46      | 0.00%             | 2042-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 5.00% 7/39 #704628                                                          | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28792 | PA      | $28928.25     | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2002-16 ZD 6.50% 4/32                                                        | CUSIP: 31392CVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      5744 | PA      | $5907.39      | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 3.5% 06/01/2055 #TBA                                                   | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   7850000 | PA      | $6963191.78   | 1.14%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMUR EQUIP FIN RECEIVABLES XV LLC                           | AMUR EQUIP FIN RECEIVABLES XV LLC 4.7% 09/22/2031 144A                           | CUSIP: 03237FAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1315000 | PA      | $1317745.85   | 0.22%             | 2031-09-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 01/01/2051#SD8120                                                 | CUSIP: 3132DWAV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2386767 | PA      | $1765379.77   | 0.29%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 01/46#MA3377                                                        | CUSIP: 36179RXE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     19898 | PA      | $18613.23     | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2048#Q55725                                                   | CUSIP: 3132XYLF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22888 | PA      | $21359.38     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 6.5% 06/01/2055 #TBA                                                     | CUSIP: 21H062669<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -3600000 | PA      | $-3676981.32  | -0.60%            | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6% 06/01/2055 #TBA                                                     | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -29925000 | PA      | $-30225420.07 | -4.97%            | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 12/20/2050#MA7051                                                     | CUSIP: 36179VZQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4207126 | PA      | $3381581.12   | 0.56%             | 2050-12-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 09/01/2052#CB4669                                                   | CUSIP: 3140QQFK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44953 | PA      | $41942.80     | 0.01%             | 2052-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 3/41 #A97528                                                          | CUSIP: 312946LH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     22007 | PA      | $21649.59     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3.5% 07/01/2034#BO1835                                                 | CUSIP: 3140JWBD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53835 | PA      | $52010.12     | 0.01%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 12/27 #455361                                                         | CUSIP: 36208MZ24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       117 | PA      | $117.57       | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 4683 LM 3% 05/15/2047                                                        | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    176431 | PA      | $168202.37    | 0.03%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 02/01/2052#FS8764                                                   | CUSIP: 3140XQW29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    677260 | PA      | $535032.80    | 0.09%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 6% 06/25/2045                                     | CUSIP: 3136ANY68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    150444 | PA      | $21878.62     | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.0% 07/15/2043#AD2512                                                 | CUSIP: 36180DYH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9900 | PA      | $8877.67      | 0.00%             | 2043-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2042#AL2266                                                 | CUSIP: 3138EJQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    231384 | PA      | $214372.19    | 0.04%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2.5% 04/01/2042#SC0270                                                 | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     93713 | PA      | $81956.37     | 0.01%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4% 04/15/2043                                     | CUSIP: 3137BVEX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      7229 | PA      | $7208.65      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 11/42#G60488                                                        | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     66690 | PA      | $63612.36     | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 02/01/2052#CB2924                                                   | CUSIP: 3140QNHA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19351 | PA      | $18061.05     | 0.00%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.50% 12/26 #442193                                                         | CUSIP: 36207UGA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        12 | PA      | $12.35        | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2.5% 07/01/2040#CA6462                                                 | CUSIP: 3140QEFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    188459 | PA      | $166533.97    | 0.03%             | 2040-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 11/01/2040#AB1801                                                 | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125269 | PA      | $119547.15    | 0.02%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                     | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   2107765 | PA      | $1820684.09   | 0.30%             | 2047-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 06/01/2039#AW0113                                                   | CUSIP: 3138XPDT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21741 | PA      | $20809.33     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 2% 10/01/2041#RB5131                                                   | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     18423 | PA      | $15545.52     | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                              | FHR 2043 CJ 6.5% 4/28                                                            | CUSIP: 3133TDML7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      7488 | PA      | $7561.74      | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 10/40 #737532                                                         | CUSIP: 3620ARLM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7725 | PA      | $7417.89      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 09/01/2053#QH0300                                                 | CUSIP: 3133CCKM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     86004 | PA      | $89123.58     | 0.01%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 3.472% 12/01/2040#AE0653                                                | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    126013 | PA      | $131172.68    | 0.02%             | 2040-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                          | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    189188 | PA      | $162419.10    | 0.03%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 04/01/2051#SD8139                                                 | CUSIP: 3132DWBG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1885990 | PA      | $1393799.92   | 0.23%             | 2051-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.50% 7/40 #719216                                                          | CUSIP: 3620A5AR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43055 | PA      | $42330.08     | 0.01%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 07/01/2054#CB8875                                                 | CUSIP: 3140QU2H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    765572 | PA      | $787000.89    | 0.13%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3.5% 06/46#AS7009                                                        | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11547 | PA      | $10399.02     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.50% 2/42 #005306                                                       | CUSIP: 36202F3P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1506 | PA      | $1480.28      | 0.00%             | 2042-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 8.00% 8/25 #405480                                                          | CUSIP: 36206AM59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         2 | PA      | $1.65         | 0.00%             | 2025-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 1/26 #780299                                                          | CUSIP: 36225AKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        18 | PA      | $17.58        | 0.00%             | 2026-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHR 2162 PH 6 6/29                                                               | CUSIP: 3133TLBA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      1919 | PA      | $1949.50      | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4% 12/20/2045#MA3311                                                     | CUSIP: 36179RVC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     25574 | PA      | $23923.29     | 0.00%             | 2045-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RCO VIII MORTGAGE LLC 2025-3                                | RCO VIII MORTGAGE LLC 2025-3 A1 VAR 05/25/2030 144A                              | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $299629.74    | 0.05%             | 2030-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 08/01/2032#J37452                                                   | CUSIP: 31307UH50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      9820 | PA      | $9503.20      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 10/01/2050#CA7229                                                 | CUSIP: 3140QFA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    461752 | PA      | $383467.74    | 0.06%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1                 | VOLVO FINANCIAL EQUIPMENT LLC SERIES 2024-1 4.41% 11/15/2027 144A                | CUSIP: 92887TAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    400000 | PA      | $399393.40    | 0.07%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 4% 06/01/2055 #TBA                                                     | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   2300000 | PA      | $2108811.35   | 0.35%             | 2055-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 01/20/2045#MA2523                                                   | CUSIP: 36179QYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2531 | PA      | $2455.33      | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 04/01/2052#FS8195                                                   | CUSIP: 3140XQC96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2292859 | PA      | $1794869.26   | 0.29%             | 2052-04-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 05/46#MA3665                                                        | CUSIP: 36179SCA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3640 | PA      | $3531.70      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 4.00% 2/41 #738002                                                          | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13532 | PA      | $12991.98     | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 11/01/2051#FM9517                                                 | CUSIP: 3140XDSF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1030768 | PA      | $848282.73    | 0.14%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 1.5% 12/01/2050#BQ9522                                                 | CUSIP: 3140KVSL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28739 | PA      | $21517.58     | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2% 07/01/2050#CA6275                                                   | CUSIP: 3140QD6M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    623576 | PA      | $491063.10    | 0.08%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 3/28 #468760                                                          | CUSIP: 36209DWV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        90 | PA      | $90.23        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2005-73 SA SOFR30A+1725.235 8/35                                             | CUSIP: 31394EB64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      1177 | PA      | $1222.11      | 0.00%             | 2035-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3% 03/01/2052#SD2219                                                   | CUSIP: 3132DPPC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    821251 | PA      | $705267.33    | 0.12%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 7.00% 5/30 #590851                                                          | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21115 | PA      | $22024.87     | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 10/01/2053#RJ0001                                                 | CUSIP: 3142GQAB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    314894 | PA      | $326512.36    | 0.05%             | 2053-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS           | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+56.448 02/20/2049                          | CUSIP: 38381RQS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    225810 | PA      | $221699.63    | 0.04%             | 2049-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 3% 03/20/2043#AA6146                                                     | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    108657 | PA      | $98568.19     | 0.02%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2% 01/25/2045                                     | CUSIP: 3137FU4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    151078 | PA      | $137632.50    | 0.02%             | 2045-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 09/20/2050#MA6864                                                     | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1537728 | PA      | $1236948.23   | 0.20%             | 2050-09-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GS MTG-BACKED SECS TR 2024-RPL2                             | GS MTG-BACKED SECS TR 2024-RPL2 A1 3.75% 07/25/2061 144A                         | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    264177 | PA      | $255962.60    | 0.04%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C              | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-C 4.62% 04/17/2028 144A             | CUSIP: 448984AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1000000 | PA      | $1002233.70   | 0.16%             | 2028-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 01/01/2041#AH1582                                                 | CUSIP: 3138A2XL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4676 | PA      | $4473.82      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRET 2024-RPL1 TR                                           | PRET 2024-RPL1 TR 3.9% 10/25/2063 144A                                           | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    500684 | PA      | $469609.30    | 0.08%             | 2063-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 2.5% 05/25/2049                                   | CUSIP: 3137H5FF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    172528 | PA      | $147805.06    | 0.02%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 09/20/2043#MA1285                                                   | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29956 | PA      | $27521.71     | 0.00%             | 2043-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2042#AP0495                                                 | CUSIP: 3138M3RR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12626 | PA      | $11663.81     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 03/01/2048#FS8330                                                   | CUSIP: 3140XQHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    885243 | PA      | $779309.67    | 0.13%             | 2048-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4.0% 04/01/2045#AY8060                                                 | CUSIP: 3138YM5W5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51803 | PA      | $48656.71     | 0.01%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 3% 09/25/2027                                     | CUSIP: 3136A8PY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     37815 | PA      | $839.07       | 0.00%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.0% 07/01/2043#AU2962                                                 | CUSIP: 3138X2JG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     51562 | PA      | $46423.35     | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 10/01/2054#RJ2642                                                   | CUSIP: 3142GS5C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    804167 | PA      | $823717.14    | 0.14%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6% 11/01/2054#RJ2748                                                   | CUSIP: 3142GTBS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    684455 | PA      | $698955.46    | 0.11%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5% 06/01/2055 #TBA                                                       | CUSIP: 21H050664<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2950000 | PA      | $2862475.27   | 0.47%             | 2055-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 2/41 #A96876                                                          | CUSIP: 312945T99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21937 | PA      | $21607.66     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 5.5% 05/01/2053#RA9058                                                 | CUSIP: 3133KRB37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1577936 | PA      | $1579876.32   | 0.26%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA ARM 2.967% 8/41#AI8879                                                      | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7581 | PA      | $7870.58      | 0.00%             | 2041-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 10/01/2046#BD7599                                                   | CUSIP: 3140FFNR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33773 | PA      | $31540.53     | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6.5% 01/01/2054#RJ0706                                                 | CUSIP: 3142GQYC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    972656 | PA      | $1008544.80   | 0.17%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FHR 3189 PD 6% 7/36                                                              | CUSIP: 31396UAR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     31820 | PA      | $32955.40     | 0.01%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 03/01/2039#AS2011                                                   | CUSIP: 3138WBGV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17299 | PA      | $16565.92     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 3.5% 08/20/2043#MA1224                                                   | CUSIP: 36179NLD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10852 | PA      | $9995.08      | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIEMAE 20YR 3.5% 05/01/2036#BM3697                                            | CUSIP: 3140J8DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81263 | PA      | $78619.49     | 0.01%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 20YR 1.5% 04/01/2041#RB5107                                                 | CUSIP: 3133KYU80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    138924 | PA      | $114324.68    | 0.02%             | 2041-04-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FNR 2001-52 YZ 6.5% 10/31                                                        | CUSIP: 313921MN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      3245 | PA      | $3344.84      | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 07/01/2050#CA6312                                                   | CUSIP: 3140QEAN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    917525 | PA      | $793678.58    | 0.13%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 4.50% 5/41 #Q00736                                                          | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21734 | PA      | $21340.53     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.0% 08/20/2044#MA2149                                                   | CUSIP: 36179QL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27621 | PA      | $26222.95     | 0.00%             | 2044-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TR 2025-TAIL                                             | BX TR 2025-TAIL A VAR 06/15/2035 144A                                            | CUSIP: 123912AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168000 | PA      | $168226.65    | 0.03%             | 2035-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.00% 4/42 #AK8237                                                          | CUSIP: 3138EDEK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    132374 | PA      | $125914.99    | 0.02%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 2% 06/01/2055 #TBA                                                       | CUSIP: 21H020667<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12450000 | PA      | $10002661.17  | 1.64%             | 2055-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 8/28 #404244                                                          | CUSIP: 36205YBM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       194 | PA      | $195.72       | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 2% 01/01/2037#FS0216                                                   | CUSIP: 3140XFG21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2249412 | PA      | $2049577.79   | 0.34%             | 2037-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 6% 02/01/2029#                                                         | CUSIP: 31293KQ33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       603 | PA      | $614.57       | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                     | FHLM 30YR 6.5% 01/01/2055#RJ3308                                                 | CUSIP: 3142GTVA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    511566 | PA      | $531001.22    | 0.09%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                              | CITI SWAP REC 3.753 10/31/29                                                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   4600000 | NC      | $143844.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 6.50% 2/37 #A57709                                                          | CUSIP: 3128KLR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      1709 | PA      | $1798.84      | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+160 08/25/2054                                | CUSIP: 3136BVVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   1371593 | PA      | $1378373.69   | 0.23%             | 2054-08-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS and CO LLC (GOV REPO)                         | GSCOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: FOR8UP27PHTHYVLBNG30       | N/A              | DCR              | CORP              | US        |     80000 | NC      | $13639.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                      | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    736737 | PA      | $734472.91    | 0.12%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 20YR 2% 11/01/2040#                                                         | CUSIP: 31418DUA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14805 | PA      | $12627.51     | 0.00%             | 2040-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA II 2.5% 01/20/2052#785831                                                   | CUSIP: 3622ABLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    507366 | PA      | $421601.17    | 0.07%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 04/01/2048#Q55661                                                   | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20697 | PA      | $19295.98     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                              | FEDERAL NAT MTG ASN GTD REM PA 1.5% 08/25/2050                                   | CUSIP: 3136BJTS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     97691 | PA      | $79042.25     | 0.01%             | 2050-08-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 6.50% 4/35 #820389                                                          | CUSIP: 31406UNE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       435 | PA      | $457.16       | 0.00%             | 2035-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3.5% 08/01/2046#BD5247                                                 | CUSIP: 3140FCZM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75589 | PA      | $68700.56     | 0.01%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 6.5% 01/01/2054#CB7801                                                 | CUSIP: 3140QTU31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736005 | PA      | $762701.86    | 0.13%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES   | FNS 359 19 6% 7/35                                                               | CUSIP: 3136FCUL8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      6420 | PA      | $1132.68      | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 4.5% 05/20/2055#MB0364                                                   | CUSIP: 3618N5MN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    494771 | PA      | $467196.27    | 0.08%             | 2055-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 12/01/2051#CB2289                                                 | CUSIP: 3140QMRK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1586544 | PA      | $1305665.01   | 0.21%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 12/01/2046#Q45023                                                 | CUSIP: 3132WJSM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     89769 | PA      | $81498.94     | 0.01%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 01/20/2055#787767                                                   | CUSIP: 3622ADQU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    856314 | PA      | $854993.94    | 0.14%             | 2055-01-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 4% 6/1/52#CB3766                                                       | CUSIP: 3140QPFG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    304804 | PA      | $281533.88    | 0.05%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3.5% 07/01/2034#CA3925                                                 | CUSIP: 3140QBLF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    166649 | PA      | $161259.28    | 0.03%             | 2034-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 2.5% 11/01/2051#FM9505                                                 | CUSIP: 3140XDR32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    799207 | PA      | $657717.10    | 0.11%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2023-A                             | TOYOTA LEASE OWNER TRUST 2023-A 4.93% 04/20/2026 144A                            | CUSIP: 89239MAC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     29578 | PA      | $29584.19     | 0.00%             | 2026-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CFMT 2023-HB12 LLC                                          | CFMT 2023-HB12 LLC 4.25% 04/25/2033 144A                                         | CUSIP: 12530QAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     84693 | PA      | $83810.92     | 0.01%             | 2033-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 5.5% 03/01/2055#SD8515                                                 | CUSIP: 3132DWN82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2699660 | PA      | $2674296.53   | 0.44%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 4.50% 11/40 #AE3874                                                         | CUSIP: 31419EJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     28195 | PA      | $27720.55     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 05/01/2046#G60553                                                 | CUSIP: 31335ATJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1014060 | PA      | $926026.19    | 0.15%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                            | SBLOFI SWAP CY873248 04/17/65 B                                                  | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    250000 | NC      | $42624.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 3% 01/15/2033                                     | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     13633 | PA      | $898.65       | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA GTD MTG PASS THRU CTF SOFR30A+ 09/25/2054                                   | CUSIP: 3136BUW22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    446631 | PA      | $445249.81    | 0.07%             | 2054-09-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 15YR 3% 04/01/2037#QO0016                                                   | CUSIP: 3133WJAR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    266526 | PA      | $251732.60    | 0.04%             | 2037-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 7.00% 9/28 #486530                                                          | CUSIP: 36210APP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1145 | PA      | $1152.82      | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 5.5% 06/01/2055 #TBA                                                   | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   4600000 | PA      | $4555440.72   | 0.75%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD       | FEDERAL HOME LN MTG MLT CTF GT 4135 AB 1.75% 06/15/2042                          | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     20213 | PA      | $18794.52     | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                              | GNMA 30YR 3.0% 06/15/2043#AD2454                                                 | CUSIP: 36180DWP8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36213 | PA      | $32627.87     | 0.01%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                        | UMBS 30YR 6.5% 06/01/2055 #TBA                                                   | CUSIP: 01F062663<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -8900000 | PA      | $-9139183.05  | -1.50%            | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 4% 10/01/2052#SD1772                                                   | CUSIP: 3132DN6H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1008421 | PA      | $935844.40    | 0.15%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 11/01/2049#BO4757                                                   | CUSIP: 3140K0JB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1517072 | PA      | $1314670.22   | 0.22%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                   | GNII II 5.5% 07/01/2055 #TBA                                                     | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7150000 | PA      | $7094259.32   | 1.17%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                    | GS MTG SECS TR 2018-GS10 A5 4.155% 07/10/2051                                    | CUSIP: 36250SAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    200000 | PA      | $192952.86    | 0.03%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 30YR 3% 01/01/2051#MA4239                                                   | CUSIP: 31418DV90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    557696 | PA      | $479630.97    | 0.08%             | 2051-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                  | FANNIE MAE 2010-95 ZC 5% 09/25/2040                                              | CUSIP: 31398NFC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    456064 | PA      | $430009.85    | 0.07%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                  | FNMA 15YR 3% 09/01/2035#FS0112                                                   | CUSIP: 3140XFDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    238795 | PA      | $231406.16    | 0.04%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                               | FHLG 30YR 3.5% 04/01/2043#Q17578                                                 | CUSIP: 3132J82L3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     31834 | PA      | $29476.35     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer