# EDGAR Filing Document

**Accession Number:** 0001401097
**File Stem:** 0000035402-26-001237
**Filing Date:** 2026-2
**Character Count:** 2495694
**Document Hash:** cdd2a06489cda460c35daff15e9ab042
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-26-001237.hdr.sgml**: 20260224

**ACCESSION NUMBER**: 0000035402-26-001237

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260224

**DATE AS OF CHANGE**: 20260224

**PERIOD START**: 20260930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22083
- **FILM NUMBER:** 26670342

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

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

## Series and Classes Contracts Data

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

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

## Nport-Ex

**Quarterly Holdings Report**

**for**

**Fidelity® Investment Grade Bond Central Fund**

**December 31, 2025**

TP1-NPRT1-0226

1.811341.121 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Asset-Backed Securities - 9.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 9.1%** | &nbsp;&nbsp;**Asset-Backed Securities - 9.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| BAILIWICK OF JERSEY - 0.9%  |  |  |
| Aimco Clo 17 Ltd / Aimco Clo 17 LLC Series 2024-17A Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.2074% 7/20/2037 (b)(c)(h) | 28099438 | 28163392 |
| Aimco Clo 19 Ltd / Aimco Clo 19 LLC Series 2024-19A Class A, CME Term SOFR 3 month Index + 1.35%, 5.2344% 10/20/2037 (b)(c)(h) | 10259000 | 10284258 |
| Aimco Clo 22 Ltd / Aimco Clo 22 LLC Series 2024-22A Class A, CME Term SOFR 3 month Index + 1.5%, 5.3844% 4/19/2037 (b)(c)(h) | 55620000 | 55764056 |
| Ares Lxx Clo Ltd / Ares Lxx Clo LLC Series 2025-70A Class A1R, CME Term SOFR 3 month Index + 1.25%, 4.9707% 1/25/2039 (b)(c)(h) | 27474000 | 27486171 |
| Bain Cap Cr Clo Ltd / Bain Cap Cr Clo LLC Series 2025-2A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.2044% 7/18/2038 (b)(c)(h) | 31507000 | 31584728 |
| Bain Capital Credit Clo Ltd Series 2025-4A Class A1R, CME Term SOFR 3 month Index + 1.23%, 4.9597% 1/21/2039 (b)(c)(h) | 32197000 | 32230678 |
| Blueberry Park Clo Ltd Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.35%, 5.2344% 10/20/2037 (b)(c)(h) | 32753000 | 32806387 |
| Cedar Funding Series 2024-18A Class A, CME Term SOFR 3 month Index + 1.55%, 5.4098% 4/23/2037 (b)(c)(h) | 60600000 | 60726048 |
| Dryden 108 Clo Ltd / Dryden 108 Clo LLC Series 2024-108A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.2444% 7/18/2037 (b)(c)(h) | 51421000 | 51500343 |
| Flatiron Clo 26 Ltd / Flatiron Clo 26 LLC Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.33%, 5.2345% 1/15/2038 (b)(c)(h) | 27814000 | 27876442 |
| Hamlin Pk Clo Ltd / Hamlin Pk Clo LLC Series 2024-1A Class A, CME Term SOFR 3 month Index + 1.34%, 5.2244% 10/20/2037 (b)(c)(h) | 28343000 | 28439338 |
| Invesco US CLO Ltd Series 2024-3A Class A, CME Term SOFR 3 month Index + 1.51%, 5.3944% 7/20/2037 (b)(c)(h) | 24935000 | 25015690 |
| TOTAL BAILIWICK OF JERSEY |  | 411877531 |
| CANADA - 0.0%  |  |  |
| Chesapeake Funding II LLC Series 2023-2A Class A1, 6.16% 10/15/2035 (h) | 4119173 | 4162710 |
| Chesapeake Funding II LLC Series 2024-1A Class A1, 5.52% 5/15/2036 (h) | 7041767 | 7125513 |
| TOTAL CANADA |  | 11288223 |
| GRAND CAYMAN (UK OVERSEAS TER) - 4.8%  |  |  |
| Aimco CLO 11 Ltd Series 2024-11A Class A1R2, CME Term SOFR 3 month Index + 1.34%, 5.2216% 7/17/2037 (b)(c)(h) | 18929000 | 18975452 |
| Aimco Clo 14 Ltd / Aimco Clo 14 LLC Series 2025-14A Class A1R, CME Term SOFR 3 month Index + 1.22%, 5.1375% 10/20/2038 (b)(c)(h) | 46919000 | 46917405 |
| AIMCO CLO Series 2024-BA Class ARR, CME Term SOFR 3 month Index + 1.5%, 5.3936% 4/16/2037 (b)(c)(h) | 35255000 | 35346980 |
| Allegro Clo Ltd Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.34%, 5.2244% 7/20/2038 (b)(c)(h) | 21007000 | 21057690 |
| Ares LIV CLO Ltd Series 2025-54A Class AR2, CME Term SOFR 3 month Index + 1.31%, 5.2145% 7/15/2038 (b)(c)(h) | 36024000 | 36129262 |
| Ares Lv Clo Ltd Series 2024-55A Class A1R2, CME Term SOFR 3 month Index + 1.37%, 5.2745% 10/15/2037 (b)(c)(h) | 19036000 | 19099961 |
| Ares Lviii Clo Ltd / Ares Lviii Clo LLC Series 2025-58A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 5.1445% 4/15/2038 (b)(c)(h) | 28873000 | 28893442 |
| Ares XLI Clo Ltd Series 2021-41A Class AR2, CME Term SOFR 3 month Index + 1.3316%, 5.2362% 4/15/2034 (b)(c)(h) | 29947000 | 29966286 |
| Babson CLO Ltd/Cayman Islands Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.26%, 5.1645% 1/15/2038 (b)(c)(h) | 17946000 | 17987276 |
| Barings Clo Ltd Series 2024-4A Class A, CME Term SOFR 3 month Index + 1.75%, 5.6344% 1/20/2037 (b)(c)(h) | 42652000 | 42712395 |
| Barings Clo Ltd Series 2024-4A Class AR, CME Term SOFR 3 month Index + 1.37%, 5.2544% 10/20/2037 (b)(c)(h) | 28775000 | 28833874 |
| BCRED BSL Static Clo Ltd / LLC Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.5413% 7/24/2035 (b)(c)(h) | 28623000 | 28629641 |
| Benefit Street Partners Clo 44 Ltd / LLC Series 2025-44A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.944% 1/15/2039 (b)(c)(h) | 27563000 | 27585326 |
| BETHP Series 2021-1A Class A, CME Term SOFR 3 month Index + 1.3916%, 5.2962% 1/15/2035 (b)(c)(h) | 22234000 | 22257946 |
| Carlyle US CLO Ltd Series 2024-10A Class A1R, CME Term SOFR 3 month Index + 1.31%, 5.1944% 1/20/2038 (b)(c)(h) | 22613000 | 22676859 |
| Carlyle US CLO Ltd Series 2024-11A Class A1R, CME Term SOFR 3 month Index + 1.41%, 5.268% 7/25/2037 (b)(c)(h) | 38098000 | 38195988 |
| Carlyle US Clo Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.22%, 4.8789% 1/20/2039 (b)(c)(h) | 31205000 | 31217420 |
| Cedar Fdg Xii Clo Ltd / Cedar Fdg Xii Clo LLC Series 2025-12A Class ARR, CME Term SOFR 3 month Index + 1.2%, 5.058% 1/25/2038 (b)(c)(h) | 26883000 | 26885554 |
| Cedar Fdg Xvii Clo Ltd Series 2025-17A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.2344% 7/20/2038 (b)(c)(h) | 25314000 | 25375057 |
| Cedar Funding Ltd Series 2022-15A Class A, CME Term SOFR 3 month Index + 1.32%, 5.2044% 4/20/2035 (b)(c)(h) | 35314000 | 35314000 |
| Cedar Funding Ltd Series 2024-10A Class AR2, CME Term SOFR 3 month Index + 1.36%, 5.2444% 10/20/2037 (b)(c)(h) | 21787000 | 21827045 |
| Cifc Funding 2025-Vi Ltd Series 2025-6A Class A1, CME Term SOFR 3 month Index + 1.25%, 5.1098% 10/23/2038 (b)(c)(h) | 18542000 | 18561339 |
| CIFC Funding Ltd Series 2025-5A Class A1R2, CME Term SOFR 3 month Index + 1.27%, 5.3593% 10/15/2038 (b)(c)(h) | 27911000 | 27993310 |
| Clover Clo Ltd Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1%, 4.8844% 4/18/2035 (b)(c)(h) | 33197000 | 33205000 |
| Dryden CLO Ltd Series 2022-98A Class A, CME Term SOFR 3 month Index + 1.3%, 5.1844% 4/20/2035 (b)(c)(h) | 19817000 | 19827146 |
| Dryden CLO Ltd Series 2024-83A Class AR, CME Term SOFR 3 month Index + 1.53%, 5.4144% 4/18/2037 (b)(c)(h) | 31605000 | 31679525 |
| Dryden CLO Ltd Series 2024-85A Class A1R2, CME Term SOFR 3 month Index + 1.38%, 5.2845% 7/15/2037 (b)(c)(h) | 37665000 | 37752383 |
| Dryden Senior Loan Fund Series 2024-78A Class A1R, CME Term SOFR 3 month Index + 1.53%, 5.4116% 4/17/2037 (b)(c)(h) | 12000000 | 12020040 |
| Eaton Vance CLO Ltd Series 2024-1A Class ARR, CME Term SOFR 3 month Index + 1.39%, 5.2945% 10/15/2037 (b)(c)(h) | 29715000 | 29792408 |
| Eaton Vance CLO Ltd Series 2024-2A Class AR2, CME Term SOFR 3 month Index + 1.38%, 5.2845% 10/15/2037 (b)(c)(h) | 32919000 | 32965515 |
| Flat Series 2025-30A Class A1, CME Term SOFR 3 month Index + 1.16%, 5.0645% 4/15/2038 (b)(c)(h) | 28802000 | 28757472 |
| Flatiron Clo 20 Ltd / Flatiron Clo 20 LLC Series 2025-1A Class A1R2, CME Term SOFR 3 month Index + 1.24%, 5.129% 11/20/2038 (b)(c)(h) | 55130000 | 55097473 |
| Flatiron CLO 31 Ltd Series 2025-31A Class A1, CME Term SOFR 3 month Index + 1.2%, 4.8969% 1/18/2039 (b)(c)(h) | 27473000 | 27473000 |
| Flatiron Clo 32 Ltd Series 2025-32A Class A1, CME Term SOFR 3 month Index + 1.29%, 5.6063% 10/22/2038 (b)(c)(h) | 28157000 | 28247778 |
| Flatiron Clo Ltd Series 2024-1A Class A1R, CME Term SOFR 3 month Index + 1.36%, 5.2444% 10/19/2037 (b)(c)(h) | 32703000 | 32783090 |
| Horizon Aircraft Finance Ltd Series 2019-1 Class A, 3.721% 7/15/2039 (h) | 4389141 | 4314328 |
| Invesco US CLO Series 2024-1RA Class AR, CME Term SOFR 3 month Index + 1.55%, 5.4545% 4/15/2037 (b)(c)(h) | 28432000 | 28475643 |
| Lakeside Pk Clo Ltd / Lakeside Pk Clo LLC Series 2025-1A Class A, CME Term SOFR 3 month Index + 1.15%, 5.0545% 4/15/2038 (b)(c)(h) | 20845000 | 20834286 |
| Madison Pk Fdg L Ltd / Madison Pk Fdg L LLC Series 2021-50A Class A, CME Term SOFR 3 month Index + 1.4016%, 5.2861% 4/19/2034 (b)(c)(h) | 30470000 | 30485662 |
| Madison Pk Fdg Lxvii Ltd / Madison Pk Fdg Lxvii LLC Series 2024-67A Class A1, CME Term SOFR 3 month Index + 1.51%, 5.368% 4/25/2037 (b)(c)(h) | 36634000 | 36719284 |
| Madison Pk Fdg Xlv Ltd / Madison Pk Fdg Xlv LLC Series 2024-45A Class ARR, CME Term SOFR 3 month Index + 1.08%, 4.9845% 7/15/2034 (b)(c)(h) | 27800000 | 27811426 |
| Magnetite CLO Ltd Series 2024-30A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.208% 10/25/2037 (b)(c)(h) | 32900000 | 32957509 |
| Magnetite CLO LTD Series 2025-36A Class AR, CME Term SOFR 3 month Index + 1.32%, 5.178% 7/25/2038 (b)(c)(h) | 28737000 | 28807061 |
| Magnetite Clo Ltd Series 2025-45A Class A1, CME Term SOFR 3 month Index + 1.15%, 5.0545% 4/15/2038 (b)(c)(h) | 20150000 | 20149516 |
| Magnetite Xli Ltd Series 2024-41A Class A, CME Term SOFR 3 month Index + 1.29%, 5.148% 1/25/2038 (b)(c)(h) | 18369000 | 18401660 |
| Magnetite XXI Ltd Series 2021-21A Class AR, CME Term SOFR 3 month Index + 1.2816%, 5.1661% 4/20/2034 (b)(c)(h) | 25147000 | 25154745 |
| Magnetite Xxiii Ltd Series 2021-23A Class AR, CME Term SOFR 3 month Index + 1.3916%, 5.2496% 1/25/2035 (b)(c)(h) | 23616000 | 23634090 |
| Magnetite Xxix Ltd / Magnetite Xxix LLC Series 2024-29A Class AR, CME Term SOFR 3 month Index + 1.35%, 5.2545% 7/15/2037 (b)(c)(h) | 28521000 | 28587197 |
| Magnetite Xxvi Ltd / Magnetite Xxvi LLC Series 2025-26A Class AR2, CME Term SOFR 3 month Index + 1.15%, 5.008% 1/25/2038 (b)(c)(h) | 27555000 | 27533066 |
| Magnetite Xxviii Ltd Series 2025-28A Class A1RR, CME Term SOFR 3 month Index + 1.24%, 5.1445% 1/15/2038 (b)(c)(h) | 37187000 | 37190793 |
| Morgan Stanley Eaton Vance CLO Ltd / LLC Series 2025-21A Class A1, CME Term SOFR 3 month Index + 1.17%, 5.0745% 4/15/2038 (b)(c)(h) | 34398000 | 34345302 |
| Neuberger Berman Loan Advisers Clo 25 Ltd Series 2024-25A Class AR2, CME Term SOFR 3 month Index + 1.4%, 5.2844% 7/18/2038 (b)(c)(h) | 28786000 | 28857620 |
| Ocp Aegis Clo Ltd Series 2025-47A Class A1, CME Term SOFR 3 month Index + 1.11%, 4.8574% 1/21/2038 (b)(c)(h) | 24882000 | 24888171 |
| OCP Clo Ltd Series 2025-44A Class A, CME Term SOFR 3 month Index + 1.3%, 5.5622% 10/24/2038 (b)(c)(h) | 29697000 | 29771480 |
| OCP CLO Ltd Series 2025-46A Class A, CME Term SOFR 3 month Index + 1.2%, 5.0473% 10/15/2038 (b)(c)(h) | 19380000 | 19377461 |
| Oha Cr Fdg 4 Ltd / Oha Cr Fdg 4 LLC Series 2024-4A Class AR2, CME Term SOFR 3 month Index + 1.29%, 5.1474% 1/22/2038 (b)(c)(h) | 33564000 | 33622200 |
| Oha Credit Funding 14-R Ltd Series 2025-14RA Class A, CME Term SOFR 3 month Index + 1.23%, 5.1144% 4/20/2038 (b)(c)(h) | 18959000 | 18966925 |
| OHA Credit Funding 6 Ltd Series 2024-6A Class AR2, CME Term SOFR 3 month Index + 1.33%, 5.2144% 10/20/2037 (b)(c)(h) | 26023000 | 26057350 |
| OHA Credit Partners Ltd Series 2024-18A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.3844% 4/20/2037 (b)(c)(h) | 41264000 | 41373680 |
| OHA Credit Partners Ltd Series 2024-18A Class A2, CME Term SOFR 3 month Index + 1.65%, 5.5344% 4/20/2037 (b)(c)(h) | 2187000 | 2190162 |
| Oha Credit Partners VII Ltd Series 2025-7A Class AR4, CME Term SOFR 3 month Index + 1.14%, 5.029% 2/20/2038 (b)(c)(h) | 26623000 | 26569754 |
| OHA Credit Partners XVII Ltd Series 2024-17A Class A, CME Term SOFR 3 month Index + 1.32%, 5.2044% 1/18/2038 (b)(c)(h) | 11276000 | 11293918 |
| Palmer Square Ln Fdg 2025-2 Ltd / Palmer Square Ln Fdg 2025-2 LLC Series 2025-2A Class A1, CME Term SOFR 3 month Index + 0.94%, 5.2277% 7/15/2033 (b)(c)(h) | 28000000 | 28005852 |
| Palmer Square Loan Funding Ltd Series 2024-2A Class A1N, CME Term SOFR 3 month Index + 1%, 4.9045% 1/15/2033 (b)(c)(h) | 12981483 | 12984729 |
| Palmer Square Loan Funding Ltd Series 2025-1A Class A1, CME Term SOFR 3 month Index + 0.8%, 4.6518% 2/15/2033 (b)(c)(h) | 28776965 | 28729799 |
| Peace Park Clo Ltd Series 2025-1A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.1344% 10/20/2038 (b)(c)(h) | 26956000 | 26982848 |
| Project Silver Series 2019-1 Class A, 3.967% 7/15/2044 (h) | 14643109 | 14497410 |
| Rr 34 Ltd Series 2024-34RA Class A1R, CME Term SOFR 3 month Index + 1.35%, 5.2545% 10/15/2039 (b)(c)(h) | 14403000 | 14442522 |
| Rr 7 Ltd Series 2022-7A Class A1AB, CME Term SOFR 3 month Index + 1.34%, 5.2445% 1/15/2037 (b)(c)(h) | 38243000 | 38278490 |
| Sixth Street Clo Xix Ltd Series 2025-19A Class A1R, CME Term SOFR 3 month Index + 1.28%, 5.1616% 7/17/2038 (b)(c)(h) | 18120000 | 18163416 |
| Sixth Street Clo Xviii Ltd Series 2025-18A Class A1R, CME Term SOFR 3 month Index + 1.25%, 5.1316% 10/17/2038 (b)(c)(h) | 27844000 | 27879445 |
| Sixth Street CLO XX Ltd Series 2025-20A Class A1R, CME Term SOFR 3 month Index + 1.32%, 5.2016% 7/17/2038 (b)(c)(h) | 23436000 | 23491286 |
| Symphony Clo 43 Ltd Series 2024-43A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.4245% 4/15/2037 (b)(c)(h) | 25363000 | 25419331 |
| Symphony Clo Xxvi Ltd / Symphony Clo Xxvi LLC Series 2021-26A Class AR, CME Term SOFR 3 month Index + 1.3416%, 5.2261% 4/20/2033 (b)(c)(h) | 17905943 | 17908825 |
| Thunderbolt Aircraft Lease Series 2018-A Class A, 5.96% 9/15/2038 (c)(h) | 6847418 | 6850842 |
| Thunderbolt III Aircraft Lease Ltd Series 2019-1 Class A, 3.671% 11/15/2039 (h) | 13485861 | 13385289 |
| Trapeza Cdo Xii Ltd Series 2007-12A Class B, CME Term SOFR 3 month Index + 0.8216%, 4.7558% 4/6/2042 (b)(c)(h) | 3641000 | 2880128 |
| Voya Clo Ltd Series 2024-1A Class A1, CME Term SOFR 3 month Index + 1.52%, 5.4245% 4/15/2037 (b)(c)(h) | 24125000 | 24183576 |
| Voya CLO Ltd/Voya CLO LLC Series 2025-2A Class A1RR, CME Term SOFR 3 month Index + 1.31%, 5.1944% 1/20/2038 (b)(c)(h) | 10748000 | 10759725 |
| TOTAL GRAND CAYMAN (UK OVERSEAS TER) |  | 2045254140 |
| IRELAND - 0.0%  |  |  |
| Volofin Finance Designated Activity Co Series 2024-1A Class A, 5.935% 6/15/2037 (h) | 9698211 | 9884104 |
| MULTI-NATIONAL - 0.2%  |  |  |
| Aimco Clo 21 Ltd / Aimco Clo 21 LLC Series 2024-21A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.3844% 4/18/2037 (b)(c)(h) | 24647000 | 24710515 |
| Allegro Clo Xv Ltd / Allegro Clo Vx LLC Series 2025-1A Class A1R, CME Term SOFR 3 month Index + 1.18%, 5.0644% 4/20/2038 (b)(c)(h) | 25047000 | 25050081 |
| Ares Ln Fdg V Ltd / Ares Ln Fdg V LLC Series 2024-ALF5A Class A1, CME Term SOFR 3 month Index + 1.5%, 5.358% 7/27/2037 (b)(c)(h) | 32417000 | 32501609 |
| Ocp Clo 2018-15 Ltd Series 2025-15A Class AR, CME Term SOFR 3 month Index + 1.25%, 5.1344% 1/20/2038 (b)(c)(h) | 18401000 | 18438004 |
| TOTAL MULTI-NATIONAL |  | 100700209 |
| UNITED STATES - 3.2%  |  |  |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A1, 6.261% 5/16/2049 (h) | 20552951 | 21118876 |
| Aaset 2024-1 US Ltd / Aaset 2024-1 Intl Ltd Series 2024-1A Class A2, 6.261% 5/16/2049 (h) | 18785113 | 19302361 |
| Aaset 2025-1 Ltd / Aaset 2025-1 LLC Series 2025-1A Class A, 5.943% 2/16/2050 (h) | 17191593 | 17520296 |
| AASET Trust Series 2019-2 Class A, 3.376% 10/16/2039 (h) | 1309669 | 1308454 |
| AASET Trust Series 2019-2 Class B, 4.458% 10/16/2039 (h) | 906251 | 894413 |
| AASET Trust Series 2021-1A Class A, 2.95% 11/16/2041 (h) | 12075334 | 11626971 |
| AASET Trust Series 2021-2A Class A, 2.798% 1/15/2047 (h) | 33695699 | 31971504 |
| AASET Trust Series 2022-1A Class A, 6% 5/16/2047 (h) | 18038504 | 18404193 |
| Achv Abs Trust Series 2024-3AL Class A, 5.01% 12/26/2031 (h) | 2028920 | 2048732 |
| Affirm Asset Securitization Trust Series 2024-A Class 1A, 5.61% 2/15/2029 (h) | 20700000 | 20732207 |
| Affirm Master Trust Series 2025-2A Class A, 4.67% 7/15/2033 (h) | 9100000 | 9162254 |
| Affirm Master Trust Series 2025-3A Class A, 4.45% 10/16/2034 (h) | 10000000 | 10035306 |
| Ally Auto Receivables Trust Series 2024-1 Class A3, 5.08% 12/15/2028  | 13793471 | 13886239 |
| Altde Trust Series 2025-1A Class A, 5.9% 8/15/2050 (h) | 23266651 | 23794192 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class A, 3.351% 1/16/2040 (h) | 2165297 | 2150140 |
| Apollo Aviation Securitization Equity Trust Series 2020-1A Class B, 4.335% 1/16/2040 (h) | 456972 | 448975 |
| ARI Fleet Lease Trust Series 2024-B Class A2, 5.54% 4/15/2033 (h) | 4071163 | 4100456 |
| ARI Fleet Lease Trust Series 2025-A Class A2, 4.38% 1/17/2034 (h) | 8429104 | 8456748 |
| Autonation Finance Trust Series 2025-1A Class A2, 4.72% 4/10/2028 (h) | 6583748 | 6598117 |
| BHG Series 2025-2CON Class A, 4.84% 9/17/2036 (h) | 4207332 | 4248466 |
| Blackbird Cap II Aircraft Lease Ltd / Blackbird Cap II Aircraft Lease Us L Series 2021-1A Class A, 2.443% 7/15/2046 (h) | 24368595 | 23142531 |
| Blackbird Capital Aircraft Lease Securitization Ltd Series 2016-1A Class A, 4.213% 12/16/2041 (h)(i) | 4735837 | 4745308 |
| BofA Auto Trust Series 2024-1A Class A3, 5.35% 11/15/2028 (h) | 5889409 | 5949052 |
| CarMax Auto Owner Trust Series 2023-4 Class A3, 6% 7/17/2028  | 12592627 | 12755034 |
| CarMax Select Receivables Trust Series 2024-A Class A2A, 5.78% 9/15/2027  | 1023077 | 1024978 |
| CarMax Select Receivables Trust Series 2024-A Class A3, 5.4% 11/15/2028  | 4752000 | 4795246 |
| Castlelake Aircraft Securitization Series 2018-1 Class A, 4.125% 6/15/2043 (h) | 3537481 | 3502110 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class A, 3.967% 4/15/2039 (h) | 10439363 | 10230576 |
| Castlelake Aircraft Securitization Trust Series 2019-1A Class B, 5.095% 4/15/2039 (h) | 10307675 | 9792940 |
| Castlelake Aircraft Structured Trust Series 2021-1A Class A, 3.474% 1/15/2046 (h) | 660562 | 654960 |
| Citizens Auto Receivables Trust Series 2024-2 Class A3, 5.33% 8/15/2028 (h) | 7450823 | 7502292 |
| DB Master Finance LLC Series 2017-1A Class A2II, 4.03% 11/20/2047 (h) | 35306843 | 35076346 |
| DB Master Finance LLC Series 2021-1A Class A23, 2.791% 11/20/2051 (h) | 11741760 | 10466406 |
| DB Master Finance LLC Series 2021-1A Class A2I, 2.045% 11/20/2051 (h) | 11553600 | 11333227 |
| DB Master Finance LLC Series 2025-1A Class A2I, 4.891% 8/20/2055 (h) | 23125000 | 23193216 |
| DB Master Finance LLC Series 2025-1A Class A2II, 5.165% 8/20/2055 (h) | 18755000 | 18800745 |
| Dell Equip Fin Trust Series 2025-1 Class A2, 4.68% 7/22/2027 (h) | 13745000 | 13793343 |
| Dext Abs LLC Series 2025-2 Class A2, 4.1% 4/17/2028 (h) | 6700000 | 6701455 |
| DLLAA Series 2023-1A Class A3, 5.64% 2/22/2028 (h) | 5907316 | 5969963 |
| DLLAD Series 2023-1A Class A3, 4.79% 1/20/2028 (h) | 4029850 | 4053133 |
| Domino's Pizza Master Issuer LLC Series 2019-1A Class A2, 3.668% 10/25/2049 (h) | 20812800 | 20045940 |
| Eaton Vance CLO Ltd Series 2024-1A Class AR2, CME Term SOFR 3 month Index + 1.51%, 5.4145% 7/15/2037 (b)(c)(h) | 30522000 | 30577245 |
| Enterprise Fleet Financing LLC Series 2023-3 Class A2, 6.4% 3/20/2030 (h) | 12015951 | 12163744 |
| Enterprise Fleet Financing Series 2024-2 Class A2, 5.74% 12/20/2026 (h) | 3466614 | 3479066 |
| Enterprise Fleet Financing Series 2024-2 Class A3, 5.61% 4/20/2028 (h) | 10500000 | 10678603 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A2, 4.83% 10/16/2028  | 2542556 | 2550575 |
| Exeter Select Automobile Receivables Trust Series 2025-1 Class A3, 4.69% 4/15/2030  | 2590000 | 2618748 |
| Exeter Select Automobile Receivables Trust Series 2025-2 Class A3, 4.43% 8/15/2030  | 2400000 | 2416151 |
| Ggam Master Tr Internationa Ltd / LLC Series 2025-1A Class A, 5.923% 9/30/2060 (h) | 64650000 | 65092995 |
| Gilead Aviation LLC Series 2025-1A Class A, 5.789% 3/15/2050 (h) | 39708609 | 40325792 |
| GMF Floorplan Owner Revolving Trust Series 2024-4A Class A1, 4.73% 11/15/2029 (h) | 23130000 | 23450267 |
| Green Lakes Park Clo LLC Series 2025-1A Class ARR, CME Term SOFR 3 month Index + 1.18%, 5.038% 1/25/2038 (b)(c)(h) | 28775000 | 28746542 |
| Horizon Aircraft Finance I Limited Series 2018-1 Class A, 4.458% 12/15/2038 (h) | 7909000 | 7832506 |
| HPEFS Equipment Trust Series 2024-2A Class A3, 5.36% 10/20/2031 (h) | 6192661 | 6227734 |
| Hyundai Auto Lease Securitization Trust Series 2024-B Class A3, 5.41% 5/17/2027 (h) | 7253973 | 7290977 |
| Jersey Mike's Funding Series 2024-1A Class A2, 5.636% 2/15/2055 (h) | 24509788 | 25011402 |
| Jersey Mike's Funding Series 2025-1A Class A2, 5.61% 8/16/2055 (h) | 17556000 | 17893834 |
| Long Beach Mortgage Loan Trust Series 2003-3 Class M1, CME Term SOFR 1 month Index + 1.2395%, 4.9712% 7/25/2033 (b)(c) | 329282 | 329023 |
| Merchants Fleet Funding LLC Series 2023-1A Class A, 7.21% 5/20/2036 (h) | 4658790 | 4679497 |
| Merchants Fleet Funding LLC Series 2024-1A Class A, 5.82% 4/20/2037 (h) | 11010554 | 11081714 |
| Merchants Fleet Funding LLC Series 2025-1A Class A, 4.49% 1/20/2039 (h) | 11300000 | 11338231 |
| Navigator Aircraft Abs Ltd Series 2025-1 Class A, 5.107% 10/15/2050 (h) | 42319015 | 41934848 |
| Nissan Master Owner Tr Receivable Series 2024-B Class A, 5.05% 2/15/2029 (h) | 18500000 | 18721449 |
| OCCU Auto Receivables Trust Series 2025-1A Class A3, 4.81% 11/15/2029 (h) | 2900000 | 2925705 |
| OCP CLO Ltd Series 2025-8RA Class AR2, CME Term SOFR 3 month Index + 1.22%, 5.1016% 10/17/2038 (b)(c)(h) | 27412000 | 27438535 |
| Onemain Financial Issuance Trust Series 2021-1A Class A1, 1.55% 6/16/2036 (h) | 5137000 | 4999431 |
| Oportun Issuance Trust Series 2025-D Class A, 4.53% 2/8/2033 (h) | 9900000 | 9913067 |
| OWN Equipment Fund I LLC Series 2024-2M Class A, 5.7% 12/20/2032 (h) | 3194028 | 3240129 |
| Pk Alift Loan Funding 3 LP Series 2024-1 Class A1, 5.842% 9/15/2039 (h) | 4805499 | 4912009 |
| Planet Fitness Master Issuer LLC Series 2019-1A Class A2, 3.858% 12/5/2049 (h) | 21625640 | 20717947 |
| Planet Fitness Master Issuer LLC Series 2022-1A Class A2II, 4.008% 12/5/2051 (h) | 19697563 | 18692796 |
| Planet Fitness Master Issuer LLC Series 2025-1A Class A2I, 5.274% 12/6/2055 (h) | 18965000 | 19062302 |
| PRMI Securitization Trust Series 2024-CMG1 Class A1, U.S. 30-Day Avg. SOFR Index + 1.3%, 5.4747% 7/25/2054 (b)(c)(h) | 8319777 | 8294697 |
| PRPM Trust Series 2023-RCF2 Class A1, 4% 11/25/2053 (c)(h) | 5813625 | 5764070 |
| Reach Abs Trust Series 2025-2A Class A, 4.93% 8/18/2032 (h) | 7260854 | 7289796 |
| SBA Tower Trust Series 2020, 1.884% 7/15/2050 (h) | 10516000 | 10504270 |
| SBA Tower Trust Series 2020, 2.328% 7/15/2052 (h) | 8041000 | 7727856 |
| SBNA Auto Lease Trust Series 2024-B Class A3, 5.56% 11/22/2027 (h) | 12540309 | 12607043 |
| SBNA Auto Lease Trust Series 2024-C Class A3, 4.56% 2/22/2028 (h) | 12419455 | 12448761 |
| Sclp 2025-2 Series 2025-2 Class A, 4.82% 6/25/2034 (h) | 7829871 | 7875083 |
| SFS Auto Receivables Securitization Trust Series 2024-2A Class A3, 5.33% 11/20/2029 (h) | 9766196 | 9871753 |
| SLAM Ltd Series 2025-1A Class A, 5.807% 5/15/2050 (h) | 19044548 | 19534603 |
| Store Master Funding Series 2021-1A Class A1, 2.12% 6/20/2051 (h) | 9481750 | 8863673 |
| Subway Funding LLC Series 2024-1A Class A23, 6.505% 7/30/2054 (h) | 25936020 | 26824030 |
| Subway Funding LLC Series 2024-1A Class A2I, 6.028% 7/30/2054 (h) | 49746510 | 50434251 |
| Subway Funding LLC Series 2024-1A Class A2II, 6.268% 7/30/2054 (h) | 29574270 | 30204376 |
| Subway Funding LLC Series 2024-3A Class A23, 5.914% 7/30/2054 (h) | 35698410 | 35453605 |
| Subway Funding LLC Series 2024-3A Class A2I, 5.246% 7/30/2054 (h) | 42468030 | 42338197 |
| Subway Funding LLC Series 2024-3A Class A2II, 5.566% 7/30/2054 (h) | 17606160 | 17471598 |
| T-Mobile US Trust Series 2025-1A Class A, 4.74% 11/20/2029 (h) | 500000 | 507071 |
| T-Mobile US Trust Series 2025-2A Class A, 4.34% 4/22/2030 (h) | 1800000 | 1816403 |
| Taco Bell Fdg LLC Series 2025-1A Class A2I, 4.821% 8/25/2055 (h) | 40265000 | 40073757 |
| Terwin Mortgage Trust Series 2003-4HE Class A1, CME Term SOFR 1 month Index + 0.9745%, 4.7062% 9/25/2034 (b)(c) | 47182 | 50691 |
| Westf 2025-A Series 2025-A Class A, 5.582% 6/15/2050 (h) | 23236067 | 23613035 |
| Wheels Fleet Lease Funding 1 LLC Series 2024-1A Class A1, 5.49% 2/18/2039 (h) | 8833201 | 8942570 |
| Wheels Fleet Lease Funding 1 LLC Series 2025-3A Class A1, 4.08% 9/18/2040 (h) | 3900000 | 3910829 |
| Willis Engine Structured Tr VII Series 2023-A Class A, 8% 10/15/2048 (h) | 8040583 | 8266068 |
| Willis Engine Structured Trust VII Series 2025-B Class A, 5.159% 12/15/2050 (h) | 14000000 | 14037033 |
| World Omni Auto Receivables Trust 2023-B Series 2023-B Class A3, 4.66% 5/15/2028  | 8143322 | 8161620 |
| World Omni Auto Receivables Trust 2023-C Series 2023-C Class A3, 5.15% 11/15/2028  | 5636897 | 5669915 |
| TOTAL UNITED STATES |  | 1376237219 |
| <br> **TOTAL ASSET-BACKED SECURITIES**<br> (Cost $3,945,664,361) |  | <br> **3955241426** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** | &nbsp;&nbsp;**Bank Notes - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Capital One NA ICE IBA - USD SOFR Spread-Adj ICE Swap Rate 5Y + 1.73%, 5.974% 8/9/2028 (b)(c) | 23162000 | 24065016 |
| KeyBank NA/Cleveland OH 6.95% 2/1/2028  | 850000 | 892532 |
| Regions Bank/Birmingham AL 6.45% 6/26/2037  | 30566000 | 33049188 |
| TOTAL UNITED STATES |  | 58006736 |
| <br> **TOTAL BANK NOTES**<br> (Cost $58,026,672) |  | <br> **58006736** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** | &nbsp;&nbsp;**Collateralized Mortgage Obligations - 1.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 1.4%  |  |  |
| Ajax Mortgage Loan Trust Series 2021-C Class A, 6.115% 1/25/2061 (h) | 2000051 | 1999980 |
| Ajax Mortgage Loan Trust Series 2021-E Class A1, 1.74% 12/25/2060 (h) | 8138539 | 7291340 |
| Binom Securitization Trust Series 2022-RPL1 Class A1, 3% 2/25/2061 (c)(h) | 12024883 | 11330347 |
| Bravo Residential Fdg Tr 2025-Nqm5 Series 2025-NQM5 Class A1, 5.496% 2/25/2065 (c)(h) | 2175504 | 2197584 |
| Bravo Residential Funding Trust Series 2022-RPL1 Class A1, 2.75% 9/25/2061 (h) | 11809876 | 10962028 |
| CFMT LLC Series 2024-HB13 Class A, 3% 5/25/2034 (c)(h) | 8344756 | 8245956 |
| CFMT LLC Series 2024-HB15 Class A, 4% 8/25/2034 (c)(h) | 4179566 | 4165721 |
| Fannie Mae Guaranteed REMIC Series 1999-17 Class PG, 6% 4/25/2029  | 21299 | 21641 |
| Fannie Mae Guaranteed REMIC Series 1999-25 Class Z, 6% 6/25/2029  | 25629 | 25862 |
| Fannie Mae Guaranteed REMIC Series 1999-32 Class PL, 6% 7/25/2029  | 32113 | 32751 |
| Fannie Mae Guaranteed REMIC Series 1999-33 Class PK, 6% 7/25/2029  | 23802 | 24259 |
| Fannie Mae Guaranteed REMIC Series 2001-20 Class Z, 6% 5/25/2031  | 34146 | 35052 |
| Fannie Mae Guaranteed REMIC Series 2001-31 Class ZC, 6.5% 7/25/2031  | 13684 | 13900 |
| Fannie Mae Guaranteed REMIC Series 2001-52 Class YZ, 6.5% 10/25/2031  | 5015 | 5190 |
| Fannie Mae Guaranteed REMIC Series 2002-16 Class ZD, 6.5% 4/25/2032  | 18487 | 19226 |
| Fannie Mae Guaranteed REMIC Series 2002-18 Class FD, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.7887% 2/25/2032 (b)(c) | 3900 | 3912 |
| Fannie Mae Guaranteed REMIC Series 2002-39 Class FD, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.0512% 3/18/2032 (b)(c) | 6882 | 6942 |
| Fannie Mae Guaranteed REMIC Series 2002-60 Class FV, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.9887% 4/25/2032 (b)(c) | 7266 | 7316 |
| Fannie Mae Guaranteed REMIC Series 2002-63 Class FN, U.S. 30-Day Avg. SOFR Index + 1.1145%, 4.9887% 10/25/2032 (b)(c) | 8671 | 8739 |
| Fannie Mae Guaranteed REMIC Series 2002-7 Class FC, U.S. 30-Day Avg. SOFR Index + 0.8645%, 4.7387% 1/25/2032 (b)(c) | 3415 | 3418 |
| Fannie Mae Guaranteed REMIC Series 2002-74 Class SV, 7.4355% - U.S. 30-Day Avg. SOFR Index 3.5613% 11/25/2032 (c)(j) | 5670 | 137 |
| Fannie Mae Guaranteed REMIC Series 2003-118 Class S, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.1113% 12/25/2033 (c)(j) | 153267 | 18917 |
| Fannie Mae Guaranteed REMIC Series 2003-21 Class SK, 7.9855% - U.S. 30-Day Avg. SOFR Index 4.1113% 3/25/2033 (c)(j) | 8234 | 883 |
| Fannie Mae Guaranteed REMIC Series 2005-102 Class CO, 0% 11/25/2035 (m) | 18422 | 16147 |
| Fannie Mae Guaranteed REMIC Series 2005-47 Class SW, 6.6055% - U.S. 30-Day Avg. SOFR Index 2.7313% 6/25/2035 (c)(j) | 181738 | 12597 |
| Fannie Mae Guaranteed REMIC Series 2005-72 Class ZC, 5.5% 8/25/2035  | 584410 | 606551 |
| Fannie Mae Guaranteed REMIC Series 2005-73 Class SA, U.S. 30-Day Avg. SOFR Index x 17.2524%, 7.1795% 8/25/2035 (b)(c) | 3472 | 3665 |
| Fannie Mae Guaranteed REMIC Series 2005-79 Class ZC, 5.9% 9/25/2035  | 374366 | 378889 |
| Fannie Mae Guaranteed REMIC Series 2005-81 Class PC, 5.5% 9/25/2035  | 69636 | 71443 |
| Fannie Mae Guaranteed REMIC Series 2006-104 Class GI, 6.5655% - U.S. 30-Day Avg. SOFR Index 2.6913% 11/25/2036 (c)(j) | 111578 | 9459 |
| Fannie Mae Guaranteed REMIC Series 2006-116 Class SG, 6.5255% - U.S. 30-Day Avg. SOFR Index 2.6513% 12/25/2036 (c)(j) | 63826 | 6299 |
| Fannie Mae Guaranteed REMIC Series 2006-12 Class BO, 0% 10/25/2035 (m) | 84578 | 76689 |
| Fannie Mae Guaranteed REMIC Series 2006-15 Class OP, 0% 3/25/2036 (m) | 145543 | 126638 |
| Fannie Mae Guaranteed REMIC Series 2006-37 Class OW, 0% 5/25/2036 (m) | 15485 | 12978 |
| Fannie Mae Guaranteed REMIC Series 2007-40 Class SE, 6.3255% - U.S. 30-Day Avg. SOFR Index 2.4513% 5/25/2037 (c)(j) | 40772 | 3760 |
| Fannie Mae Guaranteed REMIC Series 2007-57 Class SA, U.S. 30-Day Avg. SOFR Index x 39.9331%, 16.688% 6/25/2037 (b)(c) | 29171 | 39551 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SA, U.S. 30-Day Avg. SOFR Index x 38.9131%, 15.668% 7/25/2037 (b)(c) | 44722 | 59854 |
| Fannie Mae Guaranteed REMIC Series 2007-66 Class SB, U.S. 30-Day Avg. SOFR Index x 38.9131%, 15.668% 7/25/2037 (b)(c) | 6604 | 7622 |
| Fannie Mae Guaranteed REMIC Series 2010-135 Class ZA, 4.5% 12/25/2040  | 219123 | 208358 |
| Fannie Mae Guaranteed REMIC Series 2010-150 Class ZC, 4.75% 1/25/2041  | 1677560 | 1645556 |
| Fannie Mae Guaranteed REMIC Series 2011-39 Class ZA, 6% 11/25/2032  | 168262 | 174232 |
| Fannie Mae Guaranteed REMIC Series 2011-4 Class PZ, 5% 2/25/2041  | 671745 | 661044 |
| Fannie Mae Guaranteed REMIC Series 2012-100 Class WI, 3% 9/25/2027 (j) | 193953 | 3172 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class DA, 1.75% 1/25/2043  | 154354 | 144290 |
| Fannie Mae Guaranteed REMIC Series 2012-149 Class GA, 1.75% 6/25/2042  | 208754 | 196686 |
| Fannie Mae Guaranteed REMIC Series 2012-154 Class F, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.2887% 1/25/2043 (b)(c) | 516523 | 505631 |
| Fannie Mae Guaranteed REMIC Series 2012-67 Class AI, 4.5% 7/25/2027 (j) | 309 | 0 |
| Fannie Mae Guaranteed REMIC Series 2013-133 Class IB, 3% 4/25/2032 (j) | 458 | 0 |
| Fannie Mae Guaranteed REMIC Series 2013-134 Class SA, 5.9355% - U.S. 30-Day Avg. SOFR Index 2.0613% 1/25/2044 (c)(j) | 203001 | 22295 |
| Fannie Mae Guaranteed REMIC Series 2015-42 Class IL, 6% 6/25/2045 (j) | 967431 | 134967 |
| Fannie Mae Guaranteed REMIC Series 2015-70 Class JC, 3% 10/25/2045  | 1134111 | 1089023 |
| Fannie Mae Guaranteed REMIC Series 2017-30 Class AI, 5.5% 5/25/2047 (j) | 564747 | 76346 |
| Fannie Mae Guaranteed REMIC Series 2017-36 Class FB, U.S. 30-Day Avg. SOFR Index + 0.4645%, 4.3387% 5/25/2047 (b)(c) | 1102562 | 1075389 |
| Fannie Mae Guaranteed REMIC Series 2018-32 Class FB, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.2887% 5/25/2048 (b)(c) | 596032 | 579191 |
| Fannie Mae Guaranteed REMIC Series 2018-38 Class FG, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.2887% 6/25/2048 (b)(c) | 1425859 | 1381789 |
| Fannie Mae Guaranteed REMIC Series 2019-82 Class PI, 4% 6/25/2049 (j) | 5091065 | 842932 |
| Fannie Mae Guaranteed REMIC Series 2020-35 Class MA, 2% 12/25/2043  | 1359936 | 1295362 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DA, 2% 1/25/2048  | 2449166 | 2069505 |
| Fannie Mae Guaranteed REMIC Series 2021-66 Class DM, 2% 1/25/2048  | 2602761 | 2199291 |
| Fannie Mae Guaranteed REMIC Series 2021-85 Class L, 2.5% 8/25/2048  | 2146006 | 1919525 |
| Fannie Mae Guaranteed REMIC Series 2021-95 Class BA, 2.5% 6/25/2049  | 10050526 | 8953541 |
| Fannie Mae Guaranteed REMIC Series 2021-95, 2.5% 9/25/2048  | 6655432 | 5974605 |
| Fannie Mae Guaranteed REMIC Series 2021-96 Class HA, 2.5% 2/25/2050  | 3388652 | 3026155 |
| Fannie Mae Guaranteed REMIC Series 2022-1 Class KA, 3% 5/25/2048  | 3275743 | 3075546 |
| Fannie Mae Guaranteed REMIC Series 2022-11 Class B, 3% 6/25/2049  | 3970440 | 3714637 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class HA, 3% 8/25/2046  | 3099076 | 2956632 |
| Fannie Mae Guaranteed REMIC Series 2022-13 Class JA, 3% 5/25/2048  | 2769465 | 2601663 |
| Fannie Mae Guaranteed REMIC Series 2022-15 Class GC, 3% 1/25/2047  | 4336214 | 4133759 |
| Fannie Mae Guaranteed REMIC Series 2022-17 Class BH, 3% 5/25/2047  | 4731636 | 4535063 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class D, 2% 2/25/2048  | 9462632 | 8539611 |
| Fannie Mae Guaranteed REMIC Series 2022-3 Class N, 2% 10/25/2047  | 25998471 | 23445479 |
| Fannie Mae Guaranteed REMIC Series 2022-4 Class B, 2.5% 5/25/2049  | 2467310 | 2203315 |
| Fannie Mae Guaranteed REMIC Series 2022-49 Class TC, 4% 12/25/2048  | 2758019 | 2729865 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class BA, 2.5% 12/25/2049  | 3976068 | 3461223 |
| Fannie Mae Guaranteed REMIC Series 2022-5 Class DA, 2.25% 11/25/2047  | 10490927 | 9497299 |
| Fannie Mae Guaranteed REMIC Series 2022-53 Class FG, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.6742% 8/25/2052 (b)(c) | 7231325 | 7197173 |
| Fannie Mae Guaranteed REMIC Series 2022-56 Class FJ, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.6742% 9/25/2052 (b)(c) | 15376422 | 15303803 |
| Fannie Mae Guaranteed REMIC Series 2022-64 Class GF, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.6742% 10/25/2052 (b)(c) | 5075170 | 5049925 |
| Fannie Mae Guaranteed REMIC Series 2022-67 Class FA, U.S. 30-Day Avg. SOFR Index + 0.8%, 4.6742% 10/25/2052 (b)(c) | 17980682 | 17895678 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class A, 3% 5/25/2048  | 4629378 | 4347737 |
| Fannie Mae Guaranteed REMIC Series 2022-7 Class E, 2.5% 11/25/2047  | 9530184 | 8724340 |
| Fannie Mae Guaranteed REMIC Series 2024-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.0742% 9/25/2053 (b)(c) | 4646344 | 4672859 |
| Fannie Mae Guaranteed REMIC Series 2024-90 Class FD, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.0742% 12/25/2054 (b)(c) | 15693569 | 15760090 |
| Fannie Mae Guaranteed REMIC Series 2024-93 Class FG, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.9742% 12/25/2054 (b)(c) | 4324438 | 4341811 |
| Fannie Mae Mortgage pass-thru certificates Series 1997-41 Class J, 7.5% 6/18/2027  | 2108 | 2140 |
| Fannie Mae Mortgage pass-thru certificates Series 1999-57 Class PH, 6.5% 12/25/2029  | 53157 | 54503 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-45 Class OP, 0% 6/25/2036 (m) | 47843 | 40937 |
| Fannie Mae Mortgage pass-thru certificates Series 2006-62 Class KP, 0% 4/25/2036 (m) | 76368 | 65469 |
| Fannie Mae Mortgage pass-thru certificates Series 2013-51 Class GI, 3% 10/25/2032 (j) | 108918 | 3413 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-56 Class AH, 2% 5/25/2045  | 2495728 | 2369086 |
| Fannie Mae Mortgage pass-thru certificates Series 2020-62 Class GA, 2% 7/25/2044  | 941666 | 883080 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-4 Class FH, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.0742% 9/25/2054 (b)(c) | 3942664 | 3958343 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class AF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.2742% 2/25/2055 (b)(c) | 5473853 | 5513400 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class DF, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.2742% 9/25/2054 (b)(c) | 5944026 | 5978418 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FB, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.0742% 2/25/2055 (b)(c) | 8460080 | 8501093 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-7 Class FE, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.0242% 2/25/2055 (b)(c) | 3815181 | 3825676 |
| Fannie Mae Series 2010-95 Class ZC, 5% 9/25/2040  | 3437685 | 3364567 |
| Fannie Mae Series 2022-28 Class A, 2.5% 2/25/2052  | 11025433 | 10575413 |
| Fannie Mae Series 2022-30 Class E, 4.5% 7/25/2048  | 9012534 | 8997226 |
| Fannie Mae Series 2022-9 Class BA, 3% 5/25/2048  | 2136048 | 2005612 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-339 Class 5, 5.5% 7/25/2033 (j) | 37324 | 4924 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-343 Class 16, 5.5% 5/25/2034 (j) | 34685 | 4694 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2003-348 Class 14, 6.5% 8/25/2034 (c)(j) | 23368 | 3967 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 12, 5.5% 4/25/2034 (c)(j) | 13247 | 1892 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2004-351 Class 13, 6% 3/25/2034 (j) | 22302 | 3582 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2005-359 Class 19, 6% 7/25/2035 (c)(j) | 12233 | 2081 |
| Fannie Mae Stripped Mortgage-Backed Securities Series 2007-384 Class 6, 5% 7/25/2037 (j) | 151486 | 23267 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2043 Class ZH, 6% 4/15/2028  | 6624 | 6736 |
| Freddie Mac Manufactured Housing participation certificates Series 1998-2056 Class Z, 6% 5/15/2028  | 24518 | 24958 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2014-4386 Class AZ, 4.5% 11/15/2040  | 1775141 | 1745058 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2018-4795 Class FA, U.S. 30-Day Avg. SOFR Index + 0.4145%, 4.3983% 5/15/2048 (b)(c) | 974925 | 945659 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class EA, 2.5% 8/25/2048  | 2716570 | 2431716 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5159 Class GC, 2% 11/25/2047  | 1940754 | 1731041 |
| Freddie Mac Multiclass Mortgage participation certificates Series 2021-5164 Class M, 2.5% 7/25/2048  | 2771084 | 2481610 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2121 Class MG, 6% 2/15/2029  | 12217 | 12486 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2131 Class BG, 6% 3/15/2029  | 93957 | 96131 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2135 Class JE, 6% 3/15/2029  | 4938 | 5057 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2137 Class PG, 6% 3/15/2029  | 13112 | 13383 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 1999-2154 Class PT, 6% 5/15/2029  | 26293 | 26889 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2000-2218 Class ZB, 6% 3/15/2030  | 15303 | 15647 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2274 Class ZM, 6.5% 1/15/2031  | 8379 | 8513 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2303 Class ZV, 6% 4/15/2031  | 9664 | 9928 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2001-2357 Class ZB, 6.5% 9/15/2031  | 102937 | 106069 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2412 Class FK, U.S. 30-Day Avg. SOFR Index + 0.9145%, 4.8983% 1/15/2032 (b)(c) | 2954 | 2962 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2423 Class FA, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.9983% 3/15/2032 (b)(c) | 3991 | 4008 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2424 Class FM, U.S. 30-Day Avg. SOFR Index + 1.1145%, 5.0983% 3/15/2032 (b)(c) | 3881 | 3910 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FE, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.9983% 6/15/2031 (b)(c) | 5782 | 5809 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2432 Class FG, U.S. 30-Day Avg. SOFR Index + 1.0145%, 4.9983% 3/15/2032 (b)(c) | 2094 | 2104 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2502 Class ZC, 6% 9/15/2032  | 26609 | 27528 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2519 Class ZD, 5.5% 11/15/2032  | 39701 | 40533 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2002-2520 Class BE, 6% 11/15/2032  | 69183 | 71570 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2003-2693 Class MD, 5.5% 10/15/2033  | 161501 | 165126 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2004-2802 Class OB, 6% 5/15/2034  | 34704 | 35672 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2933 Class ZM, 5.75% 2/15/2035  | 814499 | 827030 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2947 Class XZ, 6% 3/15/2035  | 315041 | 326185 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-2996 Class ZD, 5.5% 6/15/2035  | 513292 | 518554 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2005-3002 Class NE, 5% 7/15/2035  | 164420 | 168960 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3115 Class SM, 6.4855% - U.S. 30-Day Avg. SOFR Index 2.5017% 2/15/2036 (c)(j) | 51626 | 4675 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3119 Class PO, 0% 2/15/2036 (m) | 176159 | 147416 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3121 Class KO, 0% 3/15/2036 (m) | 23330 | 20791 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3123 Class LO, 0% 3/15/2036 (m) | 96645 | 82015 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3145 Class GO, 0% 4/15/2036 (m) | 111506 | 94922 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3189 Class PD, 6% 7/15/2036  | 171371 | 178982 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3237 Class C, 5.5% 11/15/2036  | 669648 | 688348 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3244 Class SG, 6.5455% - U.S. 30-Day Avg. SOFR Index 2.5617% 11/15/2036 (c)(j) | 222452 | 20273 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2006-3258 Class PM, 5.5% 12/15/2036  | 48112 | 49650 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3336 Class LI, 6.4655% - U.S. 30-Day Avg. SOFR Index 2.4817% 6/15/2037 (c)(j) | 160577 | 15682 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2007-3366 Class FD, U.S. 30-Day Avg. SOFR Index + 0.3645%, 4.3483% 5/15/2037 (b)(c) | 185986 | 183762 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2008-3415 Class PC, 5% 12/15/2037  | 79225 | 80565 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3832 Class PE, 5% 3/15/2041  | 796962 | 807419 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2011-3949 Class MK, 4.5% 10/15/2034  | 117946 | 117740 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2012-4135 Class AB, 1.75% 6/15/2042  | 161125 | 152443 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2013-4149 Class IO, 3% 1/15/2033 (j) | 70764 | 4390 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2014-4314 Class AI, 5% 3/15/2034 (j) | 34 | 0 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4427 Class LI, 3.5% 2/15/2034 (j) | 312077 | 8178 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2015-4471 Class PA, 4% 12/15/2040  | 302798 | 301497 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4683 Class LM, 3% 5/15/2047  | 1381862 | 1339740 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4709 Class FE, U.S. 30-Day Avg. SOFR Index + 0.4645%, 4.4483% 8/15/2047 (b)(c) | 537373 | 524723 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-4720 Class IO, 4% 9/15/2047 (j) | 6706070 | 1349173 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-4765 Class IB, 4% 3/15/2048 (j) | 5905993 | 1173354 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-5066 Class A, 1.5% 11/25/2044  | 2397834 | 2190983 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5169 Class TP, 2.5% 6/25/2049  | 2751840 | 2448284 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5175 Class CB, 2.5% 4/25/2050  | 12304538 | 10842733 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5180 Class KA, 2.5% 10/25/2047  | 2425912 | 2212123 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-5182 Class A, 2.5% 10/25/2048  | 16540115 | 14833963 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class DA, 2.5% 5/25/2049  | 2608206 | 2324591 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5189 Class TP, 2.5% 5/25/2049  | 2510648 | 2234476 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class BA, 2.5% 11/25/2047  | 2462676 | 2244145 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5190 Class CA, 2.5% 5/25/2049  | 2108875 | 1876596 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5191 Class CA, 2.5% 4/25/2050  | 2856099 | 2511684 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class A, 2.5% 6/25/2049  | 2108885 | 1876599 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5197 Class DA, 2.5% 11/25/2047  | 1867710 | 1703465 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5198 Class BA, 2.5% 11/25/2047  | 9072971 | 8318574 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class AG, 3% 1/25/2049  | 2196034 | 2053641 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class LB, 2.5% 10/25/2047  | 2002066 | 1830315 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5202 Class UA, 3% 4/25/2050  | 3388838 | 3119922 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5210 Class TA, 3.5% 11/25/2046  | 2953050 | 2832672 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5236 Class P, 5% 4/25/2048  | 3653394 | 3683740 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5237 Class FP, U.S. 30-Day Avg. SOFR Index + 0.55%, 4.4242% 7/25/2052 (b)(c) | 1477975 | 1466557 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5250 Class FA, U.S. 30-Day Avg. SOFR Index + 0.67%, 4.5442% 8/25/2052 (b)(c) | 3252415 | 3210603 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5254 Class FG, U.S. 30-Day Avg. SOFR Index + 0.75%, 4.6242% 9/25/2052 (b)(c) | 5572948 | 5540215 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5255 Class FA, U.S. 30-Day Avg. SOFR Index + 0.7%, 4.5742% 9/25/2052 (b)(c) | 3493162 | 3441820 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5256 Class FA, U.S. 30-Day Avg. SOFR Index + 0.65%, 4.5242% 9/25/2052 (b)(c) | 2520627 | 2508413 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-5266 Class CD, 4.5% 10/25/2044  | 7915756 | 7919926 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-5330 Class FA, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.9242% 8/25/2053 (b)(c) | 7354082 | 7363690 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5425 Class FK, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.0742% 6/25/2054 (b)(c) | 5213684 | 5245648 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5459 Class FD, U.S. 30-Day Avg. SOFR Index + 1%, 4.8742% 10/25/2054 (b)(c) | 3219049 | 3226061 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-5476 Class FB, U.S. 30-Day Avg. SOFR Index + 1.1%, 4.9742% 11/25/2054 (b)(c) | 6116021 | 6140798 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5499 Class WF, U.S. 30-Day Avg. SOFR Index + 1.2%, 5.0742% 2/25/2055 (b)(c) | 3236219 | 3235916 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FE, U.S. 30-Day Avg. SOFR Index + 1.4%, 5.2742% 2/25/2055 (b)(c) | 6897187 | 6945696 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5500 Class FV, U.S. 30-Day Avg. SOFR Index + 1.25%, 5.1242% 10/25/2054 (b)(c) | 6043165 | 6073648 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5506 Class FA, U.S. 30-Day Avg. SOFR Index + 1.15%, 5.0242% 2/25/2055 (b)(c) | 14968563 | 14979456 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-5529 Class CF, U.S. 30-Day Avg. SOFR Index + 1.05%, 4.9242% 4/25/2055 (b)(c) | 6538820 | 6536717 |
| Freddie Mac Non Gold Pool Series 1998-2095 Class PE, 6% 11/15/2028  | 29656 | 30264 |
| Freddie Mac Non Gold Pool Series 1998-2101 Class PD, 6% 11/15/2028  | 2838 | 2892 |
| Freddie Mac Non Gold Pool Series 1999-2162 Class PH, 6% 6/15/2029  | 4372 | 4450 |
| Freddie Mac Non Gold Pool Series 2006-3225 Class EO, 0% 10/15/2036 (m) | 54603 | 45804 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H10 Class FA, CME Term SOFR 1 month Index + 0.4445%, 4.3602% 5/20/2060 (b)(c)(l) | 153592 | 153335 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H19 Class FG, CME Term SOFR 1 month Index + 0.4145%, 4.4141% 8/20/2060 (b)(c)(l) | 53845 | 53692 |
| Ginnie Mae Mortgage pass-thru certificates Series 2010-H27 Class FA, CME Term SOFR 1 month Index + 0.38%, 4.4941% 12/20/2060 (b)(c)(l) | 191762 | 191488 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H05 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.6141% 12/20/2060 (b)(c)(l) | 132589 | 132619 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H07 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.6141% 2/20/2061 (b)(c)(l) | 142482 | 142514 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H12 Class FA, CME Term SOFR 1 month Index + 0.6045%, 4.6041% 2/20/2061 (b)(c)(l) | 173588 | 173599 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H13 Class FA, CME Term SOFR 1 month Index + 0.6145%, 4.6141% 4/20/2061 (b)(c)(l) | 136255 | 136290 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FB, CME Term SOFR 1 month Index + 0.6145%, 4.6141% 5/20/2061 (b)(c)(l) | 161967 | 162001 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H14 Class FC, CME Term SOFR 1 month Index + 0.6145%, 4.6141% 5/20/2061 (b)(c)(l) | 133448 | 133476 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H17 Class FA, CME Term SOFR 1 month Index + 0.6445%, 4.6441% 6/20/2061 (b)(c)(l) | 140457 | 140547 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H20 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.6641% 9/20/2061 (b)(c)(l) | 402963 | 403314 |
| Ginnie Mae Mortgage pass-thru certificates Series 2011-H21 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.7141% 10/20/2061 (b)(c)(l) | 161371 | 161660 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H01 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.8141% 11/20/2061 (b)(c)(l) | 174351 | 174760 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H03 Class FA, CME Term SOFR 1 month Index + 0.8145%, 4.8141% 1/20/2062 (b)(c)(l) | 96616 | 96893 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H06 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.7441% 1/20/2062 (b)(c)(l) | 200091 | 200521 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H07 Class FA, CME Term SOFR 1 month Index + 0.7445%, 4.7441% 3/20/2062 (b)(c)(l) | 113166 | 113334 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H21 Class DF, CME Term SOFR 1 month Index + 0.7645%, 4.7641% 5/20/2061 (b)(c)(l) | 791 | 791 |
| Ginnie Mae Mortgage pass-thru certificates Series 2012-H23 Class WA, CME Term SOFR 1 month Index + 0.6345%, 4.6341% 10/20/2062 (b)(c)(l) | 4287 | 4289 |
| Ginnie Mae Mortgage pass-thru certificates Series 2013-H07 Class BA, CME Term SOFR 1 month Index + 0.36%, 4.4741% 3/20/2063 (b)(c)(l) | 5706 | 5694 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H03 Class FA, CME Term SOFR 1 month Index + 0.7145%, 4.7141% 1/20/2064 (b)(c)(l) | 86305 | 86464 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H05 Class FB, CME Term SOFR 1 month Index + 0.7145%, 4.7141% 12/20/2063 (b)(c)(l) | 203337 | 203657 |
| Ginnie Mae Mortgage pass-thru certificates Series 2014-H11 Class BA, CME Term SOFR 1 month Index + 0.6145%, 4.6141% 6/20/2064 (b)(c)(l) | 112564 | 112593 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class FL, CME Term SOFR 1 month Index + 0.3945%, 4.3941% 5/20/2063 (b)(c)(l) | 6496 | 6477 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H13 Class HA, 2.5% 8/20/2064 (l) | 6541 | 6190 |
| Ginnie Mae Mortgage pass-thru certificates Series 2015-H19 Class FA, CME Term SOFR 1 month Index + 0.3145%, 4.3141% 4/20/2063 (b)(c)(l) | 7944 | 7844 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H13 Class FB, 1 year U.S. Treasury Index + 0.5%, 4.16% 5/20/2066 (b)(c)(l) | 323925 | 323372 |
| Ginnie Mae Mortgage pass-thru certificates Series 2016-H20 Class FM, CME Term SOFR 1 month Index + 0.5145%, 4.5141% 12/20/2062 (b)(c)(l) | 28668 | 28572 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-134 Class BA, 2.5% 11/20/2046  | 267253 | 246160 |
| Ginnie Mae Mortgage pass-thru certificates Series 2017-H06 Class FA, 1 year U.S. Treasury Index + 0.35%, 4.01% 8/20/2066 (b)(c)(l) | 473240 | 471459 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-24 Class ZM, 5% 4/20/2034  | 253991 | 254284 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-32 Class GS, 6.3855% - CME Term SOFR 1 month Index 2.6513% 5/16/2034 (c)(j) | 50556 | 2875 |
| Ginnie Mae REMIC pass-thru certificates Series 2004-73 Class AL, 7.0855% - CME Term SOFR 1 month Index 3.3513% 8/17/2034 (c)(j) | 51918 | 4987 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-35 Class SC, CME Term SOFR 1 month Index x 39.5131%, 17.1076% 6/16/2037 (b)(c) | 1278 | 1470 |
| Ginnie Mae REMIC pass-thru certificates Series 2007-37 Class TS, 6.5755% - CME Term SOFR 1 month Index 2.8413% 6/16/2037 (c)(j) | 95793 | 8250 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-116 Class QB, 4% 9/16/2040  | 176497 | 173346 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-160 Class DY, 4% 12/20/2040  | 2357210 | 2312717 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-170 Class B, 4% 12/20/2040  | 519953 | 509573 |
| Ginnie Mae REMIC pass-thru certificates Series 2010-H03 Class FA, CME Term SOFR 1 month Index + 0.6645%, 4.5802% 3/20/2060 (b)(c)(l) | 316660 | 316954 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-136 Class WI, 4.5% 5/20/2040 (j) | 17957 | 544 |
| Ginnie Mae REMIC pass-thru certificates Series 2011-94 Class SA, 5.9855% - CME Term SOFR 1 month Index 2.2516% 7/20/2041 (c)(j) | 215806 | 21528 |
| Ginnie Mae REMIC pass-thru certificates Series 2012-98 Class FA, CME Term SOFR 1 month Index + 0.5145%, 4.2484% 8/20/2042 (b)(c) | 471099 | 464974 |
| Ginnie Mae REMIC pass-thru certificates Series 2013-149 Class MA, 2.5% 5/20/2040  | 664691 | 658020 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-2 Class BA, 3% 1/20/2044  | 4524421 | 4212055 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-21 Class HA, 3% 2/20/2044  | 1741445 | 1628432 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-25 Class HC, 3% 2/20/2044  | 2938339 | 2700090 |
| Ginnie Mae REMIC pass-thru certificates Series 2014-5 Class A, 3% 1/20/2044  | 2372148 | 2208720 |
| Ginnie Mae REMIC pass-thru certificates Series 2016-69 Class WA, 3% 2/20/2046  | 522805 | 488417 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-139 Class BA, 3% 9/20/2047  | 5656494 | 5139189 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-153 Class GA, 3% 9/20/2047  | 2483036 | 2264579 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-182 Class KA, 3% 10/20/2047  | 1994545 | 1826540 |
| Ginnie Mae REMIC pass-thru certificates Series 2017-186 Class HK, 3% 11/16/2045  | 2508413 | 2347187 |
| Ginnie Mae REMIC pass-thru certificates Series 2018-13 Class Q, 3% 4/20/2047  | 2239657 | 2113029 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-128 Class FH, CME Term SOFR 1 month Index + 0.6145%, 4.3484% 10/20/2049 (b)(c) | 1332124 | 1311288 |
| Ginnie Mae REMIC pass-thru certificates Series 2019-23 Class NF, CME Term SOFR 1 month Index + 0.5645%, 4.2984% 2/20/2049 (b)(c) | 2607261 | 2577579 |
| Ginnie Mae REMIC Trust Series 2015-H17 Class GZ, 4.1572% 5/20/2065 (c)(l) | 62489 | 61687 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL2 Class A1, 3.75% 7/25/2061 (h) | 4202552 | 4122346 |
| GS Mortgage-Backed Securities Trust Series 2024-RPL4 Class A1, 3.9% 9/25/2061 (h)(i) | 1039895 | 1027774 |
| New Residential Mortgage Loan Trust Series 2019-1A Class A1B, 3.5% 10/25/2059 (h) | 6171595 | 5828779 |
| New Residential Mortgage Loan Trust Series 2025-NQM7 Class A1FC, 4.949% 10/26/2065 (c)(h) | 4400000 | 4403564 |
| NYMT Loan Trust Series 2021-CP1 Class A1, 2.0424% 7/25/2061 (h) | 8599929 | 8144533 |
| NYMT Loan Trust Series 2024-CP1 Class A1, 3.75% 2/25/2068 (h) | 5162993 | 4914598 |
| OBX Series 2025-NQM14 Class A1, 5.162% 7/25/2065 (h)(i) | 2635811 | 2646815 |
| OBX Trust Series 2025-NQM8 Class A1, 5.472% 3/25/2065 (c)(h) | 17341317 | 17490870 |
| Ocwen Loan Investment Trust Series 2023-HB1 Class A, 3% 6/25/2036 (h) | 496831 | 495581 |
| Ocwen Loan Investment Trust Series 2024-HB1 Class A, 3% 2/25/2037 (h) | 1091416 | 1075134 |
| Ocwen Loan Investment Trust Series 2025-HB2 Class A, 3% 11/25/2038 (c)(h) | 8300000 | 8097480 |
| Onity Loan Investment Trust 2024-Hb2 Series 2024-HB2 Class A, 5% 8/25/2037 (h) | 2503032 | 2501842 |
| PRET Trust Series 2024-RPL1 Class A1, 3.9% 10/25/2063 (h) | 8710565 | 8408442 |
| PRPM LLC Series 2024-RCF4 Class A1, 4% 7/25/2054 (h) | 2504615 | 2482324 |
| PRPM LLC Series 2024-RPL2 Class A1, 3.5% 5/25/2054 (c)(h) | 9801852 | 9613197 |
| RMF Buyout Issuance Trust Series 2020-HB1 Class A1, 1.7188% 10/25/2050 (h) | 2868954 | 2705019 |
| Sequoia Mortgage Trust Series 2004-6 Class A3B, CME Term SOFR 6 month Index + 1.3083%, 4.9277% 7/20/2034 (b)(c) | 7742 | 7258 |
| Thornburg Mortgage Securities Trust Series 2003-4 Class A1, CME Term SOFR 1 month Index + 0.7545%, 4.4862% 9/25/2043 (b)(c) | 387935 | 377617 |
| Towd Point Mortgage Trust Series 2022-1 Class A1, 3.75% 7/25/2062 (h) | 14152089 | 13691093 |
| Verus Securitization Trust Series 2025-5 Class A1, 5.427% 6/25/2070 (c)(h) | 5624535 | 5672617 |
| Verus Securitization Trust Series 2025-6 Class A1, 5.417% 7/25/2070 (h)(i) | 6513473 | 6571863 |
| TOTAL UNITED STATES |  | 612626734 |
| <br> **TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS**<br> (Cost $612,529,725) |  | <br> **612626734** |

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|:---|:---|:---|
| &nbsp;&nbsp;**Commercial Mortgage Securities - 4.6%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.6%** | &nbsp;&nbsp;**Commercial Mortgage Securities - 4.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 4.6%  |  |  |
| ALA Trust Series 2025-OANA Class A, CME Term SOFR 1 month Index + 1.7426%, 5.4936% 6/15/2040 (b)(c)(h) | 15300000 | 15357347 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class ANM, 3.112% 11/5/2032 (h) | 12932881 | 12367755 |
| BAMLL Commercial Mortgage Securities Trust Series 2019-BPR Class BNM, 3.465% 11/5/2032 (h) | 2962000 | 2780734 |
| BANK Series 2017-BNK5 Class ASB, 3.179% 6/15/2060  | 4603964 | 4575668 |
| BANK Series 2018-BN10 Class A4, 3.428% 2/15/2061  | 9802942 | 9677479 |
| BANK Series 2019-BN21 Class A5, 2.851% 10/17/2052  | 2858000 | 2708958 |
| BANK Series 2019-BN23 Class ASB, 2.846% 12/15/2052  | 1756173 | 1713887 |
| BANK Series 2020-BN25 Class XB, 0.5288% 1/15/2063 (c)(j) | 31293000 | 523160 |
| BANK Series 2021-BN33 Class XA, 1.153% 5/15/2064 (c)(j) | 13836499 | 510694 |
| BANK Series 2021-BN34 Class A4, 2.156% 6/15/2063  | 5000000 | 4492708 |
| BANK5 Series 2025-5YR19 Class XB, 0.5998% 12/15/2058 (c)(j) | 17200000 | 505336 |
| BBCMS Mortgage Trust Series 2023-C21 Class A3, 6.5058% 9/15/2056 (c) | 17797000 | 19006723 |
| Benchmark Mortgage Trust Series 2018-B4 Class A5, 4.121% 7/15/2051  | 3240000 | 3226994 |
| Benchmark Mortgage Trust Series 2019-B10 Class A4, 3.717% 3/15/2062  | 2700000 | 2646127 |
| Benchmark Mortgage Trust Series 2019-B14 Class XA, 0.8802% 12/15/2062 (c)(j) | 93757543 | 1836354 |
| Benchmark Mortgage Trust Series 2020-B17 Class XA, 1.4934% 3/15/2053 (c)(j) | 95909613 | 3802960 |
| Benchmark Mortgage Trust Series 2020-B18 Class XA, 1.8528% 7/15/2053 (c)(j) | 41380671 | 2035602 |
| Benchmark Mortgage Trust Series 2025-V14 Class A3, 5.1761% 4/15/2057  | 10900000 | 11206592 |
| BLP Commercial Mortgage Trust Series 2024-IND2 Class A, CME Term SOFR 1 month Index + 1.3422%, 5.0923% 3/15/2041 (b)(c)(h) | 14310436 | 14319248 |
| BMO Mortgage Trust Series 2022-C3 Class ASB, 5.5027% 9/15/2054 (c) | 6607000 | 6847567 |
| BMO Mortgage Trust Series 2025-5C13 Class A2, 4.7355% 12/15/2058  | 4600000 | 4647605 |
| BMP Series 2024-MF23 Class A, CME Term SOFR 1 month Index + 1.3719%, 5.1221% 6/15/2041 (b)(c)(h) | 22372000 | 22406914 |
| BMP Series 2024-MF23 Class B, CME Term SOFR 1 month Index + 1.6416%, 5.3917% 6/15/2041 (b)(c)(h) | 11045000 | 11051894 |
| BMP Series 2024-MF23 Class C, CME Term SOFR 1 month Index + 1.8413%, 5.5914% 6/15/2041 (b)(c)(h) | 7810000 | 7819647 |
| BX Commercial Mortgage Trust 2021-SOAR Series 2022-IND Class A, CME Term SOFR 1 month Index + 1.491%, 5.2411% 4/15/2037 (b)(c)(h) | 18727561 | 18744809 |
| BX Commercial Mortgage Trust 2024-XL5 Series 2024-XL5 Class A, CME Term SOFR 1 month Index + 1.3917%, 5.1418% 3/15/2041 (b)(c)(h) | 66781802 | 66822920 |
| BX Commercial Mortgage Trust 2025-SPOT Series 2025-SPOT Class A, CME Term SOFR 1 month Index + 1.4434%, 5.1935% 4/15/2040 (b)(c)(h) | 57177384 | 57213097 |
| BX Commercial Mortgage Trust 24-MDHS Series 2024-MDHS Class A, 5.3914% 5/15/2041 (c)(h) | 37765884 | 37824221 |
| BX Commercial Mortgage Trust Series 2019-IMC Class A, CME Term SOFR 1 month Index + 1.0463%, 5.0053% 4/15/2034 (b)(c)(h) | 14082756 | 14014759 |
| BX Commercial Mortgage Trust Series 2019-IMC Class B, CME Term SOFR 1 month Index + 1.3463%, 5.3053% 4/15/2034 (b)(c)(h) | 15742000 | 15614010 |
| BX Commercial Mortgage Trust Series 2019-IMC Class C, CME Term SOFR 1 month Index + 1.6463%, 5.6053% 4/15/2034 (b)(c)(h) | 10407000 | 10310288 |
| BX Commercial Mortgage Trust Series 2019-IMC Class D, CME Term SOFR 1 month Index + 1.9463%, 5.9053% 4/15/2034 (b)(c)(h) | 10925000 | 10779034 |
| BX Commercial Mortgage Trust Series 2021-PAC Class A, CME Term SOFR 1 month Index + 0.8036%, 4.5536% 10/15/2036 (b)(c)(h) | 49523000 | 49368676 |
| BX Commercial Mortgage Trust Series 2021-PAC Class B, CME Term SOFR 1 month Index + 1.0133%, 4.7633% 10/15/2036 (b)(c)(h) | 5541000 | 5523733 |
| BX Commercial Mortgage Trust Series 2021-PAC Class C, CME Term SOFR 1 month Index + 1.2131%, 4.9631% 10/15/2036 (b)(c)(h) | 7417000 | 7384642 |
| BX Commercial Mortgage Trust Series 2021-PAC Class D, CME Term SOFR 1 month Index + 1.4128%, 5.1628% 10/15/2036 (b)(c)(h) | 7201000 | 7165096 |
| BX Commercial Mortgage Trust Series 2021-PAC Class E, CME Term SOFR 1 month Index + 2.062%, 5.812% 10/15/2036 (b)(c)(h) | 25035000 | 24972585 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class A, CME Term SOFR 1 month Index + 1.0129%, 4.763% 2/15/2039 (b)(c)(h) | 6200008 | 6190451 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class B, CME Term SOFR 1 month Index + 1.3123%, 5.0624% 2/15/2039 (b)(c)(h) | 11022200 | 11008453 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class C, CME Term SOFR 1 month Index + 1.5617%, 5.3118% 2/15/2039 (b)(c)(h) | 11022200 | 11008453 |
| BX Commercial Mortgage Trust Series 2022-LP2 Class D, CME Term SOFR 1 month Index + 1.9608%, 5.7109% 2/15/2039 (b)(c)(h) | 11022200 | 11008453 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class A, CME Term SOFR 1 month Index + 1.7614%, 5.5115% 12/9/2040 (b)(c)(h) | 18400710 | 18417764 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class B, CME Term SOFR 1 month Index + 2.1908%, 5.9409% 12/9/2040 (b)(c)(h) | 4987717 | 4992337 |
| BX Commercial Mortgage Trust Series 2023-XL3 Class C, CME Term SOFR 1 month Index + 2.6402%, 6.3903% 12/9/2040 (b)(c)(h) | 2203875 | 2207966 |
| BX Commercial Mortgage Trust Series 2024-GPA3 Class A, CME Term SOFR 1 month Index + 1.2928%, 5.0429% 12/15/2039 (b)(c)(h) | 8878210 | 8878206 |
| BX Trust 2021 Series 2021-LBA Class AJV, CME Term SOFR 1 month Index + 0.9145%, 4.6655% 2/15/2036 (b)(c)(h) | 7697069 | 7687620 |
| BX Trust 2024-CNY Series 2024-CNYN Class A, CME Term SOFR 1 month Index + 1.4419%, 5.192% 4/15/2041 (b)(c)(h) | 43244530 | 43284549 |
| BX Trust 2024-CNY Series 2024-CNYN Class B, CME Term SOFR 1 month Index + 1.6915%, 5.4416% 4/15/2041 (b)(c)(h) | 6891892 | 6904669 |
| BX Trust 2024-CNY Series 2024-CNYN Class C, CME Term SOFR 1 month Index + 1.9412%, 5.6913% 4/15/2041 (b)(c)(h) | 5722088 | 5736237 |
| BX Trust 2025 Series 2025-DIME Class A, CME Term SOFR 1 month Index + 1.15%, 4.9001% 2/15/2035 (b)(c)(h) | 28123000 | 28052740 |
| BX Trust 2025-ROIC Series 2025-ROIC Class A, CME Term SOFR 1 month Index + 1.1438%, 4.894% 3/15/2030 (b)(c)(h) | 83914720 | 83809885 |
| BX Trust 2025-ROIC Series 2025-ROIC Class B, CME Term SOFR 1 month Index + 1.3935%, 5.1436% 3/15/2030 (b)(c)(h) | 13136765 | 13087518 |
| BX Trust 2025-ROIC Series 2025-ROIC Class C, CME Term SOFR 1 month Index + 1.69%, 5.2934% 3/15/2030 (b)(c)(h) | 17104291 | 17040185 |
| BX Trust Series 2021-BXMF Class A, CME Term SOFR 1 month Index + 0.7504%, 4.5004% 10/15/2026 (b)(c)(h) | 11029876 | 11013340 |
| BX Trust Series 2021-XL2 Class A, CME Term SOFR 1 month Index + 0.6885%, 4.553% 10/15/2038 (b)(c)(h) | 3315128 | 3313071 |
| BX Trust Series 2022-IND Class B, CME Term SOFR 1 month Index + 1.94%, 5.6901% 4/15/2037 (b)(c)(h) | 14018200 | 14035423 |
| BX Trust Series 2022-IND Class C, CME Term SOFR 1 month Index + 2.29%, 6.0401% 4/15/2037 (b)(c)(h) | 3163300 | 3168160 |
| BX Trust Series 2022-IND Class D, CME Term SOFR 1 month Index + 2.839%, 6.5891% 4/15/2037 (b)(c)(h) | 2648800 | 2653684 |
| BX Trust Series 2024-XL4 Class A, CME Term SOFR 1 month Index + 1.442%, 5.1922% 2/15/2039 (b)(c)(h) | 36536745 | 36559234 |
| BX Trust Series 2024-XL4 Class B, CME Term SOFR 1 month Index + 1.7915%, 5.5417% 2/15/2039 (b)(c)(h) | 4568717 | 4578595 |
| BX Trust Series 2024-XL5 Class B, CME Term SOFR 1 month Index + 1.6912%, 5.4414% 3/15/2041 (b)(c)(h) | 11232900 | 11243289 |
| BX Trust Series 2024-XL5 Class C, CME Term SOFR 1 month Index + 1.9409%, 5.691% 3/15/2041 (b)(c)(h) | 14912800 | 14931204 |
| BX Trust Series 2025-TAIL Class A, CME Term SOFR 1 month Index + 1.4%, 5.0802% 6/15/2035 (b)(c)(h) | 10999000 | 10998999 |
| CD Mortgage Trust Series 2017-CD5 Class A3, 3.171% 8/15/2050  | 14084976 | 13872294 |
| Cent Trust Series 2025-CITY Class A, 5.0909% 7/10/2040 (c)(h) | 23933000 | 24243878 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A1, 1.69% 7/15/2060 (h) | 63873745 | 53742462 |
| CF Hippolyta Issuer LLC Series 2020-1 Class A2, 1.99% 7/15/2060 (h) | 24539080 | 20574235 |
| CF Hippolyta Issuer LLC Series 2021-1A Class A1, 1.53% 3/15/2061 (h) | 46299068 | 37381882 |
| Citigroup Commercial Mortgage Trust Series 2018-C6 Class A3, 4.145% 11/10/2051  | 1000000 | 992156 |
| Citigroup Commercial Mortgage Trust Series 2019-GC41 Class XA, 1.1589% 8/10/2056 (c)(j) | 46931024 | 1315120 |
| Computershare Corporate Trust Series 2018-C48 Class A5, 4.302% 1/15/2052  | 13797000 | 13831156 |
| DTP Commercial Mortgage Trust Series 2023-STE2 Class A, 6.038% 1/15/2041 (c)(h) | 7693000 | 7912158 |
| ELP Series 2025-ELP Class A, 4.6039% 11/13/2042 (h) | 18825000 | 18824661 |
| Extended Stay America Trust Series 2025-ESH Class A, CME Term SOFR 1 month Index + 1.3%, 5.0501% 10/15/2042 (b)(c)(h) | 57280000 | 57369431 |
| Extended Stay America Trust Series 2025-ESH Class B, CME Term SOFR 1 month Index + 1.6%, 5.3501% 10/15/2042 (b)(c)(h) | 10025000 | 10040654 |
| Extended Stay America Trust Series 2025-ESH Class C, CME Term SOFR 1 month Index + 1.85%, 5.6001% 10/15/2042 (b)(c)(h) | 4895000 | 4902644 |
| Fannie Mae Guaranteed REMIC Series 2021-M2S Class A2, 1.807% 10/25/2031 (c) | 700000 | 622117 |
| Fannie Mae Guaranteed REMIC Series 2023-M1S Class A2, 4.498% 4/25/2033 (c) | 1500000 | 1511772 |
| Fannie Mae Guaranteed REMIC Series 2023-M8 Class A2, 4.476% 3/25/2033 (c) | 2000000 | 2016195 |
| Fannie Mae Guaranteed REMIC Series 2025-M4 Class A2, 4.389% 8/25/2035  | 8400000 | 8332617 |
| Fannie Mae Mortgage pass-thru certificates Series 2018-M13 Class A2, 3.75% 9/25/2030 (c) | 1416341 | 1401660 |
| Fannie Mae Mortgage pass-thru certificates Series 2025-M2 Class A2, 4.62% 4/25/2030  | 26000000 | 26473380 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2016-K054 Class A2, 2.745% 1/25/2026  | 4505956 | 4494250 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K068 Class A2, 3.244% 8/25/2027  | 6000000 | 5947808 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K069 Class A2, 3.187% 9/25/2027  | 8740232 | 8647384 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K070 Class A2, 3.303% 11/25/2027  | 13300000 | 13178121 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2017-K071 Class A2, 3.286% 11/25/2027  | 18600000 | 18415838 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K072 Class A2, 3.444% 12/25/2027  | 6100000 | 6055549 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K073 Class A2, 3.35% 1/25/2028  | 15200000 | 15061502 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K074 Class A2, 3.6% 1/25/2028  | 31067795 | 30924402 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K076 Class A2, 3.9% 4/25/2028  | 6900000 | 6908764 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K077 Class A2, 3.85% 5/25/2028  | 22800000 | 22805442 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K081 Class A2, 3.9% 8/25/2028  | 5000000 | 5005647 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2018-K083 Class A2, 4.05% 9/25/2028  | 4200000 | 4220488 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2020-K740 Class A2, 1.47% 9/25/2027  | 13400000 | 12901631 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2021-K135 Class A2, 2.154% 10/25/2031  | 3100000 | 2785548 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2022-K141 Class A2, 2.25% 2/25/2032  | 6100000 | 5477147 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K753 Class A2, 4.4% 10/25/2030  | 5900000 | 5981098 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2023-K754 Class A2, 4.94% 11/25/2030  | 2876443 | 2980203 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2024-K521 Class AS, U.S. 30-Day Avg. SOFR Index + 0.52%, 4.5286% 3/25/2029 (b)(c) | 12467397 | 12445210 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K543 Class A2, 4.329% 6/25/2030 (c) | 6800000 | 6876862 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K544 Class A2, 4.266% 7/25/2030 (c) | 4700000 | 4739527 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K546 Class A2, 4.361% 5/25/2030 (c) | 5700000 | 5770287 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K547 Class A2, 4.421% 5/25/2030  | 16600000 | 16842601 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K548 Class A2, 4.32% 9/25/2030 (c) | 12700000 | 12832696 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K549 Class A2, 4.34% 9/25/2030 (c) | 2000000 | 2022584 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K550 Class A2, 4.163% 10/25/2030 (c) | 25500000 | 25591166 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class A2, 4.165% 11/25/2030 (c) | 8700000 | 8730291 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K551 Class AS, 4.55% 10/25/2030  | 16200000 | 16192888 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K552 Class AS, U.S. 30-Day Avg. SOFR Index + 0.54%, 4.5486% 10/25/2030 (b)(c) | 23000000 | 22999926 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K761 Class A2, 4.4% 6/25/2032  | 5700000 | 5746808 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K762 Class A2, 4.36% 9/25/2032  | 12300000 | 12379041 |
| Freddie Mac Multifamily Structured pass-thru certificates Series 2025-K763 Class A2, 4.17% 10/25/2032 (c) | 9700000 | 9644260 |
| GS Mortgage Securities Trust Series 2011-GC5 Class AS, 5.209% 8/10/2044 (c)(h) | 1831649 | 1811539 |
| GS Mortgage Securities Trust Series 2017-GS6 Class A2, 3.164% 5/10/2050  | 2679224 | 2642855 |
| GS Mortgage Securities Trust Series 2017-GS8 Class AAB, 3.313% 11/10/2050  | 3625858 | 3605161 |
| GS Mortgage Securities Trust Series 2018-GS10 Class A5, 4.155% 7/10/2051  | 4160000 | 4113510 |
| GS Mortgage Securities Trust Series 2018-GS10 Class AAB, 4.106% 7/10/2051  | 703527 | 702148 |
| GS Mortgage Securities Trust Series 2019-GC38 Class A3, 3.703% 2/10/2052  | 1100000 | 1087325 |
| GS Mortgage Securities Trust Series 2020-GC45 Class AAB, 2.8428% 2/13/2053  | 3843739 | 3754165 |
| HAVN Trust Series 2025-MOB Class A, CME Term SOFR 1 month Index + 1.7%, 5.4501% 10/15/2035 (b)(c)(h) | 4800000 | 4799998 |
| Int Commercial Mortgage Trust Series 2025-PLAZA Class A, 4.8788% 11/5/2037 (c)(h) | 16592000 | 16654648 |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class A3, 3.3928% 12/15/2049  | 13493316 | 13396558 |
| JPMCC Commercial Mortgage Securities Trust Series 2017-JP6 Class ASB, 3.2829% 7/15/2050  | 789684 | 784979 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class CFX, 4.9498% 7/5/2033 (h) | 3450000 | 2346345 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2018-WPT Class DFX, 5.3503% 7/5/2033 (h)(k) | 5907000 | 3362295 |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2019-BKWD Class A, CME Term SOFR 1 month Index + 1.6145%, 5.3655% 9/15/2029 (b)(c)(h) | 5526232 | 5365624 |
| Life Financial Services Trust Series 2022-BMR2 Class A1, CME Term SOFR 1 month Index + 1.2952%, 5.0454% 5/15/2039 (b)(c)(h) | 57498000 | 55450726 |
| Life Financial Services Trust Series 2022-BMR2 Class B, CME Term SOFR 1 month Index + 1.7939%, 5.544% 5/15/2039 (b)(c)(h) | 33561000 | 30329418 |
| Life Financial Services Trust Series 2022-BMR2 Class C, CME Term SOFR 1 month Index + 2.0931%, 5.8432% 5/15/2039 (b)(c)(h) | 19262000 | 17360511 |
| Life Financial Services Trust Series 2022-BMR2 Class D, CME Term SOFR 1 month Index + 2.5419%, 6.292% 5/15/2039 (b)(c)(h) | 17119000 | 13807626 |
| LIFE Mortgage Trust Series 2021-BMR Class C, CME Term SOFR 1 month Index + 1.2145%, 4.9645% 3/15/2038 (b)(c)(h) | 501212 | 499075 |
| LIFE Mortgage Trust Series 2021-BMR Class D, CME Term SOFR 1 month Index + 1.5145%, 5.2645% 3/15/2038 (b)(c)(h) | 4569600 | 4543966 |
| LIFE Mortgage Trust Series 2021-BMR Class E, CME Term SOFR 1 month Index + 1.8645%, 5.6145% 3/15/2038 (b)(c)(h) | 3992100 | 3964624 |
| MHP Commercial Mortgage Trust Series 2021-STOR Class A, CME Term SOFR 1 month Index + 0.8145%, 4.5655% 7/15/2038 (b)(c)(h) | 22147000 | 22119857 |
| MHP Series 2025-MHIL2 Class A, CME Term SOFR 1 month Index + 1.5%, 5.2501% 9/15/2040 (b)(c)(h) | 11300000 | 11299942 |
| Morgan Stanley Capital I Trust Series 2018-H4 Class A4, 4.31% 12/15/2051  | 11843000 | 11772432 |
| Morgan Stanley Capital I Trust Series 2021-L6 Class XA, 1.2553% 6/15/2054 (c)(j) | 45111439 | 1669304 |
| Morgan Stanley Capital I Trust Series 2024-NSTB Class A, 3.9% 9/24/2057 (c)(h) | 17432160 | 17204589 |
| MSWF Commercial Mortgage Trust Series 2023-2 Class XD, 3.0183% 12/15/2056 (c)(h)(j) | 8200000 | 1516592 |
| Providence Place Group LP Series 2000-C1 Class A2, 7.75% 7/20/2028 (h) | 283432 | 288868 |
| SCMS Series 2025-BNC1 Class A2, 4.5016% 12/15/2057 (h) | 11900000 | 11912734 |
| SPGN Mortgage Trust Series 2022-TFLM Class B, CME Term SOFR 1 month Index + 2%, 5.7501% 2/15/2039 (b)(c)(h) | 9333000 | 9329851 |
| SPGN Mortgage Trust Series 2022-TFLM Class C, CME Term SOFR 1 month Index + 2.65%, 6.4001% 2/15/2039 (b)(c)(h) | 4854000 | 4861982 |
| SREIT Trust Series 2021-MFP Class A, CME Term SOFR 1 month Index + 0.8453%, 4.5954% 11/15/2038 (b)(c)(h) | 36284089 | 36261717 |
| SREIT Trust Series 2021-MFP Class B, CME Term SOFR 1 month Index + 1.1943%, 4.9444% 11/15/2038 (b)(c)(h) | 24310465 | 24295463 |
| SREIT Trust Series 2021-MFP Class C, CME Term SOFR 1 month Index + 1.4435%, 5.1936% 11/15/2038 (b)(c)(h) | 10521590 | 10515094 |
| SREIT Trust Series 2021-MFP Class D, CME Term SOFR 1 month Index + 1.6927%, 5.4428% 11/15/2038 (b)(c)(h) | 6914571 | 6910299 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class A, CME Term SOFR 1 month Index + 1.2429%, 4.993% 12/15/2039 (b)(c)(h) | 40690000 | 40689980 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class B, CME Term SOFR 1 month Index + 1.5924%, 5.3425% 12/15/2039 (b)(c)(h) | 8416000 | 8415993 |
| TCO Commercial Mortgage Trust Series 2024-DPM Class C, CME Term SOFR 1 month Index + 1.9919%, 5.742% 12/15/2039 (b)(c)(h) | 6204000 | 6211742 |
| UBS Commercial Mortgage Trust Series 2017-C6 Class A5, 3.5795% 12/15/2050  | 7045000 | 6930171 |
| UBS Commercial Mortgage Trust Series 2018-C9 Class A4, 4.117% 3/15/2051  | 2800000 | 2770963 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class A, 2.13% 10/10/2042 (h) | 29470000 | 25316569 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class B, 2.453% 10/10/2042 (h) | 1400000 | 1149346 |
| VLS Commercial Mortgage Trust Series 2020-LAB Class X, 0.5162% 10/10/2042 (c)(h) | 40100000 | 699272 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C35 Class A4FL, CME Term SOFR 1 month Index + 1.1645%, 4.9001% 7/15/2048 (b)(c)(h) | 8500000 | 8502470 |
| Wells Fargo Commercial Mortgage Trust Series 2016-C37 Class A4, 3.525% 12/15/2049  | 5393194 | 5357172 |
| Wells Fargo Commercial Mortgage Trust Series 2016-LC25 Class A3, 3.374% 12/15/2059  | 8288513 | 8232639 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class A4, 4.152% 8/15/2051  | 1115000 | 1113960 |
| Wells Fargo Commercial Mortgage Trust Series 2018-C46 Class XA, 1.0658% 8/15/2051 (c)(j) | 38743061 | 606337 |
| Wells Fargo Commercial Mortgage Trust Series 2021-FCMT Class A, CME Term SOFR 1 month Index + 1.3145%, 5.0655% 5/15/2031 (b)(c)(h) | 19889000 | 19875225 |
| Wells Fargo Commercial Mortgage Trust Series 2024-5C1 Class A3, 5.928% 7/15/2057  | 8000000 | 8379825 |
| TOTAL UNITED STATES |  | 2028175233 |
| <br> **TOTAL COMMERCIAL MORTGAGE SECURITIES**<br> (Cost $2,066,297,880) |  | <br> **2028175233** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** | &nbsp;&nbsp;**Foreign Government and Government Agency Obligations - 0.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| COLOMBIA - 0.0%  |  |  |
| Colombian Republic 8% 11/14/2035 <br> (Cost $8,581,742) | 8329000 | **8872467** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** | &nbsp;&nbsp;**Municipal Securities - 0.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| New Jersey - 0.1%  |  |  |
| General Obligations - 0.1% |  |  |
| New Jersey Eco Dev Auth St Pen (New Jersey St Proj.) 7.425% 2/15/2029 (National Public Finance Guarantee Corporation Insured) <br>(Cost $35,921,298)<br>| 32466000 | **33907474** |
| <br> **TOTAL MUNICIPAL SECURITIES**<br> (Cost $35,921,298) |  | <br> **33907474** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 21.6%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 21.6%** | &nbsp;&nbsp;**Non-Convertible Corporate Bonds - 21.6%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| AUSTRALIA - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Commonwealth Bank of Australia 3.61% 9/12/2034 (c)(h) | 12091000 | 11661458 |
| Commonwealth Bank of Australia 3.784% 3/14/2032 (h) | 10165000 | 9677974 |
| Westpac Banking Corp 4.11% 7/24/2034 (c) | 17722000 | 17437394 |
| TOTAL AUSTRALIA |  | 38776826 |
| BELGIUM - 0.1%  |  |  |
| Consumer Staples - 0.1% |  |  |
| Beverages - 0.1% |  |  |
| Anheuser-Busch InBev Worldwide Inc 5.45% 1/23/2039  | 23200000 | 24017869 |
| CANADA - 0.1%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Gildan Activewear Inc 4.7% 10/7/2030 (h) | 3451000 | 3434065 |
| Energy - 0.1% |  |  |
| Oil, Gas & Consumable Fuels - 0.1% |  |  |
| Cenovus Energy Inc 4.65% 3/20/2031  | 8440000 | 8413720 |
| Cenovus Energy Inc 5.25% 6/15/2037  | 13846000 | 13443462 |
| Cenovus Energy Inc 5.4% 3/20/2036  | 6496000 | 6487478 |
| Enbridge Inc 4.25% 12/1/2026  | 8321000 | 8336879 |
| TOTAL ENERGY |  | 36681539 |
| Utilities - 0.0% |  |  |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Emera US Finance LP 3.55% 6/15/2026  | 6732000 | 6710240 |
| TOTAL CANADA |  | 46825844 |
| FRANCE - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Banks - 0.2% |  |  |
| BNP Paribas SA 5.786% 1/13/2033 (c)(h) | 41000000 | 43039124 |
| Societe Generale SA 3.337% 1/21/2033 (c)(h) | 17500000 | 15961982 |
| Societe Generale SA 5.5% 4/13/2029 (c)(h) | 27997000 | 28673484 |
| TOTAL FRANCE |  | 87674590 |
| GERMANY - 0.1%  |  |  |
| Financials - 0.0% |  |  |
| Capital Markets - 0.0% |  |  |
| Deutsche Bank AG/New York NY 3.035% 5/28/2032 (c) | 4469000 | 4102765 |
| Deutsche Bank AG/New York NY 6.72% 1/18/2029 (c) | 22570000 | 23629425 |
| TOTAL FINANCIALS |  | 27732190 |
| Industrials - 0.1% |  |  |
| Machinery - 0.1% |  |  |
| Daimler Truck Finance North America LLC 2% 12/14/2026 (h) | 30000000 | 29465380 |
| TOTAL GERMANY |  | 57197570 |
| HONG KONG - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Insurance - 0.1% |  |  |
| AIA Group Ltd 3.2% 9/16/2040 (h) | 15222000 | 12062259 |
| AIA Group Ltd 3.375% 4/7/2030 (h) | 30867000 | 30035654 |
| TOTAL HONG KONG |  | 42097913 |
| IRELAND - 0.6%  |  |  |
| Financials - 0.3% |  |  |
| Consumer Finance - 0.3% |  |  |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.45% 10/29/2026  | 17295000 | 17059927 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3% 10/29/2028  | 18114000 | 17561317 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 3.3% 1/30/2032  | 19378000 | 17892085 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 4.45% 4/3/2026  | 15328000 | 15329366 |
| AerCap Ireland Capital DAC / AerCap Global Aviation Trust 6.45% 4/15/2027  | 59444000 | 61063554 |
| TOTAL FINANCIALS |  | 128906249 |
| Industrials - 0.3% |  |  |
| Transportation Infrastructure - 0.3% |  |  |
| Avolon Holdings Funding Ltd 4.375% 5/1/2026 (h) | 21306000 | 21312502 |
| Avolon Holdings Funding Ltd 5.15% 1/15/2030 (h) | 2956000 | 3004411 |
| Avolon Holdings Funding Ltd 5.375% 5/30/2030 (h) | 16043000 | 16469847 |
| Avolon Holdings Funding Ltd 5.75% 3/1/2029 (h) | 40000000 | 41361240 |
| Avolon Holdings Funding Ltd 6.375% 5/4/2028 (h) | 37945000 | 39537614 |
| TOTAL INDUSTRIALS |  | 121685614 |
| TOTAL IRELAND |  | 250591863 |
| ITALY - 0.1%  |  |  |
| Financials - 0.1% |  |  |
| Banks - 0.1% |  |  |
| Intesa Sanpaolo SpA 5.71% 1/15/2026 (h) | 48607000 | 48630412 |
| JAPAN - 0.1%  |  |  |
| Communication Services - 0.1% |  |  |
| Diversified Telecommunication Services - 0.1% |  |  |
| NTT Finance Corp 4.567% 7/16/2027 (h) | 5587000 | 5634141 |
| NTT Finance Corp 4.62% 7/16/2028 (h) | 5650000 | 5725146 |
| NTT Finance Corp 4.876% 7/16/2030 (h) | 14868000 | 15141759 |
| TOTAL JAPAN |  | 26501046 |
| MEXICO - 0.7%  |  |  |
| Energy - 0.7% |  |  |
| Oil, Gas & Consumable Fuels - 0.7% |  |  |
| Petroleos Mexicanos 5.95% 1/28/2031  | 26624000 | 25769370 |
| Petroleos Mexicanos 6.35% 2/12/2048  | 14404000 | 11305699 |
| Petroleos Mexicanos 6.7% 2/16/2032  | 58171000 | 58004049 |
| Petroleos Mexicanos 6.75% 9/21/2047  | 102130000 | 83767026 |
| Petroleos Mexicanos 6.95% 1/28/2060  | 18760000 | 15225616 |
| Petroleos Mexicanos 7.69% 1/23/2050  | 117141000 | 104998164 |
| TOTAL MEXICO |  | 299069924 |
| NETHERLANDS - 0.1%  |  |  |
| Information Technology - 0.1% |  |  |
| Semiconductors & Semiconductor Equipment - 0.1% |  |  |
| NXP BV / NXP Funding LLC / NXP USA Inc 4.85% 8/19/2032  | 12331000 | 12395907 |
| NXP BV / NXP Funding LLC / NXP USA Inc 5.25% 8/19/2035  | 35555000 | 36080347 |
| TOTAL NETHERLANDS |  | 48476254 |
| QATAR - 0.0%  |  |  |
| Utilities - 0.0% |  |  |
| Gas Utilities - 0.0% |  |  |
| Nakilat Inc 6.067% 12/31/2033 (h) | 5106841 | 5412944 |
| SWITZERLAND - 0.2%  |  |  |
| Financials - 0.2% |  |  |
| Capital Markets - 0.2% |  |  |
| UBS Group AG 1.494% 8/10/2027 (c)(h) | 24731000 | 24336389 |
| UBS Group AG 3.091% 5/14/2032 (c)(h) | 13398000 | 12430292 |
| UBS Group AG 3.869% 1/12/2029 (c)(h) | 9005000 | 8954183 |
| UBS Group AG 4.194% 4/1/2031 (c)(h) | 40079000 | 39697000 |
| UBS Group AG 4.55% 4/17/2026  | 5038000 | 5046494 |
|  |  | 90464358 |
| Insurance - 0.0% |  |  |
| Swiss Re Finance Luxembourg SA 5% 4/2/2049 (c)(h) | 3800000 | 3825452 |
| TOTAL SWITZERLAND |  | 94289810 |
| UNITED KINGDOM - 0.5%  |  |  |
| Financials - 0.5% |  |  |
| Banks - 0.5% |  |  |
| Barclays PLC 2.894% 11/24/2032 (c) | 13572000 | 12366767 |
| Barclays PLC 4.375% 1/12/2026  | 28767000 | 28768973 |
| Barclays PLC 5.088% 6/20/2030 (c) | 35020000 | 35615882 |
| Barclays PLC 5.2% 5/12/2026  | 11811000 | 11861971 |
| Barclays PLC 5.829% 5/9/2027 (c) | 33090000 | 33276210 |
| Barclays PLC 6.224% 5/9/2034 (c) | 31185000 | 33533363 |
| Barclays PLC 6.692% 9/13/2034 (c) | 45000000 | 49814787 |
| NatWest Group PLC 3.073% 5/22/2028 (c) | 20149000 | 19892963 |
| TOTAL FINANCIALS |  | 225130916 |
| Industrials - 0.0% |  |  |
| Aerospace & Defense - 0.0% |  |  |
| BAE Systems PLC 3.4% 4/15/2030 (h) | 9575000 | 9255487 |
| TOTAL UNITED KINGDOM |  | 234386403 |
| UNITED STATES - 18.6%  |  |  |
| Communication Services - 1.5% |  |  |
| Diversified Telecommunication Services - 0.3% |  |  |
| AT&T Inc 2.55% 12/1/2033  | 53719000 | 45847568 |
| AT&T Inc 3.8% 12/1/2057  | 106127000 | 72998589 |
| AT&T Inc 4.3% 2/15/2030  | 13106000 | 13122556 |
| AT&T Inc 4.75% 5/15/2046  | 10000000 | 8664341 |
| Verizon Communications Inc 4.78% 2/15/2035  | 5482000 | 5397425 |
|  |  | 146030479 |
| Entertainment - 0.0% |  |  |
| NBCUniversal Media LLC 5.95% 4/1/2041  | 6541000 | 6682072 |
| Walt Disney Co/The 3.6% 1/13/2051  | 25350000 | 18829181 |
|  |  | 25511253 |
| Media - 0.9% |  |  |
| Charter Communications Operating LLC / Charter Communications Operating Capital 2.3% 2/1/2032  | 5005000 | 4302785 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 12/1/2061  | 51000000 | 33355379 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 4.4% 4/1/2033  | 11421000 | 10759359 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.05% 3/30/2029  | 10610000 | 10733237 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.25% 4/1/2053  | 11329000 | 8959487 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.375% 5/1/2047  | 83513000 | 68793384 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.5% 4/1/2063  | 11421000 | 8999203 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 5.75% 4/1/2048  | 11687000 | 9968846 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.1% 6/1/2029  | 20760000 | 21666775 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.484% 10/23/2045  | 24519000 | 23051937 |
| Charter Communications Operating LLC / Charter Communications Operating Capital 6.55% 6/1/2034  | 14327000 | 15068501 |
| Comcast Corp 3.4% 4/1/2030  | 6970000 | 6759781 |
| Comcast Corp 3.75% 4/1/2040  | 2448000 | 2017681 |
| Comcast Corp 3.9% 3/1/2038  | 5001000 | 4356112 |
| Comcast Corp 4.65% 7/15/2042  | 11795000 | 10340082 |
| Comcast Corp 5.168% 1/15/2037 (h) | 6744000 | 6649373 |
| Time Warner Cable LLC 4.5% 9/15/2042  | 22976000 | 17669069 |
| Time Warner Cable LLC 5.5% 9/1/2041  | 8397000 | 7369658 |
| Time Warner Cable LLC 5.875% 11/15/2040  | 7566000 | 7001223 |
| Time Warner Cable LLC 6.55% 5/1/2037  | 73937000 | 75449664 |
| Time Warner Cable LLC 6.75% 6/15/2039  | 7400000 | 7484803 |
| Time Warner Cable LLC 7.3% 7/1/2038  | 22049000 | 23618460 |
|  |  | 384374799 |
| Wireless Telecommunication Services - 0.3% |  |  |
| T-Mobile USA Inc 2.25% 11/15/2031  | 40000000 | 35428050 |
| T-Mobile USA Inc 3.75% 4/15/2027  | 25540000 | 25459764 |
| T-Mobile USA Inc 3.875% 4/15/2030  | 36970000 | 36355371 |
| T-Mobile USA Inc 4.375% 4/15/2040  | 5513000 | 4945440 |
| T-Mobile USA Inc 4.5% 4/15/2050  | 10830000 | 8920221 |
|  |  | 111108846 |
| TOTAL COMMUNICATION SERVICES |  | 667025377 |
| Consumer Discretionary - 0.4% |  |  |
| Automobiles - 0.1% |  |  |
| General Motors Financial Co Inc 2.35% 2/26/2027  | 17500000 | 17148185 |
| General Motors Financial Co Inc 5.85% 4/6/2030  | 13062000 | 13721701 |
|  |  | 30869886 |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| McDonald's Corp 3.5% 7/1/2027  | 7113000 | 7074448 |
| McDonald's Corp 3.6% 7/1/2030  | 8445000 | 8286558 |
| McDonald's Corp 4.2% 4/1/2050  | 4263000 | 3435147 |
|  |  | 18796153 |
| Household Durables - 0.0% |  |  |
| Toll Brothers Finance Corp 4.875% 3/15/2027  | 16319000 | 16445523 |
| Specialty Retail - 0.3% |  |  |
| AutoNation Inc 3.85% 3/1/2032  | 21966000 | 20648169 |
| AutoNation Inc 4.75% 6/1/2030  | 3310000 | 3341325 |
| AutoZone Inc 4% 4/15/2030  | 22128000 | 21881197 |
| Home Depot Inc/The 2.5% 4/15/2027  | 3139000 | 3088483 |
| Lowe's Cos Inc 3.35% 4/1/2027  | 3072000 | 3049850 |
| Lowe's Cos Inc 3.75% 4/1/2032  | 9454000 | 9059273 |
| Lowe's Cos Inc 4.5% 4/15/2030  | 16112000 | 16315933 |
| O'Reilly Automotive Inc 4.2% 4/1/2030  | 4968000 | 4954312 |
|  |  | 82338542 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| NIKE Inc 2.75% 3/27/2027  | 6632000 | 6557346 |
| TOTAL CONSUMER DISCRETIONARY |  | 155007450 |
| Consumer Staples - 0.3% |  |  |
| Beverages - 0.1% |  |  |
| Molson Coors Beverage Co 3% 7/15/2026  | 48345000 | 48078415 |
| Consumer Staples Distribution & Retail - 0.2% |  |  |
| Mars Inc 4.8% 3/1/2030 (h) | 28803000 | 29435590 |
| Mars Inc 5% 3/1/2032 (h) | 21623000 | 22287782 |
| Mars Inc 5.2% 3/1/2035 (h) | 17973000 | 18473182 |
| Sysco Corp 3.25% 7/15/2027  | 11011000 | 10902655 |
|  |  | 81099209 |
| Food Products - 0.0% |  |  |
| Archer-Daniels-Midland Co 3.25% 3/27/2030  | 6931000 | 6695081 |
| General Mills Inc 2.875% 4/15/2030  | 3013000 | 2849115 |
|  |  | 9544196 |
| Household Products - 0.0% |  |  |
| Kimberly-Clark Corp 3.1% 3/26/2030  | 1764000 | 1698028 |
| TOTAL CONSUMER STAPLES |  | 140419848 |
| Energy - 1.7% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| Halliburton Co 4.85% 11/15/2035  | 7402000 | 7303294 |
| Oil, Gas & Consumable Fuels - 1.7% |  |  |
| Columbia Pipelines Operating Co LLC 5.927% 8/15/2030 (h) | 5327000 | 5635201 |
| Columbia Pipelines Operating Co LLC 6.036% 11/15/2033 (h) | 14358000 | 15369629 |
| Columbia Pipelines Operating Co LLC 6.497% 8/15/2043 (h) | 4293000 | 4535149 |
| Columbia Pipelines Operating Co LLC 6.544% 11/15/2053 (h) | 7728000 | 8228885 |
| Columbia Pipelines Operating Co LLC 6.714% 8/15/2063 (h) | 4626000 | 5006084 |
| DCP Midstream Operating LP 5.125% 5/15/2029  | 15661000 | 16019475 |
| DCP Midstream Operating LP 5.6% 4/1/2044  | 13506000 | 13029215 |
| DCP Midstream Operating LP 6.45% 11/3/2036 (h) | 10621000 | 11264307 |
| Energy Transfer LP 3.75% 5/15/2030  | 27891000 | 27142617 |
| Energy Transfer LP 4.95% 6/15/2028  | 18799000 | 19109755 |
| Energy Transfer LP 5% 5/15/2050  | 6115000 | 5116100 |
| Energy Transfer LP 5.25% 4/15/2029  | 10158000 | 10437788 |
| Energy Transfer LP 5.25% 7/1/2029  | 11564000 | 11900240 |
| Energy Transfer LP 5.6% 9/1/2034  | 20000000 | 20582315 |
| Energy Transfer LP 5.8% 6/15/2038  | 10481000 | 10674189 |
| Enterprise Products Operating LLC 3.7% 2/15/2026  | 8600000 | 8594206 |
| Hess Corp 4.3% 4/1/2027  | 23059000 | 23156542 |
| Hess Corp 7.125% 3/15/2033  | 4791000 | 5544660 |
| Hess Corp 7.3% 8/15/2031  | 6610000 | 7592759 |
| Hess Corp 7.875% 10/1/2029  | 20178000 | 22801249 |
| Kinder Morgan Energy Partners LP 6.55% 9/15/2040  | 1645000 | 1782639 |
| MPLX LP 2.65% 8/15/2030  | 9000000 | 8335620 |
| MPLX LP 4.8% 2/15/2029  | 5370000 | 5450205 |
| MPLX LP 4.95% 9/1/2032  | 30925000 | 31133921 |
| MPLX LP 5.5% 2/15/2049  | 16108000 | 14792033 |
| Occidental Petroleum Corp 5.55% 10/1/2034  | 27742000 | 28297191 |
| Occidental Petroleum Corp 6.2% 3/15/2040  | 7169000 | 7279797 |
| Occidental Petroleum Corp 6.45% 9/15/2036  | 15883000 | 16926918 |
| Occidental Petroleum Corp 6.6% 3/15/2046  | 28439000 | 29413946 |
| Occidental Petroleum Corp 7.5% 5/1/2031  | 29749000 | 33473010 |
| ONEOK Inc 4.25% 9/24/2027  | 10175000 | 10208455 |
| ONEOK Inc 4.4% 10/15/2029  | 10640000 | 10675617 |
| ONEOK Inc 4.75% 10/15/2031  | 20697000 | 20806973 |
| Ovintiv Inc 5.15% 11/15/2041  | 5000000 | 4302769 |
| Ovintiv Inc 8.125% 9/15/2030  | 13383000 | 15274648 |
| Plains All American Pipeline LP / PAA Finance Corp 3.55% 12/15/2029  | 5964000 | 5793920 |
| Plains All American Pipeline LP / PAA Finance Corp 3.8% 9/15/2030  | 15976000 | 15507560 |
| Sabine Pass Liquefaction LLC 4.5% 5/15/2030  | 33855000 | 33992060 |
| Shell Finance US Inc 4.375% 5/11/2045  | 6392000 | 5505048 |
| Targa Resources Corp 4.35% 1/15/2029  | 10769000 | 10798901 |
| Targa Resources Corp 4.9% 9/15/2030  | 14983000 | 15265949 |
| Targa Resources Corp 5.65% 2/15/2036  | 36079000 | 37060156 |
| Western Gas Partners LP 4.5% 3/1/2028  | 3100000 | 3112335 |
| Western Gas Partners LP 4.65% 7/1/2026  | 9376000 | 9377491 |
| Western Gas Partners LP 4.75% 8/15/2028  | 5504000 | 5568848 |
| Western Gas Partners LP 6.35% 1/15/2029  | 13343000 | 14041359 |
| Williams Cos Inc/The 2.6% 3/15/2031  | 5542000 | 5059411 |
| Williams Cos Inc/The 3.5% 11/15/2030  | 45537000 | 43683014 |
| Williams Cos Inc/The 4.65% 8/15/2032  | 32200000 | 32247451 |
| Williams Cos Inc/The 5.3% 8/15/2052  | 7294000 | 6727810 |
|  |  | 733635420 |
| TOTAL ENERGY |  | 740938714 |
| Financials - 8.0% |  |  |
| Banks - 3.3% |  |  |
| Bank of America Corp 2.299% 7/21/2032 (c) | 80000000 | 71532637 |
| Bank of America Corp 2.972% 2/4/2033 (c) | 17500000 | 16003827 |
| Bank of America Corp 3.419% 12/20/2028 (c) | 23187000 | 22895355 |
| Bank of America Corp 3.705% 4/24/2028 (c) | 58915000 | 58647661 |
| Bank of America Corp 4.183% 11/25/2027  | 22749000 | 22803616 |
| Bank of America Corp 4.25% 10/22/2026  | 20189000 | 20236440 |
| Bank of America Corp 4.271% 7/23/2029 (c) | 2000000 | 2009167 |
| Bank of America Corp 4.376% 4/27/2028 (c) | 40000000 | 40159577 |
| Bank of America Corp 4.45% 3/3/2026  | 3182000 | 3184293 |
| Bank of America Corp 5.015% 7/22/2033 (c) | 50000000 | 50982597 |
| Bank of America Corp 5.468% 1/23/2035 (c) | 50000000 | 52085969 |
| Citigroup Inc 3.785% 3/17/2033 (c) | 17500000 | 16685875 |
| Citigroup Inc 4.3% 11/20/2026  | 52072000 | 52199881 |
| Citigroup Inc 4.412% 3/31/2031 (c) | 45100000 | 45092456 |
| Citigroup Inc 4.45% 9/29/2027  | 69500000 | 69947077 |
| Citigroup Inc 4.91% 5/24/2033 (c) | 47460000 | 48028769 |
| Citigroup Inc 6.174% 5/25/2034 (c) | 21587000 | 22925079 |
| Citizens Financial Group Inc 2.638% 9/30/2032  | 35537000 | 30694050 |
| Citizens Financial Group Inc 6.645% 4/25/2035 (c) | 12127000 | 13334501 |
| JPMorgan Chase & Co 2.956% 5/13/2031 (c) | 18323000 | 17285260 |
| JPMorgan Chase & Co 2.963% 1/25/2033 (c) | 17500000 | 16059405 |
| JPMorgan Chase & Co 4.203% 7/23/2029 (c) | 3000000 | 3009727 |
| JPMorgan Chase & Co 4.452% 12/5/2029 (c) | 46000000 | 46473971 |
| JPMorgan Chase & Co 4.586% 4/26/2033 (c) | 70000000 | 70368915 |
| JPMorgan Chase & Co 5.103% 4/22/2031 (c) | 29723000 | 30688298 |
| JPMorgan Chase & Co 5.299% 7/24/2029 (c) | 15000000 | 15458256 |
| JPMorgan Chase & Co 5.336% 1/23/2035 (c) | 50000000 | 51820941 |
| JPMorgan Chase & Co 5.35% 6/1/2034 (c) | 60000000 | 62340568 |
| JPMorgan Chase & Co 5.572% 4/22/2036 (c) | 35305000 | 37040556 |
| JPMorgan Chase & Co 5.717% 9/14/2033 (c) | 75200000 | 79500993 |
| Santander Holdings USA Inc 2.49% 1/6/2028 (c) | 25589000 | 25151124 |
| Santander Holdings USA Inc 6.499% 3/9/2029 (c) | 35670000 | 37169551 |
| Synchrony Bank 5.625% 8/23/2027  | 26739000 | 27269504 |
| Wells Fargo & Co 3.526% 3/24/2028 (c) | 42125000 | 41851145 |
| Wells Fargo & Co 4.478% 4/4/2031 (c) | 60800000 | 61201768 |
| Wells Fargo & Co 5.15% 4/23/2031 (c) | 80251000 | 82835334 |
| Wells Fargo & Co 5.389% 4/24/2034 (c) | 30000000 | 31212964 |
| Wells Fargo & Co 5.605% 4/23/2036 (c) | 35549000 | 37259325 |
|  |  | 1433446432 |
| Capital Markets - 2.4% |  |  |
| Ares Capital Corp 3.875% 1/15/2026  | 54729000 | 54724807 |
| Ares Strategic Income Fund 5.45% 9/9/2028 (h) | 24383000 | 24586810 |
| Ares Strategic Income Fund 5.8% 9/9/2030 (h) | 19729000 | 19920030 |
| Athene Global Funding 5.339% 1/15/2027 (h) | 56732000 | 57422504 |
| Athene Global Funding 5.583% 1/9/2029 (h) | 28541000 | 29318006 |
| Blackstone Private Credit Fund 2.625% 12/15/2026  | 30000000 | 29472193 |
| Blackstone Private Credit Fund 7.3% 11/27/2028  | 42550000 | 45134002 |
| Goldman Sachs Group Inc/The 2.383% 7/21/2032 (c) | 39755000 | 35605038 |
| Goldman Sachs Group Inc/The 3.102% 2/24/2033 (c) | 47500000 | 43758215 |
| Goldman Sachs Group Inc/The 3.691% 6/5/2028 (c) | 21000000 | 20888273 |
| Goldman Sachs Group Inc/The 3.8% 3/15/2030  | 67720000 | 66650430 |
| Goldman Sachs Group Inc/The 4.411% 4/23/2039 (c) | 3000000 | 2771637 |
| Goldman Sachs Group Inc/The 5.15% 5/22/2045  | 9000000 | 8451312 |
| Goldman Sachs Group Inc/The 6.75% 10/1/2037  | 30816000 | 34402263 |
| HPS Corporate Lending Fund 5.45% 1/14/2028  | 77521000 | 78348223 |
| Moody's Corp 3.25% 1/15/2028  | 10681000 | 10536467 |
| Moody's Corp 3.25% 5/20/2050  | 9704000 | 6598104 |
| Morgan Stanley 2.943% 1/21/2033 (c) | 17500000 | 15972128 |
| Morgan Stanley 3.622% 4/1/2031 (c) | 41803000 | 40616818 |
| Morgan Stanley 4.21% 4/20/2028 (c) | 40000000 | 40091745 |
| Morgan Stanley 4.431% 1/23/2030 (c) | 54318000 | 54618928 |
| Morgan Stanley 5.192% 4/17/2031 (c) | 26943000 | 27780171 |
| Morgan Stanley 5.25% 4/21/2034 (c) | 50000000 | 51478065 |
| Morgan Stanley 5.424% 7/21/2034 (c) | 47424000 | 49335960 |
| Morgan Stanley 5.664% 4/17/2036 (c) | 21369000 | 22430297 |
| Morgan Stanley 6.342% 10/18/2033 (c) | 58000000 | 63566373 |
| Morgan Stanley 6.627% 11/1/2034 (c) | 50000000 | 55908397 |
| MSCI Inc 5.15% 3/15/2036  | 8619000 | 8555934 |
| MSCI Inc 5.25% 9/1/2035  | 24615000 | 24777402 |
| Sixth Street Specialty Lending Inc 6.125% 3/1/2029  | 15343000 | 15838624 |
|  |  | 1039559156 |
| Consumer Finance - 0.9% |  |  |
| Ally Financial Inc 4.75% 6/9/2027  | 60000000 | 60521684 |
| Ally Financial Inc 7.1% 11/15/2027  | 37620000 | 39522312 |
| Ally Financial Inc 8% 11/1/2031  | 3051000 | 3462902 |
| Capital One Financial Corp 3.273% 3/1/2030 (c) | 32130000 | 31177453 |
| Capital One Financial Corp 3.65% 5/11/2027  | 57194000 | 56925353 |
| Capital One Financial Corp 3.8% 1/31/2028  | 16228000 | 16161795 |
| Capital One Financial Corp 4.1% 2/9/2027  | 5722000 | 5725862 |
| Capital One Financial Corp 5.247% 7/26/2030 (c) | 40470000 | 41742994 |
| Capital One Financial Corp 5.468% 2/1/2029 (c) | 26778000 | 27495236 |
| Capital One Financial Corp 5.817% 2/1/2034 (c) | 9574000 | 10020419 |
| Ford Motor Credit Co LLC 5.73% 9/5/2030  | 40000000 | 40615874 |
| Synchrony Financial 3.95% 12/1/2027  | 30327000 | 30182484 |
| Toyota Motor Credit Corp 3.375% 4/1/2030  | 9583000 | 9320743 |
|  |  | 372875111 |
| Financial Services - 0.6% |  |  |
| Corebridge Financial Inc 3.65% 4/5/2027  | 33012000 | 32803063 |
| Corebridge Financial Inc 3.85% 4/5/2029  | 13061000 | 12848531 |
| Corebridge Financial Inc 3.9% 4/5/2032  | 31447000 | 29847889 |
| Corebridge Financial Inc 4.35% 4/5/2042  | 3537000 | 3024227 |
| Corebridge Financial Inc 6.05% 9/15/2033  | 10459000 | 11098519 |
| Equitable Holdings Inc 4.572% 2/15/2029 (h) | 7172000 | 7205761 |
| Jackson Financial Inc 3.125% 11/23/2031  | 5636000 | 5123907 |
| Jackson Financial Inc 5.17% 6/8/2027  | 14655000 | 14839024 |
| Jackson Financial Inc 5.67% 6/8/2032  | 27163000 | 28217865 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3% 5/15/2032  | 43240000 | 38814508 |
| JBS USA Holding Lux Sarl/ JBS USA Food Co/ JBS Lux Co Sarl 3.625% 1/15/2032  | 18075000 | 16914085 |
| Mastercard Inc 3.3% 3/26/2027  | 3028000 | 3012524 |
| Mastercard Inc 3.35% 3/26/2030  | 4213000 | 4113948 |
| Pine Street Trust II 5.568% 2/15/2049 (h) | 29500000 | 27568140 |
| Sixth Street Lending Partners 6.125% 7/15/2030  | 26655000 | 27357373 |
|  |  | 262789364 |
| Insurance - 0.8% |  |  |
| AFLAC Inc 3.6% 4/1/2030  | 9937000 | 9769115 |
| Five Corners Funding Trust II 2.85% 5/15/2030 (h) | 48444000 | 45606290 |
| Hartford Insurance Group Inc/The 2.8% 8/19/2029  | 7704000 | 7365445 |
| Liberty Mutual Group Inc 3.951% 10/15/2050 (h) | 4626000 | 3420834 |
| Liberty Mutual Group Inc 4.569% 2/1/2029 (h) | 19896000 | 19986985 |
| Lincoln National Corp 3.4% 1/15/2031  | 34132000 | 32444408 |
| Marsh & McLennan Cos Inc 4.375% 3/15/2029  | 19688000 | 19884370 |
| Marsh & McLennan Cos Inc 4.75% 3/15/2039  | 9035000 | 8698131 |
| Massachusetts Mutual Life Insurance Co 3.729% 10/15/2070 (h) | 20812000 | 13453835 |
| New York Life Insurance Co 3.75% 5/15/2050 (h) | 7429000 | 5506292 |
| Northwestern Mutual Life Insurance Co/The 6.063% 3/30/2040 (h) | 2000 | 2125 |
| Pacific LifeCorp 5.125% 1/30/2043 (h) | 15610000 | 14759142 |
| Progressive Corp/The 3.2% 3/26/2030  | 3815000 | 3690052 |
| Prudential Financial Inc 6% 9/1/2052 (c) | 55017000 | 56669217 |
| Teachers Insurance & Annuity Association of America 3.3% 5/15/2050 (h) | 16941000 | 11607893 |
| Teachers Insurance & Annuity Association of America 4.9% 9/15/2044 (h) | 29277000 | 26571917 |
| Unum Group 4% 6/15/2029  | 21076000 | 20847416 |
| Unum Group 4.046% 8/15/2041 (h) | 1392000 | 1125975 |
| Unum Group 5.75% 8/15/2042  | 27888000 | 27650929 |
| Western-Southern Global Funding 4.9% 5/1/2030 (h) | 6523000 | 6675614 |
|  |  | 335735985 |
| TOTAL FINANCIALS |  | 3444406048 |
| Health Care - 1.4% |  |  |
| Biotechnology - 0.2% |  |  |
| AbbVie Inc 3.2% 11/21/2029  | 17500000 | 16971077 |
| Amgen Inc 1.65% 8/15/2028  | 65000000 | 61265154 |
| Amgen Inc 5.15% 3/2/2028  | 20069000 | 20538417 |
|  |  | 98774648 |
| Health Care Providers & Services - 1.2% |  |  |
| Centene Corp 2.45% 7/15/2028  | 32380000 | 30318663 |
| Centene Corp 2.625% 8/1/2031  | 15205000 | 13078494 |
| Centene Corp 3.375% 2/15/2030  | 17480000 | 16085697 |
| Centene Corp 4.25% 12/15/2027  | 19645000 | 19529338 |
| Centene Corp 4.625% 12/15/2029  | 30530000 | 29612381 |
| Cigna Group/The 3.05% 10/15/2027  | 67800000 | 66823179 |
| Cigna Group/The 4.375% 10/15/2028  | 29050000 | 29314068 |
| Cigna Group/The 4.8% 8/15/2038  | 18087000 | 17318678 |
| Cigna Group/The 4.9% 12/15/2048  | 18071000 | 16110951 |
| Cigna Group/The 5.4% 3/15/2033  | 30000000 | 31241567 |
| CVS Health Corp 3% 8/15/2026  | 2965000 | 2945325 |
| CVS Health Corp 3.625% 4/1/2027  | 7479000 | 7437776 |
| CVS Health Corp 5% 1/30/2029  | 15279000 | 15602900 |
| CVS Health Corp 5% 9/15/2032  | 12070000 | 12319495 |
| CVS Health Corp 5.25% 1/30/2031  | 6265000 | 6473868 |
| CVS Health Corp 5.45% 9/15/2035  | 20000000 | 20472208 |
| HCA Inc 3.5% 9/1/2030  | 18350000 | 17646428 |
| HCA Inc 3.625% 3/15/2032  | 4185000 | 3952858 |
| HCA Inc 5.625% 9/1/2028  | 19094000 | 19681631 |
| HCA Inc 5.875% 2/1/2029  | 21003000 | 21887183 |
| Humana Inc 3.7% 3/23/2029  | 12046000 | 11827337 |
| Humana Inc 5.375% 4/15/2031  | 25106000 | 25956710 |
| Sabra Health Care LP 3.2% 12/1/2031  | 39949000 | 36552323 |
| Sabra Health Care LP 3.9% 10/15/2029  | 10094000 | 9889858 |
| Toledo Hospital/The Series 2018 B, 5.325% 11/15/2028  | 9969000 | 10108020 |
|  |  | 492186936 |
| Pharmaceuticals - 0.0% |  |  |
| Elanco Animal Health Inc 6.65% 8/28/2028 (c) | 6362000 | 6648522 |
| Mylan Inc 4.55% 4/15/2028  | 6911000 | 6918297 |
| Utah Acquisition Sub Inc 3.95% 6/15/2026  | 7459000 | 7442131 |
|  |  | 21008950 |
| TOTAL HEALTH CARE |  | 611970534 |
| Industrials - 0.5% |  |  |
| Aerospace & Defense - 0.3% |  |  |
| Boeing Co 3.55% 3/1/2038  | 3337000 | 2808918 |
| Boeing Co 5.15% 5/1/2030  | 6621000 | 6803145 |
| Boeing Co 5.805% 5/1/2050  | 34788000 | 34217282 |
| Boeing Co 5.93% 5/1/2060  | 12640000 | 12394230 |
| Boeing Co 6.259% 5/1/2027  | 7761000 | 7962913 |
| Boeing Co 6.298% 5/1/2029  | 11086000 | 11767216 |
| Boeing Co 6.388% 5/1/2031  | 8397000 | 9112370 |
| Boeing Co 6.528% 5/1/2034  | 8987000 | 9942848 |
| Boeing Co 6.858% 5/1/2054  | 13529000 | 15194942 |
| Boeing Co 7.008% 5/1/2064  | 12768000 | 14507645 |
|  |  | 124711509 |
| Building Products - 0.0% |  |  |
| Carrier Global Corp 5.9% 3/15/2034  | 3574000 | 3833753 |
| Carrier Global Corp 6.2% 3/15/2054  | 2214000 | 2393851 |
|  |  | 6227604 |
| Ground Transportation - 0.1% |  |  |
| CSX Corp 3.8% 4/15/2050  | 5875000 | 4466333 |
| Uber Technologies Inc 4.15% 1/15/2031  | 20008000 | 19933985 |
| Uber Technologies Inc 4.8% 9/15/2035  | 15783000 | 15699651 |
|  |  | 40099969 |
| Industrial Conglomerates - 0.0% |  |  |
| 3M Co 3.05% 4/15/2030  | 1519000 | 1451774 |
| Machinery - 0.0% |  |  |
| Deere & Co 3.1% 4/15/2030  | 9897000 | 9534978 |
| Professional Services - 0.1% |  |  |
| Paychex Inc 5.1% 4/15/2030  | 3641000 | 3748461 |
| Paychex Inc 5.35% 4/15/2032  | 5068000 | 5248353 |
| Paychex Inc 5.6% 4/15/2035  | 3958000 | 4145194 |
| Verisk Analytics Inc 4.5% 8/15/2030  | 9982000 | 10057522 |
| Verisk Analytics Inc 5.125% 2/15/2036  | 22439000 | 22541445 |
|  |  | 45740975 |
| TOTAL INDUSTRIALS |  | 227766809 |
| Information Technology - 1.1% |  |  |
| Electronic Equipment, Instruments & Components - 0.5% |  |  |
| Dell International LLC / EMC Corp 4.15% 2/15/2029  | 20070000 | 20048244 |
| Dell International LLC / EMC Corp 4.5% 2/15/2031  | 39739000 | 39682282 |
| Dell International LLC / EMC Corp 4.75% 10/6/2032  | 26492000 | 26457189 |
| Dell International LLC / EMC Corp 5.1% 2/15/2036  | 41980000 | 41457909 |
| Dell International LLC / EMC Corp 5.25% 2/1/2028  | 28212000 | 28847648 |
| Dell International LLC / EMC Corp 5.3% 10/1/2029  | 11000000 | 11350804 |
| Dell International LLC / EMC Corp 6.1% 7/15/2027  | 9944000 | 10215744 |
| Dell International LLC / EMC Corp 6.2% 7/15/2030  | 8607000 | 9194665 |
|  |  | 187254485 |
| Semiconductors & Semiconductor Equipment - 0.4% |  |  |
| Broadcom Inc 1.95% 2/15/2028  | 7184000 | 6895173 |
| Broadcom Inc 2.45% 2/15/2031  | 61131000 | 55915210 |
| Broadcom Inc 2.6% 2/15/2033  | 61131000 | 53832978 |
| Broadcom Inc 3.419% 4/15/2033  | 5516000 | 5105966 |
| Broadcom Inc 3.5% 2/15/2041  | 43849000 | 35670503 |
| Broadcom Inc 4.926% 5/15/2037 (h) | 23167000 | 22866023 |
|  |  | 180285853 |
| Software - 0.2% |  |  |
| Oracle Corp 4.45% 9/26/2030  | 15097000 | 14769939 |
| Oracle Corp 4.8% 9/26/2032  | 25181000 | 24310292 |
| Oracle Corp 5.2% 9/26/2035  | 22924000 | 21963043 |
| Oracle Corp 5.875% 9/26/2045  | 14137000 | 12767462 |
| Oracle Corp 5.95% 9/26/2055  | 17723000 | 15702830 |
| Oracle Corp 6.1% 9/26/2065  | 18241000 | 16088425 |
|  |  | 105601991 |
| TOTAL INFORMATION TECHNOLOGY |  | 473142329 |
| Materials - 0.2% |  |  |
| Chemicals - 0.1% |  |  |
| Celanese US Holdings LLC 6.85% 11/15/2028 (c) | 11633000 | 12169809 |
| Celanese US Holdings LLC 7.05% 11/15/2030 (c) | 18931000 | 19947152 |
| Celanese US Holdings LLC 7.2% 11/15/2033 (c) | 11063000 | 11687131 |
|  |  | 43804092 |
| Construction Materials - 0.1% |  |  |
| Amrize Finance US LLC 4.6% 4/7/2027  | 36803000 | 37045204 |
| Amrize Finance US LLC 4.7% 4/7/2028  | 26383000 | 26687857 |
|  |  | 63733061 |
| TOTAL MATERIALS |  | 107537153 |
| Real Estate - 2.4% |  |  |
| Diversified REITs - 0.3% |  |  |
| Piedmont Operating Partnership LP 2.75% 4/1/2032  | 6300000 | 5408713 |
| Store Capital LLC 2.75% 11/18/2030  | 8515000 | 7752190 |
| Store Capital LLC 4.625% 3/15/2029  | 8847000 | 8814404 |
| VICI Properties LP 4.75% 2/15/2028  | 29291000 | 29577068 |
| VICI Properties LP 4.75% 4/1/2028  | 6730000 | 6800838 |
| VICI Properties LP 4.95% 2/15/2030  | 38231000 | 38689894 |
| VICI Properties LP 5.125% 5/15/2032  | 10549000 | 10621981 |
| VICI Properties LP 5.75% 4/1/2034  | 5034000 | 5195076 |
| Vornado Realty LP 2.15% 6/1/2026  | 7918000 | 7830722 |
| WP Carey Inc 3.85% 7/15/2029  | 6097000 | 6010604 |
|  |  | 126701490 |
| Health Care REITs - 0.9% |  |  |
| Alexandria Real Estate Equities Inc 2% 5/18/2032  | 19486000 | 16475674 |
| Alexandria Real Estate Equities Inc 4.9% 12/15/2030  | 17745000 | 17981850 |
| Healthcare Realty Holdings LP 3.1% 2/15/2030  | 6066000 | 5762163 |
| Healthcare Realty Holdings LP 3.5% 8/1/2026  | 6318000 | 6283914 |
| Healthpeak OP LLC 3.25% 7/15/2026  | 2733000 | 2719705 |
| Healthpeak OP LLC 3.5% 7/15/2029  | 3125000 | 3037371 |
| Omega Healthcare Investors Inc 3.25% 4/15/2033  | 25245000 | 22441869 |
| Omega Healthcare Investors Inc 3.375% 2/1/2031  | 11416000 | 10658037 |
| Omega Healthcare Investors Inc 3.625% 10/1/2029  | 26970000 | 26112675 |
| Omega Healthcare Investors Inc 4.5% 4/1/2027  | 86567000 | 86851959 |
| Omega Healthcare Investors Inc 4.75% 1/15/2028  | 28933000 | 29159589 |
| Ventas Realty LP 2.5% 9/1/2031  | 53031000 | 47651778 |
| Ventas Realty LP 3% 1/15/2030  | 35454000 | 33755004 |
| Ventas Realty LP 4% 3/1/2028  | 10351000 | 10336572 |
| Ventas Realty LP 4.125% 1/15/2026  | 7649000 | 7648149 |
| Ventas Realty LP 4.375% 2/1/2045  | 3802000 | 3191802 |
| Ventas Realty LP 4.75% 11/15/2030  | 41973000 | 42562122 |
|  |  | 372630233 |
| Industrial REITs - 0.0% |  |  |
| LXP Industrial Trust 2.7% 9/15/2030  | 7890000 | 7235170 |
| Office REITs - 0.2% |  |  |
| Boston Properties LP 3.25% 1/30/2031  | 16564000 | 15534891 |
| Boston Properties LP 4.5% 12/1/2028  | 18628000 | 18748398 |
| Boston Properties LP 6.75% 12/1/2027  | 24397000 | 25518519 |
| COPT Defense Properties LP 2% 1/15/2029  | 2896000 | 2704737 |
| COPT Defense Properties LP 2.25% 3/15/2026  | 7272000 | 7239817 |
| COPT Defense Properties LP 2.75% 4/15/2031  | 7105000 | 6480737 |
| COPT Defense Properties LP 4.5% 10/15/2030  | 4024000 | 4004460 |
| Hudson Pacific Properties LP 4.65% 4/1/2029  | 37205000 | 34391000 |
|  |  | 114622559 |
| Real Estate Management & Development - 0.4% |  |  |
| Brandywine Operating Partnership LP 3.95% 11/15/2027  | 20195000 | 19793794 |
| Brandywine Operating Partnership LP 4.55% 10/1/2029  | 27295000 | 26050749 |
| Brandywine Operating Partnership LP 8.3% 3/15/2028  | 33242000 | 35045113 |
| CBRE Services Inc 2.5% 4/1/2031  | 23518000 | 21331259 |
| Tanger Properties LP 2.75% 9/1/2031  | 18732000 | 16950721 |
| Tanger Properties LP 3.125% 9/1/2026  | 16602000 | 16478699 |
| Tanger Properties LP 3.875% 7/15/2027  | 28881000 | 28723370 |
|  |  | 164373705 |
| Residential REITs - 0.1% |  |  |
| American Homes 4 Rent LP 2.375% 7/15/2031  | 3169000 | 2832779 |
| American Homes 4 Rent LP 3.625% 4/15/2032  | 14296000 | 13502980 |
| American Homes 4 Rent LP 4.3% 4/15/2052  | 9909000 | 7871814 |
| Invitation Homes Operating Partnership LP 4.15% 4/15/2032  | 21143000 | 20522019 |
| Sun Communities Operating LP 2.3% 11/1/2028  | 7110000 | 6765612 |
| Sun Communities Operating LP 2.7% 7/15/2031  | 18176000 | 16517039 |
|  |  | 68012243 |
| Retail REITs - 0.5% |  |  |
| Brixmor Operating Partnership LP 4.05% 7/1/2030  | 22047000 | 21735497 |
| Brixmor Operating Partnership LP 4.125% 5/15/2029  | 24028000 | 23930309 |
| Brixmor Operating Partnership LP 4.125% 6/15/2026  | 26610000 | 26593626 |
| Kite Realty Group LP 5.5% 3/1/2034  | 6294000 | 6495756 |
| Kite Realty Group Trust 4.75% 9/15/2030  | 42235000 | 42701355 |
| Phillips Edison Grocery Center Operating Partnership I LP 5.75% 7/15/2034  | 6358000 | 6647640 |
| Realty Income Corp 2.2% 6/15/2028  | 3445000 | 3304178 |
| Realty Income Corp 2.85% 12/15/2032  | 4238000 | 3801378 |
| Realty Income Corp 3.25% 1/15/2031  | 4502000 | 4286030 |
| Realty Income Corp 3.4% 1/15/2028  | 7083000 | 7004479 |
| Regency Centers LP 3.7% 6/15/2030  | 25000000 | 24522029 |
| Simon Property Group LP 2.65% 2/1/2032  | 30000000 | 26997253 |
|  |  | 198019530 |
| TOTAL REAL ESTATE |  | 1051594930 |
| Utilities - 1.1% |  |  |
| Electric Utilities - 0.6% |  |  |
| Alabama Power Co 3.05% 3/15/2032  | 29471000 | 27347782 |
| Cleco Corporate Holdings LLC 3.375% 9/15/2029  | 15724000 | 14787014 |
| Cleco Corporate Holdings LLC 3.743% 5/1/2026  | 60730000 | 60562880 |
| Cleveland Electric Illuminating Co/The 5.95% 12/15/2036  | 1128000 | 1184215 |
| Consolidated Edison Co of New York Inc 3.35% 4/1/2030  | 3290000 | 3186028 |
| Duke Energy Corp 4.95% 9/15/2035  | 36862000 | 36552723 |
| Duquesne Light Holdings Inc 2.532% 10/1/2030 (h) | 10574000 | 9605875 |
| Duquesne Light Holdings Inc 2.775% 1/7/2032 (h) | 19219000 | 17078988 |
| Exelon Corp 2.75% 3/15/2027  | 6523000 | 6424251 |
| Exelon Corp 3.35% 3/15/2032  | 7920000 | 7409644 |
| Exelon Corp 4.05% 4/15/2030  | 7291000 | 7218812 |
| Exelon Corp 4.7% 4/15/2050  | 3246000 | 2778072 |
| IPALCO Enterprises Inc 5.75% 4/1/2034  | 43698000 | 44524956 |
| Southern Co/The 5.7% 3/15/2034  | 27735000 | 29198552 |
|  |  | 267859792 |
| Independent Power and Renewable Electricity Producers - 0.2% |  |  |
| AES Corp/The 1.375% 1/15/2026  | 30500000 | 30464654 |
| AES Corp/The 2.45% 1/15/2031  | 28885000 | 26188253 |
| AES Corp/The 3.95% 7/15/2030 (h) | 42717000 | 41693228 |
|  |  | 98346135 |
| Multi-Utilities - 0.3% |  |  |
| Berkshire Hathaway Energy Co 3.7% 7/15/2030  | 4149000 | 4079244 |
| NiSource Inc 2.95% 9/1/2029  | 40740000 | 39091952 |
| NiSource Inc 3.6% 5/1/2030  | 22835000 | 22185307 |
| Puget Energy Inc 4.1% 6/15/2030  | 25767000 | 25232881 |
| Puget Energy Inc 4.224% 3/15/2032  | 27319000 | 26194133 |
| Sempra 6% 10/15/2039  | 5386000 | 5607068 |
|  |  | 122390585 |
| TOTAL UTILITIES |  | 488596512 |
| TOTAL UNITED STATES |  | 8108405704 |
| <br> **TOTAL NON-CONVERTIBLE CORPORATE BONDS**<br> (Cost $9,635,121,458) |  | <br> **9412354972** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.4%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.4%** | &nbsp;&nbsp;**U.S. Government Agency - Mortgage Securities - 19.4%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 19.4%  |  |  |
| Fannie Mae 2.5% 1/1/2052  | 2830442 | 2415133 |
| Fannie Mae 3.5% 12/1/2036  | 207841 | 203689 |
| Fannie Mae 3.5% 5/1/2036  | 159386 | 156373 |
| Fannie Mae 6.5% 7/1/2054  | 3056875 | 3222729 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.398%, 6.196% 5/1/2033 (b)(c) | 1086 | 1102 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.445%, 6.32% 4/1/2037 (b)(c) | 14086 | 14477 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.462%, 6.71% 1/1/2035 (b)(c) | 3329 | 3418 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.475%, 6.396% 5/1/2036 (b)(c) | 20666 | 21189 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.48%, 6.105% 7/1/2034 (b)(c) | 1823 | 1864 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.534%, 6.409% 3/1/2036 (b)(c) | 21381 | 21933 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.553%, 6.178% 6/1/2036 (b)(c) | 12512 | 12856 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.44% 3/1/2037 (b)(c) | 15498 | 15982 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6286%, 6.445% 7/1/2035 (b)(c) | 45462 | 46867 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6299%, 6.387% 5/1/2035 (b)(c) | 24458 | 25124 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.63%, 6.315% 9/1/2036 (b)(c) | 3412 | 3515 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.667%, 6.391% 11/1/2036 (b)(c) | 55552 | 57170 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6731%, 6.472% 3/1/2033 (b)(c) | 7588 | 7784 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.6833%, 6.511% 5/1/2036 (b)(c) | 10598 | 10920 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.692%, 6.525% 7/1/2043 (b)(c) | 191545 | 199205 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.7%, 6.561% 6/1/2042 (b)(c) | 16512 | 17182 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.739%, 6.601% 3/1/2040 (b)(c) | 27493 | 28523 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.5% 8/1/2041 (b)(c) | 48207 | 50304 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.618% 7/1/2035 (b)(c) | 10663 | 10961 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.478% 7/1/2041 (b)(c) | 5268 | 5499 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.596% 1/1/2042 (b)(c) | 61354 | 63979 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.8063%, 6.387% 12/1/2040 (b)(c) | 529324 | 552303 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.81%, 6.685% 12/1/2039 (b)(c) | 9818 | 10191 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.508% 7/1/2041 (b)(c) | 10756 | 11239 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.568% 9/1/2041 (b)(c) | 9343 | 9764 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.818%, 6.712% 2/1/2042 (b)(c) | 27143 | 28322 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.825%, 6.723% 2/1/2035 (b)(c) | 36485 | 37719 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.83%, 6.58% 10/1/2041 (b)(c) | 3117 | 3245 |
| Fannie Mae Mortgage pass-thru certificates 1 year FTSE USD IBOR Consumer Fallbacks + 1.955%, 6.705% 7/1/2037 (b)(c) | 61813 | 64256 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.208%, 6.458% 3/1/2035 (b)(c) | 11724 | 11985 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.2597%, 6.508% 8/1/2036 (b)(c) | 76317 | 78145 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.27%, 6.217% 6/1/2036 (b)(c) | 20333 | 20835 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.277%, 6.38% 10/1/2033 (b)(c) | 16491 | 16872 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.46%, 6.484% 7/1/2034 (b)(c) | 7032 | 7190 |
| Fannie Mae Mortgage pass-thru certificates 1 year U.S. Treasury Index + 2.462%, 6.452% 5/1/2035 (b)(c) | 8548 | 8761 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2036  | 12677235 | 11492656 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 1/1/2041  | 1576643 | 1341528 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 17273180 | 15659150 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 16524493 | 14980421 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 7218449 | 6543947 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 3899197 | 3534851 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2035  | 34183 | 30989 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2040  | 1548383 | 1319529 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 11/1/2041  | 16832853 | 14190274 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 7392465 | 6701703 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2035  | 23880 | 21648 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 12/1/2040  | 1580926 | 1346200 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2036  | 3633537 | 3294014 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2041  | 1608268 | 1367360 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 2/1/2051  | 25262573 | 19582761 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2036  | 22849 | 20714 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 3/1/2041  | 1644093 | 1396861 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 6/1/2051  | 1704379 | 1337160 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2035  | 6621140 | 6019004 |
| Fannie Mae Mortgage pass-thru certificates 1.5% 9/1/2051  | 25709185 | 19928961 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2037  | 6602660 | 6136865 |
| Fannie Mae Mortgage pass-thru certificates 2% 1/1/2051  | 5172857 | 4222764 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 4958370 | 4335837 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2041  | 17037 | 14909 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2050  | 8828457 | 7297988 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 21228610 | 17515327 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2051  | 8873544 | 7307529 |
| Fannie Mae Mortgage pass-thru certificates 2% 10/1/2052  | 64479 | 52205 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 6310333 | 5522176 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2041  | 5085241 | 4449332 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2050  | 4949456 | 4062049 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 27240973 | 22433451 |
| Fannie Mae Mortgage pass-thru certificates 2% 11/1/2051  | 17239855 | 14175793 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 1813612 | 1604750 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2040  | 14305 | 12612 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 14643515 | 12031752 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 10182234 | 8372532 |
| Fannie Mae Mortgage pass-thru certificates 2% 12/1/2051  | 5677053 | 4684030 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2028  | 4082699 | 4015082 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2041  | 15295 | 13467 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 54128 | 44305 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2051  | 12900 | 10559 |
| Fannie Mae Mortgage pass-thru certificates 2% 2/1/2052  | 68176 | 56059 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2041  | 15665 | 13784 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2042  | 10782331 | 9407462 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2051  | 92475 | 75693 |
| Fannie Mae Mortgage pass-thru certificates 2% 3/1/2052  | 1199105 | 987485 |
| Fannie Mae Mortgage pass-thru certificates 2% 4/1/2041  | 772457 | 682713 |
| Fannie Mae Mortgage pass-thru certificates 2% 5/1/2035  | 18971555 | 17716177 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 556206 | 491498 |
| Fannie Mae Mortgage pass-thru certificates 2% 6/1/2041  | 16801 | 14751 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2035  | 3319173 | 3099538 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2041  | 5890422 | 5186713 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050 (e) | 36471306 | 29795460 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2050  | 3649467 | 3008826 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 1918920 | 1567074 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 224481 | 183181 |
| Fannie Mae Mortgage pass-thru certificates 2% 7/1/2051  | 64846 | 52915 |
| Fannie Mae Mortgage pass-thru certificates 2% 8/1/2035  | 5689524 | 5313039 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2032  | 1991511 | 1928042 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2037  | 11233504 | 10693082 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 4444439 | 3818698 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1276874 | 1100692 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 1014211 | 874271 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 1/1/2052  | 687384 | 592539 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2029  | 251392 | 246357 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2029  | 22533 | 22082 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 2007288 | 1944178 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 214988 | 208319 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 57114 | 55341 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 31088 | 30110 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2031  | 5900 | 5719 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2032  | 31862 | 30724 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 10/1/2051  | 3174820 | 2719894 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2029  | 296212 | 290493 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 1271918 | 1231910 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 66634 | 64538 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2031  | 62342 | 60356 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 495774 | 478072 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2032  | 5475 | 5291 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 9285385 | 8325118 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 5962264 | 5351171 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 3906273 | 3516179 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1273391 | 1145555 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1231265 | 1108908 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2041  | 1157152 | 1041906 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 10356632 | 8866139 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 11/1/2051  | 7906639 | 6773682 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2031  | 3536017 | 3421836 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 96042 | 92535 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2032  | 21401 | 20629 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2033  | 9387558 | 9075909 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 14633493 | 12573217 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 12/1/2051  | 76985 | 65858 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2035  | 1066858 | 1033750 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2041  | 3706861 | 3344664 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2042  | 2991419 | 2695558 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 2/1/2052  | 722896 | 623151 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2033  | 21551 | 20781 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2040  | 1153488 | 1046514 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2041  | 1052894 | 955030 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2050  | 4757736 | 4068557 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 3/1/2052  | 5732996 | 4924045 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2036  | 1930060 | 1869321 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2037  | 7715370 | 7168473 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2041  | 3486948 | 3145179 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2042  | 1265229 | 1135397 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2051  | 24201945 | 21036529 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 4/1/2052  | 6123998 | 5246479 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2031  | 214595 | 208648 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2040  | 831680 | 754840 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 1226885 | 1106495 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2041  | 937923 | 848683 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 196882 | 176834 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2042  | 79909 | 71803 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 27844929 | 23959398 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 5/1/2051  | 14053597 | 12105708 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 6/1/2051  | 28918418 | 24910201 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 2409055 | 2169169 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 7/1/2041  | 973822 | 879236 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 1367752 | 1326475 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2031  | 297459 | 288967 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 28527757 | 24395389 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 22907853 | 19589552 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 8/1/2051  | 22001902 | 18814832 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2029  | 16143 | 15805 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2031  | 529121 | 512480 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2035  | 4954018 | 4717237 |
| Fannie Mae Mortgage pass-thru certificates 2.5% 9/1/2041  | 7928842 | 7123642 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2033  | 105202 | 102649 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 1661758 | 1540019 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 348127 | 322286 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 231797 | 215620 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 189633 | 175504 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 179895 | 166762 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 169555 | 157047 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 152561 | 141015 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 141980 | 131754 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 117054 | 108160 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 95447 | 88875 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 68859 | 64291 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 41812 | 38947 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 33852 | 31379 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 30737 | 28382 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 30231 | 28152 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 30280 | 27944 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 29495 | 27222 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 26784 | 24727 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 25293 | 23405 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 25105 | 23305 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 23395 | 21660 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 22307 | 20673 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 22247 | 20609 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2043  | 11101 | 10222 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2045  | 133648 | 124336 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2051  | 7112828 | 6353162 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 1195739 | 1065416 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 426274 | 379548 |
| Fannie Mae Mortgage pass-thru certificates 3% 1/1/2052  | 16907 | 15054 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 148851 | 137456 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2042  | 3328 | 3102 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2046  | 2714385 | 2477073 |
| Fannie Mae Mortgage pass-thru certificates 3% 10/1/2051  | 5856612 | 5218301 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2034  | 651958 | 640240 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 819582 | 760405 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 123049 | 113717 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 85067 | 78892 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 56949 | 52493 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 27741 | 25739 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 24787 | 22905 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 24510 | 22855 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 22920 | 21514 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 21418 | 19719 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2042  | 9536 | 8846 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 3419761 | 3119712 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2046  | 3360037 | 3065228 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2050  | 1384333 | 1237348 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 18226865 | 16320065 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 9851903 | 8830484 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 100934 | 90722 |
| Fannie Mae Mortgage pass-thru certificates 3% 11/1/2051  | 73636 | 66186 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2028  | 9058 | 8951 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 4101256 | 4018137 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2032  | 1770894 | 1735348 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 443531 | 411828 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 191557 | 177383 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 110531 | 102405 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 78249 | 72130 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 73463 | 68080 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 69526 | 64435 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 69640 | 64337 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 66841 | 61938 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 64457 | 59765 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 31241 | 29208 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 23976 | 22221 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 20961 | 19441 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 15508 | 14365 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 15441 | 14220 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 13893 | 12976 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 9566 | 8941 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 6434 | 5945 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2042  | 5446 | 5044 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2044  | 20327 | 18532 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2049  | 20152 | 18094 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2050  | 12895677 | 11526449 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 6379718 | 5684394 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 4272456 | 3829499 |
| Fannie Mae Mortgage pass-thru certificates 3% 12/1/2051  | 2044670 | 1830767 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 1113715 | 1096836 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2031  | 57259 | 56482 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2033  | 69935 | 68239 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2035  | 451535 | 443785 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 1214810 | 1123673 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 900339 | 833123 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 681793 | 631984 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 546231 | 505832 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 425533 | 393755 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 259798 | 240886 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 228759 | 211628 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 209344 | 192917 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 124661 | 115755 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 102691 | 95073 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 93207 | 85850 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 63668 | 58725 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 17223 | 15842 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 15822 | 14672 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 8355 | 7731 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2043  | 7053 | 6696 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2050  | 7903514 | 7118677 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052 (g) | 22607131 | 20206767 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 5736552 | 5127460 |
| Fannie Mae Mortgage pass-thru certificates 3% 2/1/2052  | 360713 | 322414 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2033  | 149039 | 145858 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 366900 | 339568 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 97882 | 90608 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 66050 | 61100 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 29457 | 27205 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 22309 | 20651 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 16156 | 14956 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2043  | 14010 | 12992 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2044  | 98317 | 90086 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 265926 | 244318 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2045  | 105926 | 96362 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2047  | 1230345 | 1122394 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 10109031 | 9000932 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 9955050 | 8941603 |
| Fannie Mae Mortgage pass-thru certificates 3% 3/1/2052  | 8455574 | 7528718 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 308769 | 284361 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 241728 | 223827 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 51152 | 47311 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 50053 | 46183 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 47967 | 44380 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 43960 | 40627 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 16926 | 15657 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 16716 | 15451 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2043  | 9586 | 8866 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2046  | 1120511 | 1024999 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2049  | 43079 | 38733 |
| Fannie Mae Mortgage pass-thru certificates 3% 4/1/2052  | 8492830 | 7644164 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1211238 | 1117221 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1000162 | 925736 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 146772 | 135501 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 91009 | 84168 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 68492 | 63318 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 60802 | 56209 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 34491 | 31916 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 17879 | 16548 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 15353 | 14114 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2043  | 1541 | 1423 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 1458951 | 1331817 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 103092 | 94946 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2045  | 54156 | 50257 |
| Fannie Mae Mortgage pass-thru certificates 3% 5/1/2046  | 1111542 | 1014710 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 20926 | 19203 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 15092 | 13916 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 15036 | 13841 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2043  | 10848 | 9969 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2044  | 953502 | 882124 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2045  | 103004 | 94319 |
| Fannie Mae Mortgage pass-thru certificates 3% 6/1/2051  | 6359299 | 5723831 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2034  | 1289093 | 1267604 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2036  | 13758 | 13047 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 232382 | 215815 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2042  | 52868 | 48846 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 4174778 | 3842359 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 23963 | 22122 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2043  | 17568 | 16329 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 584723 | 536328 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2045  | 523252 | 480268 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2046  | 9849109 | 8978794 |
| Fannie Mae Mortgage pass-thru certificates 3% 7/1/2050  | 4167093 | 3749384 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2029  | 41236 | 40681 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 650159 | 600152 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 284523 | 261883 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2043  | 36731 | 33852 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 3048859 | 2779664 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 295858 | 269448 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2045  | 108849 | 98788 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 14726633 | 13241235 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2049  | 261128 | 231933 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2050  | 81711 | 73214 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 5864891 | 5265999 |
| Fannie Mae Mortgage pass-thru certificates 3% 8/1/2051  | 42932 | 38333 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2035  | 2812235 | 2754975 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 774489 | 717003 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 117337 | 108086 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 100126 | 92075 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 42792 | 39501 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2043  | 5215 | 4814 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2050  | 99473 | 89067 |
| Fannie Mae Mortgage pass-thru certificates 3% 9/1/2050  | 21935 | 19427 |
| Fannie Mae Mortgage pass-thru certificates 3.25% 12/1/2041  | 14235 | 13565 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 8/1/2042  | 169353 | 159609 |
| Fannie Mae Mortgage pass-thru certificates 3.4% 9/1/2042  | 79595 | 74920 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2038  | 29637 | 28957 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2041  | 17315 | 16645 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 805635 | 769086 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2043  | 123589 | 117927 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 7461551 | 7019850 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 112383 | 105730 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 45870 | 43155 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 10712 | 10078 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2047  | 466 | 440 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2048  | 3480296 | 3290587 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 1/1/2052  | 2159944 | 2016558 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2033  | 3506 | 3462 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2035  | 123808 | 121663 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2040  | 24653 | 23685 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 1532525 | 1463472 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 571997 | 549045 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 527865 | 504072 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 144636 | 138161 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 86973 | 83099 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 40672 | 39001 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 24119 | 23002 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2042  | 4465 | 4269 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2045  | 384578 | 363314 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2046  | 242108 | 227776 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2047  | 3216703 | 3042368 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2049  | 7621 | 7194 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 10/1/2051  | 2291634 | 2133776 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2041  | 3710 | 3555 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 253807 | 241700 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 164691 | 157116 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 79762 | 76077 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 72259 | 68683 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 45284 | 43223 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2042  | 23381 | 22276 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 86400 | 82155 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 23545 | 22211 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2045  | 4755 | 4489 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 252551 | 235154 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 106457 | 99057 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 11/1/2051  | 86999 | 80952 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2041  | 12343 | 11849 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 186866 | 178831 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 124928 | 119448 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2042  | 57569 | 54964 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2044  | 20065 | 19050 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2045  | 58840 | 55872 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 1728797 | 1626458 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2046  | 469952 | 442132 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 12/1/2047  | 818355 | 769400 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 294926 | 280541 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 105938 | 101133 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2043  | 59575 | 56500 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2047  | 19484 | 18331 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2051  | 45305 | 42340 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 2/1/2052  | 4186483 | 3896791 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 317424 | 302174 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2043  | 297164 | 283380 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 7185798 | 6677335 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 3/1/2052  | 1265886 | 1169983 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2039  | 186951 | 182485 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 359524 | 343604 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 231186 | 220887 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 16999 | 16229 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2042  | 4193 | 4015 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 1379800 | 1314574 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 775041 | 737734 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 137852 | 131442 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 101251 | 96478 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2043  | 30777 | 29354 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 2266910 | 2135550 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2046  | 613690 | 578128 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2049  | 5223 | 4890 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 4/1/2051  | 474806 | 442396 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2038  | 108533 | 105940 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 666140 | 637697 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 95547 | 91041 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 5020 | 4805 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2042  | 3597 | 3443 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 1122283 | 1068274 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 615303 | 586038 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2043  | 19897 | 18863 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2044  | 9785 | 9372 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2046  | 1117932 | 1053152 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 942950 | 877406 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 5/1/2051  | 29799 | 27728 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2038  | 124417 | 121445 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 776263 | 742036 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 31744 | 30354 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2042  | 18332 | 17509 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 995222 | 947665 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 6/1/2043  | 15621 | 14924 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 46218 | 44125 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2042  | 3881 | 3712 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2043  | 96735 | 91963 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 2761730 | 2598244 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 1720219 | 1618387 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2046  | 186124 | 175106 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2047  | 9026162 | 8621435 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2051  | 3524238 | 3282574 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 7/1/2052  | 4366388 | 4083350 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 852503 | 814784 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 214145 | 205117 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2042  | 126449 | 120583 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 965545 | 923515 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 123140 | 117599 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 23068 | 21976 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2043  | 3898 | 3716 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2044  | 41024 | 38848 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 484859 | 456157 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2046  | 18633 | 17530 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2049  | 10123209 | 9482821 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 556121 | 514789 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2051  | 275441 | 256553 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 8/1/2052  | 3174518 | 2940963 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2037  | 7732 | 7555 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 355457 | 339448 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 329994 | 315349 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 176319 | 168384 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 114598 | 109418 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 105907 | 101520 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 64947 | 62235 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 60322 | 57588 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 32558 | 31090 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2042  | 29822 | 28577 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 813008 | 768409 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2045  | 24371 | 23036 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 5934194 | 5582908 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2046  | 10032 | 9438 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 2089782 | 1976522 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2047  | 56313 | 52803 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 1804752 | 1676485 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 383689 | 357379 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 29349 | 27327 |
| Fannie Mae Mortgage pass-thru certificates 3.5% 9/1/2051  | 15880 | 14786 |
| Fannie Mae Mortgage pass-thru certificates 3.65% 5/1/2042  | 19346 | 18584 |
| Fannie Mae Mortgage pass-thru certificates 3.65% 8/1/2042  | 51061 | 49013 |
| Fannie Mae Mortgage pass-thru certificates 3.9% 4/1/2042  | 24848 | 24273 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 2776477 | 2720686 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 363909 | 356174 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 115814 | 113375 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 106674 | 104513 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 73709 | 72266 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 45854 | 44903 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 29288 | 28673 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 23477 | 22980 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 13394 | 13164 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 12831 | 12577 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 11296 | 11091 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 9396 | 9229 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 8899 | 8720 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2041  | 8444 | 8269 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 1776358 | 1740399 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 123601 | 120835 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 84466 | 82305 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2042  | 5451 | 5425 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2043  | 253696 | 248108 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2044  | 131498 | 127980 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2045  | 992673 | 962065 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2046  | 259351 | 252302 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2048  | 55320 | 53419 |
| Fannie Mae Mortgage pass-thru certificates 4% 1/1/2049  | 251314 | 241735 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 389559 | 382072 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2039  | 84176 | 82471 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 297142 | 291407 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 155218 | 151758 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 102437 | 100642 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 54281 | 53213 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 34068 | 33417 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 21415 | 21023 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 18068 | 17747 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2040  | 1047 | 1025 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 1539747 | 1506828 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 990080 | 968644 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 58663 | 57259 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 27024 | 26471 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 17695 | 17323 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2041  | 5378 | 5322 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2043  | 498325 | 487179 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 163915 | 158922 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2045  | 53078 | 51314 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2046  | 2740928 | 2667290 |
| Fannie Mae Mortgage pass-thru certificates 4% 10/1/2050  | 11101678 | 10699340 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2038  | 247878 | 243180 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 2484592 | 2434981 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 327673 | 321498 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 227039 | 222998 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 204538 | 200193 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 191193 | 187033 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 180772 | 177013 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 174632 | 171289 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 174267 | 170813 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 156237 | 153104 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 148270 | 144950 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 136204 | 133375 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 127108 | 124353 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 117860 | 115509 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 91208 | 89236 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 86124 | 84183 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 76865 | 75260 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 76425 | 75062 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 68161 | 66622 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 60622 | 59262 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 51413 | 50651 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 37974 | 37051 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 33252 | 32593 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 26235 | 25691 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 22635 | 22266 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 22526 | 22103 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 13272 | 13009 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 3047 | 2979 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2040  | 826 | 809 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 1877913 | 1837834 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 495037 | 484390 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 397294 | 388573 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2041  | 19487 | 18990 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2042  | 34941 | 34189 |
| Fannie Mae Mortgage pass-thru certificates 4% 11/1/2045  | 632054 | 612059 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2038  | 477872 | 468893 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2039  | 240875 | 235949 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 465600 | 455867 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 97750 | 95750 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 83900 | 82251 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 34618 | 33883 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 15132 | 14900 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 13825 | 13572 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 11616 | 11413 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 10598 | 10310 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 9582 | 9382 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 7192 | 7053 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 4750 | 4645 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3970 | 3900 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3450 | 3383 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 3190 | 3125 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 1439 | 1410 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2040  | 635 | 622 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 374953 | 366547 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 207381 | 202920 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 38097 | 37268 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2041  | 25671 | 25115 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2042  | 65634 | 64297 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2043  | 64819 | 62985 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 622683 | 604640 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2044  | 91783 | 89109 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 489610 | 474192 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 234071 | 227124 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2045  | 13020 | 12634 |
| Fannie Mae Mortgage pass-thru certificates 4% 12/1/2047  | 461456 | 447183 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 2294365 | 2248534 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 141213 | 138357 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 39717 | 38901 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 33956 | 33127 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 16890 | 16523 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 12734 | 12490 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 11256 | 11033 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 9732 | 9527 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 7851 | 7692 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2041  | 1671 | 1637 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 1246174 | 1218317 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 241964 | 235894 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 113709 | 111388 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 53282 | 52476 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 40042 | 39250 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 35563 | 34699 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 10622 | 10360 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2042  | 4770 | 4654 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2046  | 12988 | 12607 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2047  | 307355 | 298810 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 523737 | 505411 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2048  | 19220 | 18608 |
| Fannie Mae Mortgage pass-thru certificates 4% 2/1/2049  | 2106674 | 2026375 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2036  | 31483 | 31111 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 965755 | 948688 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 340816 | 334604 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2039  | 108663 | 106704 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 134894 | 132559 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 55988 | 54638 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 55069 | 53920 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 30382 | 29752 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 23001 | 22532 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 20369 | 19882 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 11523 | 11332 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 7261 | 7120 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 6996 | 6854 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 3306 | 3235 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2041  | 1883 | 1846 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 1050269 | 1024580 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 136764 | 133839 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 106200 | 103629 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 100519 | 98112 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 86188 | 84264 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 53707 | 52538 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2042  | 33370 | 32626 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 2458253 | 2388568 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 828979 | 804034 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2045  | 150585 | 145942 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 1882470 | 1823671 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2046  | 122288 | 118659 |
| Fannie Mae Mortgage pass-thru certificates 4% 3/1/2048  | 628445 | 605670 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 910713 | 890814 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 313445 | 306640 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 295621 | 289189 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 179111 | 174827 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 133947 | 130699 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 58359 | 56859 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 57132 | 55700 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 47051 | 45917 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 33548 | 32950 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2042  | 19757 | 19282 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2044  | 418292 | 407068 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2045  | 141201 | 136868 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2046  | 109097 | 105791 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 2527742 | 2451142 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 605223 | 585937 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2048  | 577246 | 558851 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2049  | 111918 | 107652 |
| Fannie Mae Mortgage pass-thru certificates 4% 4/1/2052  | 2660655 | 2557578 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2039  | 223497 | 219102 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2047  | 2591248 | 2512724 |
| Fannie Mae Mortgage pass-thru certificates 4% 5/1/2048  | 1007526 | 975420 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 578182 | 567363 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 446381 | 438406 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2039  | 1240 | 1220 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2041  | 246080 | 241044 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 201957 | 196273 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2044  | 19647 | 19092 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2045  | 320673 | 311014 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2046  | 1994193 | 1935008 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 4701475 | 4504642 |
| Fannie Mae Mortgage pass-thru certificates 4% 6/1/2052  | 4526301 | 4336802 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 57189 | 56369 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 3984 | 3921 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2039  | 1038 | 1019 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2042  | 44634 | 43526 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2043  | 29737 | 28920 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2046  | 3131732 | 3047594 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 1701009 | 1649462 |
| Fannie Mae Mortgage pass-thru certificates 4% 7/1/2047  | 1434173 | 1390712 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 113612 | 111340 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 11226 | 11019 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2039  | 10162 | 9994 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 85443 | 83172 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 28860 | 28071 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2043  | 24086 | 23421 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 331799 | 321341 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 203580 | 197753 |
| Fannie Mae Mortgage pass-thru certificates 4% 8/1/2045  | 200787 | 194204 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2038  | 328124 | 323173 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 613644 | 604829 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2039  | 53980 | 53204 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 54531 | 53377 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2040  | 25994 | 25442 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 65256 | 63840 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 27828 | 27130 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 23637 | 23087 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 16815 | 16516 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2041  | 6619 | 6478 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2043  | 13981 | 13591 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2046  | 3760639 | 3659605 |
| Fannie Mae Mortgage pass-thru certificates 4% 9/1/2047  | 28869 | 28057 |
| Fannie Mae Mortgage pass-thru certificates 4.25% 11/1/2041  | 45529 | 45069 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2034  | 3907 | 3925 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2044  | 20459 | 20433 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 485781 | 482948 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 67185 | 66793 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2048  | 42951 | 42700 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 1/1/2049  | 32743 | 32500 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2039  | 27616 | 27643 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2043  | 3082 | 3074 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2044  | 1349556 | 1352649 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 196455 | 195309 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 10/1/2047  | 10662 | 10600 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2034  | 3215 | 3230 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 457290 | 458124 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 28682 | 28710 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2039  | 17390 | 17413 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 141069 | 141212 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2040  | 7953 | 7984 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 3679477 | 3682999 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2042  | 99332 | 99353 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 184615 | 185038 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2044  | 31377 | 31448 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2045  | 343255 | 343515 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 64298 | 63984 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 11/1/2047  | 20416 | 20297 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2033  | 51846 | 52086 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2038  | 16922 | 16999 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2039  | 276728 | 277296 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 56524 | 56568 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 56332 | 56429 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 10469 | 10491 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2040  | 8948 | 8957 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2041  | 310006 | 309988 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2043  | 11798 | 11774 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 22931 | 22998 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2044  | 5966 | 5994 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2046  | 199764 | 199035 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2047  | 28297 | 28132 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2048  | 905721 | 902985 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 12/1/2052  | 4981203 | 4911674 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2033  | 14363 | 14427 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 684158 | 684992 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 15349 | 15362 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 12195 | 12207 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2041  | 1192 | 1194 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2045  | 488072 | 486925 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2046  | 921145 | 921921 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 248826 | 247219 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2048  | 181463 | 180291 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 2/1/2049  | 87137 | 86438 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 2740458 | 2764723 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2039  | 106122 | 106614 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2041  | 1819 | 1827 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2044  | 22575 | 22606 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2045  | 189750 | 190066 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2046  | 151073 | 150994 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 150526 | 149789 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 36895 | 36714 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2047  | 27642 | 27610 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 280127 | 278318 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 3/1/2048  | 57257 | 56888 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 1884387 | 1893076 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 520849 | 523268 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 325726 | 327244 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 9160 | 9179 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2039  | 671 | 672 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 68801 | 68788 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 18030 | 18043 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2041  | 1995 | 1996 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 115650 | 116048 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2044  | 54906 | 54840 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2045  | 91346 | 91556 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 187064 | 186149 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 152123 | 151236 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 95437 | 94970 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 78884 | 78498 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 40387 | 40189 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2047  | 33666 | 33501 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 4/1/2048  | 193646 | 192395 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2034  | 318 | 319 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 4899116 | 4945556 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2039  | 3917 | 3925 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2040  | 9227 | 9241 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2041  | 109682 | 109763 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2041  | 10432 | 10436 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 131061 | 130420 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 52057 | 51997 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 5/1/2047  | 23744 | 23717 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 1394940 | 1407291 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2039  | 1789 | 1793 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 1693412 | 1694723 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2041  | 506911 | 509198 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2044  | 497117 | 495991 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2045  | 154897 | 155156 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2046  | 29782 | 29720 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 2642743 | 2632283 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 73822 | 73530 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 42185 | 41978 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 6/1/2047  | 24606 | 24578 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2026  | 561 | 560 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 5000 | 5021 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2033  | 2302 | 2309 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 362559 | 363265 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 51689 | 51801 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 14100 | 14129 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 8753 | 8770 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2039  | 1976 | 1981 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2040  | 10848 | 10851 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2041  | 16027 | 16027 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2045  | 76843 | 77019 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 2085117 | 2076863 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 7/1/2047  | 315482 | 313938 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 74255 | 74592 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 36857 | 37027 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 33303 | 33454 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 26194 | 26316 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 24550 | 24663 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 11239 | 11292 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 10913 | 10963 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 5844 | 5867 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 5664 | 5689 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2033  | 2906 | 2919 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2037  | 9691 | 9729 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 3731752 | 3764793 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 319435 | 319757 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 3441 | 3448 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 3340 | 3347 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2039  | 2143 | 2146 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2040  | 1452 | 1456 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 36180 | 36222 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2041  | 13923 | 13934 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2044  | 9493 | 9467 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 8/1/2047  | 16560 | 16464 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 80677 | 81048 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 37232 | 37404 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 37060 | 37233 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 29575 | 29711 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 14324 | 14391 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2033  | 12482 | 12540 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 189769 | 190615 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2035  | 92124 | 92550 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2039  | 4900 | 4923 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 19190 | 19243 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2040  | 5045 | 5046 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2041  | 30128 | 30126 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2042  | 781580 | 782474 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2043  | 48489 | 48641 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 340271 | 338286 |
| Fannie Mae Mortgage pass-thru certificates 4.5% 9/1/2047  | 75492 | 75051 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2029  | 3493 | 3532 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2035  | 7999 | 8150 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2041  | 660813 | 673883 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 17216743 | 17400683 |
| Fannie Mae Mortgage pass-thru certificates 5% 10/1/2052  | 11176665 | 11282103 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2040  | 15891429 | 16099123 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2044  | 2365685 | 2406801 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 9049212 | 9145892 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 5849012 | 5904191 |
| Fannie Mae Mortgage pass-thru certificates 5% 11/1/2052  | 5313996 | 5387376 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2043  | 7106 | 7244 |
| Fannie Mae Mortgage pass-thru certificates 5% 12/1/2052  | 6278055 | 6345128 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2035  | 1638815 | 1667318 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 617996 | 627522 |
| Fannie Mae Mortgage pass-thru certificates 5% 2/1/2038  | 285156 | 290327 |
| Fannie Mae Mortgage pass-thru certificates 5% 3/1/2044  | 27957 | 28476 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 119720 | 122088 |
| Fannie Mae Mortgage pass-thru certificates 5% 4/1/2041  | 32017 | 32649 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2044  | 30934 | 31525 |
| Fannie Mae Mortgage pass-thru certificates 5% 5/1/2052  | 2433061 | 2469700 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 4053692 | 4123736 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2039  | 599295 | 609652 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 57587 | 58726 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 47747 | 48690 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2041  | 34355 | 35008 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2044  | 22191 | 22610 |
| Fannie Mae Mortgage pass-thru certificates 5% 6/1/2052  | 950460 | 964178 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2033  | 61789 | 62776 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 1034388 | 1053223 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2035  | 17161 | 17487 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2039  | 10004 | 10198 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 2920587 | 2958758 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 45093 | 45984 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2040  | 12812 | 13065 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 23684 | 24151 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2041  | 18551 | 18918 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 47029 | 47911 |
| Fannie Mae Mortgage pass-thru certificates 5% 7/1/2044  | 22063 | 22498 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2041  | 9931 | 10128 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 68395 | 69654 |
| Fannie Mae Mortgage pass-thru certificates 5% 8/1/2044  | 18321 | 18665 |
| Fannie Mae Mortgage pass-thru certificates 5% 9/1/2040  | 13176 | 13426 |
| Fannie Mae Mortgage pass-thru certificates 5.31% 8/1/2041 (c) | 475814 | 481936 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 1/1/2055  | 2108451 | 2138524 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2048  | 1032999 | 1077754 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2048  | 305770 | 319018 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 10/1/2054  | 2774053 | 2814444 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 11/1/2048  | 1606143 | 1673722 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 2/1/2053  | 2721594 | 2790180 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 3/1/2049  | 973276 | 1012403 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 362372 | 376939 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 83977 | 87353 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2049  | 64378 | 66805 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 2124484 | 2163417 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 4/1/2054  | 459264 | 466245 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2048  | 402694 | 419795 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2049  | 362043 | 375693 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2053  | 6156387 | 6319227 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2055  | 2722994 | 2761833 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 5/1/2055  | 360521 | 365663 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 5700724 | 5872889 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2053  | 5379614 | 5526952 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2055  | 22027750 | 22341934 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 6/1/2055  | 193610 | 196372 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2054  | 8873866 | 9103039 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  | 2090778 | 2120599 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  | 481492 | 488360 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 7/1/2055  | 28606 | 29014 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2048  | 240344 | 250058 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2053  | 19531388 | 20115144 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 8/1/2054  | 7868680 | 8128450 |
| Fannie Mae Mortgage pass-thru certificates 5.5% 9/1/2054  | 267025 | 271382 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.313%, 5.563% 5/1/2034 (b)(c) | 24279 | 24541 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.42%, 5.998% 9/1/2033 (b)(c) | 61226 | 61760 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.505%, 6.005% 1/1/2035 (b)(c) | 4095 | 4164 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.51%, 6.01% 2/1/2033 (b)(c) | 69 | 69 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.244% 12/1/2034 (b)(c) | 11136 | 11317 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.535%, 6.285% 3/1/2035 (b)(c) | 9392 | 9558 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.55%, 6.187% 10/1/2033 (b)(c) | 1448 | 1471 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.565%, 6.206% 7/1/2035 (b)(c) | 2068 | 2107 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 1.96%, 6.585% 9/1/2035 (b)(c) | 3797 | 3907 |
| Fannie Mae Mortgage pass-thru certificates 6 month FTSE USD IBOR Consumer Fallbacks + 2.5%, 7.25% 3/1/2036 (b)(c) | 39992 | 41461 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 7674 | 8064 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2036  | 1354 | 1421 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2037  | 1119100 | 1177870 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2038  | 354051 | 373513 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2040  | 352350 | 372313 |
| Fannie Mae Mortgage pass-thru certificates 6% 1/1/2042  | 31179 | 32963 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 181865 | 190220 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2034  | 56616 | 59343 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 9580 | 9835 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 8405 | 8843 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 7651 | 8048 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 5398 | 5685 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 1711 | 1794 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 1300 | 1359 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 850 | 895 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 647 | 680 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2035  | 305 | 321 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2037  | 349203 | 367855 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2038  | 98357 | 103810 |
| Fannie Mae Mortgage pass-thru certificates 6% 10/1/2054  | 12049923 | 12587640 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 533604 | 557939 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 44805 | 46951 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 43800 | 45466 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 19333 | 20245 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 3712 | 3910 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 1816 | 1913 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 778 | 818 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2035  | 682 | 719 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2037  | 22538 | 23848 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2038  | 1137 | 1201 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2038  | 997 | 1055 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 7611885 | 7939665 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 2891446 | 3020474 |
| Fannie Mae Mortgage pass-thru certificates 6% 11/1/2054  | 1096387 | 1147026 |
| Fannie Mae Mortgage pass-thru certificates 6% 12/1/2038  | 57312 | 60546 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2038  | 1069 | 1129 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2038  | 665 | 701 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 11791772 | 12288490 |
| Fannie Mae Mortgage pass-thru certificates 6% 2/1/2055  | 1797261 | 1883219 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2035  | 612 | 639 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2036  | 150072 | 156758 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2037  | 46993 | 49424 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 127999 | 135275 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2038  | 35115 | 36807 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2039  | 4062 | 4294 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2054  | 7156305 | 7377809 |
| Fannie Mae Mortgage pass-thru certificates 6% 3/1/2055  | 14773537 | 15424715 |
| Fannie Mae Mortgage pass-thru certificates 6% 4/1/2040  | 47348 | 50003 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2032  | 2372 | 2471 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 2663 | 2798 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2036  | 718 | 757 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2037  | 8941 | 9415 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2040  | 461851 | 487573 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2054  | 21799049 | 22466967 |
| Fannie Mae Mortgage pass-thru certificates 6% 5/1/2055  | 9161887 | 9551403 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 43754 | 45778 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 6060 | 6376 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 3457 | 3625 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 172 | 180 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2035  | 91 | 94 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2036  | 156934 | 164976 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2053  | 11855649 | 12366172 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2054  | 23159607 | 23869212 |
| Fannie Mae Mortgage pass-thru certificates 6% 6/1/2055  | 5258698 | 5501990 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 58265 | 61183 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 11391 | 11941 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 8457 | 8876 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 1140 | 1196 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 673 | 706 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2035  | 452 | 474 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2036  | 258 | 265 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2038  | 56356 | 59552 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2041  | 325861 | 344190 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2053  | 2082877 | 2172569 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 16691555 | 17405104 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2054  | 11775455 | 12136253 |
| Fannie Mae Mortgage pass-thru certificates 6% 7/1/2055  | 18881274 | 19489294 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 15028 | 15742 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 5815 | 6099 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 4025 | 4221 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 3623 | 3806 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 300 | 315 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2035  | 176 | 185 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2037  | 755565 | 788342 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2038  | 181 | 192 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2054  | 25430872 | 26210069 |
| Fannie Mae Mortgage pass-thru certificates 6% 8/1/2055  | 5469680 | 5699863 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2029  | 7452 | 7650 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 78353 | 82283 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 9611 | 10074 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 2816 | 2965 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 1498 | 1575 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 1220 | 1279 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2035  | 161 | 168 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2037  | 25996 | 27455 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2038  | 29796 | 31472 |
| Fannie Mae Mortgage pass-thru certificates 6% 9/1/2054  | 29334993 | 30233811 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2036  | 600 | 638 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2036  | 493 | 520 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 1/1/2055  | 2627401 | 2781777 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 10/1/2035  | 10550 | 11225 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2032  | 3152 | 3296 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2035  | 30738 | 32227 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2036  | 1536 | 1636 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 12/1/2053  | 2284861 | 2412042 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2036  | 563 | 597 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2037  | 3258 | 3469 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 2/1/2054  | 11240721 | 11852002 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2054  | 4302524 | 4490114 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 3/1/2055  | 4756429 | 5034412 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 4/1/2037  | 1128 | 1205 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2035  | 1745 | 1834 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 5/1/2053  | 10851180 | 11458233 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 6839211 | 7129918 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2054  | 4812873 | 5082122 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 6/1/2055  | 3451030 | 3658383 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 9522 | 9955 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2032  | 2276 | 2378 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 3740 | 3928 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2035  | 741 | 788 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 25127025 | 26532719 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 7546983 | 7867775 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2054  | 3195566 | 3364351 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 7/1/2055  | 4396788 | 4659591 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 6141 | 6533 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2035  | 1324 | 1409 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 28396 | 29758 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 22256 | 23323 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2036  | 5048 | 5297 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2054  | 4399504 | 4644391 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 6314768 | 6696652 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 8/1/2055  | 4851702 | 5146624 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2035  | 559 | 595 |
| Fannie Mae Mortgage pass-thru certificates 6.5% 9/1/2053  | 7507263 | 7915515 |
| Fannie Mae Mortgage pass-thru certificates 6.793% 2/1/2039 (c) | 137240 | 143049 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2027  | 683 | 687 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 164 | 173 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2028  | 29 | 31 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2029  | 124 | 130 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 1634 | 1718 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 272 | 288 |
| Fannie Mae Mortgage pass-thru certificates 7% 1/1/2032  | 168 | 178 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2026  | 491 | 492 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2027  | 16 | 17 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 10554 | 11093 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 4383 | 4606 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 688 | 723 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 63 | 66 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2028  | 39 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 6183 | 6498 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 607 | 638 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 201 | 212 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2029  | 162 | 170 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2031  | 248 | 262 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 455 | 485 |
| Fannie Mae Mortgage pass-thru certificates 7% 10/1/2032  | 351 | 369 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 596 | 626 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 277 | 291 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2027  | 159 | 167 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 158 | 166 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 103 | 108 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2028  | 102 | 107 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2029  | 1374 | 1444 |
| Fannie Mae Mortgage pass-thru certificates 7% 11/1/2031  | 9169 | 9658 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 335 | 337 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2026  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 1370 | 1440 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2031  | 627 | 662 |
| Fannie Mae Mortgage pass-thru certificates 7% 12/1/2032  | 292 | 309 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2027  | 29 | 30 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 3599 | 3783 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 622 | 654 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2028  | 258 | 271 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2029  | 4943 | 5195 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 664 | 698 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2030  | 40 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2031  | 456 | 457 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2032  | 339 | 356 |
| Fannie Mae Mortgage pass-thru certificates 7% 2/1/2033  | 2138 | 2277 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 154 | 153 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2026  | 6 | 6 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2027  | 54 | 57 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2028  | 31 | 33 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2029  | 199 | 209 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 8998 | 9491 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 533 | 563 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 261 | 275 |
| Fannie Mae Mortgage pass-thru certificates 7% 3/1/2032  | 102 | 108 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 27 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2026  | 3 | 3 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2028  | 79 | 83 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2031  | 258 | 272 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 710 | 753 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 482 | 512 |
| Fannie Mae Mortgage pass-thru certificates 7% 4/1/2032  | 43 | 45 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 43 | 43 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 32 | 32 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 22 | 22 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2026  | 9 | 9 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2027  | 18 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 5740 | 6033 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2029  | 164 | 173 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2030  | 12482 | 13119 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 392 | 412 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 359 | 380 |
| Fannie Mae Mortgage pass-thru certificates 7% 5/1/2032  | 78 | 82 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 2353 | 2473 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2028  | 12 | 12 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2029  | 1543 | 1622 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 8059 | 8550 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 3351 | 3522 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 1662 | 1747 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 1355 | 1439 |
| Fannie Mae Mortgage pass-thru certificates 7% 6/1/2032  | 399 | 423 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2026  | 27 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2027  | 5 | 5 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 2481 | 2608 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2028  | 36 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 604 | 635 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 185 | 195 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2029  | 15 | 15 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 454 | 478 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2031  | 170 | 179 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 1057 | 1117 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 1048 | 1113 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 240 | 253 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2032  | 115 | 122 |
| Fannie Mae Mortgage pass-thru certificates 7% 7/1/2037  | 3953 | 4262 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 701 | 703 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2026  | 46 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2027  | 1053 | 1107 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2028  | 261 | 274 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 289 | 304 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 269 | 271 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2029  | 96 | 101 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 811 | 852 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2031  | 99 | 105 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 13545 | 14378 |
| Fannie Mae Mortgage pass-thru certificates 7% 8/1/2032  | 3409 | 3617 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 997 | 1001 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2026  | 27 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 488 | 513 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2027  | 13 | 13 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 689 | 724 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 535 | 563 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2028  | 379 | 398 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2029  | 2898 | 3046 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2029  | 100 | 106 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2030  | 2199 | 2311 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 3618 | 3803 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 312 | 328 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 151 | 159 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2031  | 92 | 97 |
| Fannie Mae Mortgage pass-thru certificates 7% 9/1/2032  | 2768 | 2941 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2026  | 2 | 1 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 637 | 641 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2027  | 10 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 953 | 967 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 919 | 938 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 794 | 810 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 320 | 327 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 287 | 293 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 162 | 166 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 96 | 98 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 81 | 83 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 28 | 28 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 26 | 27 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2028  | 24 | 24 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 1/1/2030  | 469 | 489 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2026  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 303 | 309 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 68 | 70 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 65 | 67 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2027  | 8 | 8 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2028  | 37 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 9220 | 9527 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 2601 | 2723 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 10/1/2029  | 328 | 341 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2026  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 940 | 956 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 529 | 540 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 258 | 262 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 226 | 229 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 180 | 180 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 45 | 46 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 44 | 45 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2027  | 40 | 40 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2028  | 230 | 234 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 168 | 174 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2029  | 55 | 57 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 11/1/2031  | 18980 | 19937 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 855 | 875 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 286 | 293 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 211 | 215 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2027  | 28 | 28 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2028  | 414 | 423 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2029  | 216 | 224 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 12/1/2030  | 1210 | 1280 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 301 | 304 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2027  | 245 | 249 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 149 | 153 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 51 | 52 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2028  | 20 | 20 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 2531 | 2647 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 1082 | 1126 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2030  | 57 | 60 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 2/1/2031  | 516 | 545 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 1165 | 1182 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 237 | 244 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2028  | 22 | 21 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 3/1/2029  | 346 | 351 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2026  | 10 | 10 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2028  | 382 | 390 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 4/1/2029  | 19 | 19 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 939 | 954 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 70 | 70 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 66 | 67 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2027  | 39 | 39 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028  | 630 | 643 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2028  | 92 | 94 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 5/1/2029  | 586 | 608 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 179 | 180 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2026  | 18 | 18 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 367 | 372 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2027  | 56 | 56 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2028  | 1235 | 1271 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 6/1/2029  | 2835 | 2952 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 157 | 159 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 151 | 153 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2027  | 42 | 42 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2028  | 2911 | 2959 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 1669 | 1728 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 7/1/2029  | 167 | 172 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 123 | 124 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 32 | 33 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 21 | 22 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 7 | 7 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2027  | 4 | 4 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 118 | 122 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2028  | 10 | 11 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 5414 | 5637 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 3386 | 3528 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 2502 | 2615 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 2313 | 2404 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 1714 | 1790 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 1358 | 1414 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 1209 | 1263 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 801 | 831 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 309 | 315 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 162 | 167 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 148 | 149 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 51 | 52 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2029  | 36 | 38 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 12482 | 12763 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 8/1/2030  | 296 | 312 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2026  | 114 | 115 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 631 | 644 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 67 | 68 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2027  | 25 | 25 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 895 | 932 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 707 | 738 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 454 | 471 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 71 | 74 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 60 | 63 |
| Fannie Mae Mortgage pass-thru certificates 7.5% 9/1/2029  | 26 | 27 |
| Fannie Mae Mortgage pass-thru certificates 8% 3/1/2037  | 7926 | 8554 |
| Freddie Mac Gold Pool 1.5% 1/1/2036  | 7346166 | 6659730 |
| Freddie Mac Gold Pool 1.5% 1/1/2051  | 1201658 | 938247 |
| Freddie Mac Gold Pool 1.5% 10/1/2035  | 9916836 | 9014985 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 8591332 | 7788546 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 8252367 | 7481254 |
| Freddie Mac Gold Pool 1.5% 11/1/2035  | 84249 | 76376 |
| Freddie Mac Gold Pool 1.5% 11/1/2050  | 706001 | 553227 |
| Freddie Mac Gold Pool 1.5% 12/1/2035  | 16005012 | 14509481 |
| Freddie Mac Gold Pool 1.5% 12/1/2040  | 939711 | 800171 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 473621 | 371133 |
| Freddie Mac Gold Pool 1.5% 12/1/2050  | 126330 | 99111 |
| Freddie Mac Gold Pool 1.5% 2/1/2041  | 1625795 | 1381013 |
| Freddie Mac Gold Pool 1.5% 2/1/2051  | 31513046 | 24427933 |
| Freddie Mac Gold Pool 1.5% 3/1/2036  | 39835 | 36113 |
| Freddie Mac Gold Pool 1.5% 3/1/2041  | 1645006 | 1397407 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 9185840 | 7120577 |
| Freddie Mac Gold Pool 1.5% 3/1/2051  | 179908 | 141145 |
| Freddie Mac Gold Pool 1.5% 4/1/2041  | 1684072 | 1428388 |
| Freddie Mac Gold Pool 1.5% 5/1/2036  | 69863 | 63313 |
| Freddie Mac Gold Pool 1.5% 6/1/2051  | 442374 | 347062 |
| Freddie Mac Gold Pool 1.5% 7/1/2035  | 10183464 | 9289189 |
| Freddie Mac Gold Pool 1.5% 8/1/2035  | 6946281 | 6314577 |
| Freddie Mac Gold Pool 2% 10/1/2041  | 8915081 | 7801592 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 28354387 | 23297203 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 3755922 | 3093072 |
| Freddie Mac Gold Pool 2% 10/1/2051  | 1364093 | 1121651 |
| Freddie Mac Gold Pool 2% 11/1/2041  | 5497265 | 4808522 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 17824596 | 14556344 |
| Freddie Mac Gold Pool 2% 11/1/2050  | 18444 | 15085 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 24739324 | 20326909 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 15695289 | 12851792 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1851858 | 1522725 |
| Freddie Mac Gold Pool 2% 11/1/2051  | 1166950 | 959547 |
| Freddie Mac Gold Pool 2% 2/1/2041  | 2903256 | 2556205 |
| Freddie Mac Gold Pool 2% 2/1/2042  | 1035044 | 903730 |
| Freddie Mac Gold Pool 2% 2/1/2051  | 3659927 | 2985425 |
| Freddie Mac Gold Pool 2% 2/1/2052  | 37421373 | 30735341 |
| Freddie Mac Gold Pool 2% 3/1/2041  | 1808187 | 1598618 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 6110442 | 4984325 |
| Freddie Mac Gold Pool 2% 3/1/2051  | 364573 | 297726 |
| Freddie Mac Gold Pool 2% 5/1/2041  | 2725607 | 2394402 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 80307391 | 66310311 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 6126549 | 4993635 |
| Freddie Mac Gold Pool 2% 5/1/2051  | 547869 | 448099 |
| Freddie Mac Gold Pool 2% 6/1/2035  | 34449211 | 32169653 |
| Freddie Mac Gold Pool 2% 6/1/2041  | 4558002 | 4001330 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 90937897 | 74292280 |
| Freddie Mac Gold Pool 2% 6/1/2050  | 19628503 | 16182841 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 21624820 | 19003561 |
| Freddie Mac Gold Pool 2% 7/1/2041  | 16728 | 14674 |
| Freddie Mac Gold Pool 2% 8/1/2051  | 1222711 | 998520 |
| Freddie Mac Gold Pool 2% 9/1/2050  | 50147908 | 40952974 |
| Freddie Mac Gold Pool 2.5% 1/1/2031  | 51446 | 50065 |
| Freddie Mac Gold Pool 2.5% 1/1/2033  | 48868 | 47112 |
| Freddie Mac Gold Pool 2.5% 1/1/2042  | 9104134 | 8156136 |
| Freddie Mac Gold Pool 2.5% 1/1/2052  | 5371852 | 4615539 |
| Freddie Mac Gold Pool 2.5% 10/1/2029  | 340366 | 333544 |
| Freddie Mac Gold Pool 2.5% 10/1/2031  | 283477 | 275222 |
| Freddie Mac Gold Pool 2.5% 10/1/2041  | 4428573 | 3974882 |
| Freddie Mac Gold Pool 2.5% 10/1/2050  | 36306650 | 31410542 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 1649756 | 1597831 |
| Freddie Mac Gold Pool 2.5% 11/1/2031  | 261732 | 253489 |
| Freddie Mac Gold Pool 2.5% 11/1/2032  | 57944 | 55849 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 6167581 | 5559173 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 1762686 | 1585664 |
| Freddie Mac Gold Pool 2.5% 11/1/2041  | 816943 | 736550 |
| Freddie Mac Gold Pool 2.5% 11/1/2050  | 76938522 | 66346642 |
| Freddie Mac Gold Pool 2.5% 11/1/2051  | 2334587 | 2013921 |
| Freddie Mac Gold Pool 2.5% 12/1/2031  | 1877815 | 1818749 |
| Freddie Mac Gold Pool 2.5% 12/1/2031  | 33161 | 32104 |
| Freddie Mac Gold Pool 2.5% 12/1/2032  | 21297 | 20518 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 12762242 | 10925541 |
| Freddie Mac Gold Pool 2.5% 12/1/2051  | 1297048 | 1118893 |
| Freddie Mac Gold Pool 2.5% 2/1/2032  | 27026 | 26153 |
| Freddie Mac Gold Pool 2.5% 2/1/2033  | 23719 | 22842 |
| Freddie Mac Gold Pool 2.5% 2/1/2042  | 1155647 | 1040513 |
| Freddie Mac Gold Pool 2.5% 2/1/2051  | 25789075 | 22287130 |
| Freddie Mac Gold Pool 2.5% 3/1/2050  | 2795212 | 2390314 |
| Freddie Mac Gold Pool 2.5% 3/1/2051  | 5057271 | 4326284 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 370233 | 356541 |
| Freddie Mac Gold Pool 2.5% 4/1/2033  | 172938 | 166320 |
| Freddie Mac Gold Pool 2.5% 4/1/2042  | 1141719 | 1024066 |
| Freddie Mac Gold Pool 2.5% 4/1/2052  | 2572789 | 2217798 |
| Freddie Mac Gold Pool 2.5% 5/1/2030  | 22138 | 21620 |
| Freddie Mac Gold Pool 2.5% 5/1/2034  | 332108 | 318207 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 3425978 | 3088835 |
| Freddie Mac Gold Pool 2.5% 5/1/2041  | 2462956 | 2232039 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 22059171 | 19001675 |
| Freddie Mac Gold Pool 2.5% 5/1/2051  | 2437458 | 2104186 |
| Freddie Mac Gold Pool 2.5% 6/1/2030  | 24931 | 24328 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 450295 | 437368 |
| Freddie Mac Gold Pool 2.5% 6/1/2031  | 183844 | 178950 |
| Freddie Mac Gold Pool 2.5% 6/1/2041  | 1360874 | 1227908 |
| Freddie Mac Gold Pool 2.5% 7/1/2031  | 770576 | 748465 |
| Freddie Mac Gold Pool 2.5% 7/1/2032  | 2148157 | 2075409 |
| Freddie Mac Gold Pool 2.5% 7/1/2033  | 633538 | 609290 |
| Freddie Mac Gold Pool 2.5% 8/1/2031  | 1282089 | 1244744 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 7121752 | 6398828 |
| Freddie Mac Gold Pool 2.5% 8/1/2041  | 669261 | 604176 |
| Freddie Mac Gold Pool 2.5% 8/1/2050  | 6874659 | 5941137 |
| Freddie Mac Gold Pool 2.5% 9/1/2032  | 294619 | 284327 |
| Freddie Mac Gold Pool 2.5% 9/1/2032  | 200811 | 195718 |
| Freddie Mac Gold Pool 2.5% 9/1/2041  | 1461412 | 1318006 |
| Freddie Mac Gold Pool 3% 1/1/2033  | 496017 | 483536 |
| Freddie Mac Gold Pool 3% 1/1/2034  | 138779 | 135200 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 144878 | 133541 |
| Freddie Mac Gold Pool 3% 1/1/2043  | 121271 | 112449 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 4615033 | 4112042 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 1482149 | 1320610 |
| Freddie Mac Gold Pool 3% 1/1/2052  | 229617 | 204591 |
| Freddie Mac Gold Pool 3% 10/1/2042  | 48387 | 44721 |
| Freddie Mac Gold Pool 3% 10/1/2045  | 12034 | 10954 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 4307474 | 3860886 |
| Freddie Mac Gold Pool 3% 10/1/2049  | 123805 | 110970 |
| Freddie Mac Gold Pool 3% 10/1/2051  | 13732280 | 12304263 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 121705 | 112869 |
| Freddie Mac Gold Pool 3% 11/1/2042  | 49163 | 45777 |
| Freddie Mac Gold Pool 3% 11/1/2045  | 724996 | 659302 |
| Freddie Mac Gold Pool 3% 11/1/2045  | 242764 | 220919 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 8657794 | 7814289 |
| Freddie Mac Gold Pool 3% 11/1/2049  | 255784 | 229265 |
| Freddie Mac Gold Pool 3% 11/1/2050  | 943116 | 842979 |
| Freddie Mac Gold Pool 3% 11/1/2051  | 2152237 | 1917665 |
| Freddie Mac Gold Pool 3% 12/1/2030  | 341968 | 335821 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 462370 | 452957 |
| Freddie Mac Gold Pool 3% 12/1/2032  | 86402 | 84446 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 2109240 | 1957795 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 187568 | 174057 |
| Freddie Mac Gold Pool 3% 12/1/2042  | 69517 | 64495 |
| Freddie Mac Gold Pool 3% 12/1/2045  | 482105 | 439424 |
| Freddie Mac Gold Pool 3% 12/1/2046  | 4659043 | 4248032 |
| Freddie Mac Gold Pool 3% 12/1/2049  | 440636 | 394952 |
| Freddie Mac Gold Pool 3% 12/1/2049  | 5603 | 5022 |
| Freddie Mac Gold Pool 3% 12/1/2050  | 7714369 | 6895278 |
| Freddie Mac Gold Pool 3% 2/1/2033  | 329102 | 323455 |
| Freddie Mac Gold Pool 3% 2/1/2034  | 18040 | 17538 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 609608 | 580566 |
| Freddie Mac Gold Pool 3% 2/1/2037  | 32182 | 30649 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 668570 | 621279 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 144767 | 134850 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 112518 | 104131 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 105092 | 97367 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 70435 | 65372 |
| Freddie Mac Gold Pool 3% 2/1/2043  | 70146 | 64856 |
| Freddie Mac Gold Pool 3% 2/1/2050  | 9758873 | 8789794 |
| Freddie Mac Gold Pool 3% 2/1/2052  | 765613 | 681690 |
| Freddie Mac Gold Pool 3% 3/1/2033  | 106910 | 104342 |
| Freddie Mac Gold Pool 3% 3/1/2043  | 74771 | 69361 |
| Freddie Mac Gold Pool 3% 3/1/2045  | 26980 | 24570 |
| Freddie Mac Gold Pool 3% 3/1/2050  | 7839293 | 7026536 |
| Freddie Mac Gold Pool 3% 3/1/2051  | 35870 | 32095 |
| Freddie Mac Gold Pool 3% 3/1/2052  | 2306270 | 2053468 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 51927 | 50944 |
| Freddie Mac Gold Pool 3% 4/1/2032  | 18078 | 17741 |
| Freddie Mac Gold Pool 3% 4/1/2034  | 1097471 | 1068829 |
| Freddie Mac Gold Pool 3% 4/1/2043  | 30457 | 28269 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 172714 | 158334 |
| Freddie Mac Gold Pool 3% 4/1/2045  | 14086 | 12820 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 263391 | 240484 |
| Freddie Mac Gold Pool 3% 4/1/2046  | 240391 | 219484 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 14083053 | 12680173 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 7841037 | 7028100 |
| Freddie Mac Gold Pool 3% 4/1/2050  | 8739 | 7825 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 99311 | 90687 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 98588 | 90059 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 56641 | 51812 |
| Freddie Mac Gold Pool 3% 5/1/2045  | 33502 | 30604 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 4285963 | 3913222 |
| Freddie Mac Gold Pool 3% 5/1/2046  | 674432 | 615778 |
| Freddie Mac Gold Pool 3% 5/1/2051  | 2048115 | 1830651 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 401758 | 394643 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 151952 | 149303 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 89795 | 88120 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 50799 | 49955 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 47107 | 46202 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 36346 | 35638 |
| Freddie Mac Gold Pool 3% 6/1/2031  | 32182 | 31647 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 685794 | 627484 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 247068 | 226788 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 94021 | 86357 |
| Freddie Mac Gold Pool 3% 6/1/2045  | 30605 | 28113 |
| Freddie Mac Gold Pool 3% 6/1/2046  | 4277770 | 3904405 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 14419075 | 13000746 |
| Freddie Mac Gold Pool 3% 6/1/2050  | 26498 | 23742 |
| Freddie Mac Gold Pool 3% 6/1/2052  | 7575724 | 6745313 |
| Freddie Mac Gold Pool 3% 7/1/2032  | 91215 | 89290 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 3093411 | 2865118 |
| Freddie Mac Gold Pool 3% 7/1/2043  | 766821 | 709607 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 208904 | 191104 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 168667 | 153844 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 73135 | 68314 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 73770 | 67214 |
| Freddie Mac Gold Pool 3% 7/1/2045  | 28754 | 26413 |
| Freddie Mac Gold Pool 3% 7/1/2051  | 650933 | 580802 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 114367 | 111987 |
| Freddie Mac Gold Pool 3% 8/1/2032  | 75110 | 73485 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 27353 | 25428 |
| Freddie Mac Gold Pool 3% 8/1/2042  | 21023 | 19474 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 177591 | 162195 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 121344 | 111058 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 106555 | 97910 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 86793 | 79752 |
| Freddie Mac Gold Pool 3% 8/1/2045  | 39200 | 36010 |
| Freddie Mac Gold Pool 3% 9/1/2049  | 62369 | 56390 |
| Freddie Mac Gold Pool 3% 9/1/2051  | 1925555 | 1719299 |
| Freddie Mac Gold Pool 3.5% 1/1/2043  | 17769 | 16902 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 3457923 | 3309021 |
| Freddie Mac Gold Pool 3.5% 1/1/2044  | 1741351 | 1665425 |
| Freddie Mac Gold Pool 3.5% 1/1/2045  | 226065 | 216154 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 534055 | 503704 |
| Freddie Mac Gold Pool 3.5% 1/1/2046  | 140582 | 132962 |
| Freddie Mac Gold Pool 3.5% 1/1/2048  | 24441 | 23108 |
| Freddie Mac Gold Pool 3.5% 1/1/2052  | 417380 | 388107 |
| Freddie Mac Gold Pool 3.5% 10/1/2034  | 2458878 | 2414657 |
| Freddie Mac Gold Pool 3.5% 10/1/2040  | 202399 | 193989 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 398421 | 381061 |
| Freddie Mac Gold Pool 3.5% 10/1/2042  | 54534 | 52081 |
| Freddie Mac Gold Pool 3.5% 10/1/2047  | 109583 | 103644 |
| Freddie Mac Gold Pool 3.5% 10/1/2050  | 334952 | 312507 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 8436389 | 7855253 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 2776336 | 2594634 |
| Freddie Mac Gold Pool 3.5% 10/1/2051  | 1018009 | 940885 |
| Freddie Mac Gold Pool 3.5% 11/1/2033  | 4736795 | 4663312 |
| Freddie Mac Gold Pool 3.5% 11/1/2040  | 422275 | 405735 |
| Freddie Mac Gold Pool 3.5% 11/1/2045  | 54531 | 51644 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 727406 | 687983 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 592262 | 557863 |
| Freddie Mac Gold Pool 3.5% 11/1/2047  | 217107 | 203616 |
| Freddie Mac Gold Pool 3.5% 12/1/2029  | 11034 | 10980 |
| Freddie Mac Gold Pool 3.5% 12/1/2033  | 581812 | 573825 |
| Freddie Mac Gold Pool 3.5% 12/1/2040  | 407125 | 386532 |
| Freddie Mac Gold Pool 3.5% 12/1/2046  | 455375 | 428926 |
| Freddie Mac Gold Pool 3.5% 12/1/2047  | 166967 | 157866 |
| Freddie Mac Gold Pool 3.5% 12/1/2051  | 1415677 | 1316389 |
| Freddie Mac Gold Pool 3.5% 2/1/2030  | 25202 | 25063 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 6802999 | 6711265 |
| Freddie Mac Gold Pool 3.5% 2/1/2034  | 3637739 | 3565248 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 4663305 | 4455333 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 697427 | 668042 |
| Freddie Mac Gold Pool 3.5% 2/1/2043  | 255137 | 245159 |
| Freddie Mac Gold Pool 3.5% 2/1/2045  | 37232 | 35533 |
| Freddie Mac Gold Pool 3.5% 2/1/2046  | 7221 | 6810 |
| Freddie Mac Gold Pool 3.5% 2/1/2051  | 513777 | 478868 |
| Freddie Mac Gold Pool 3.5% 2/1/2052  | 3556213 | 3320135 |
| Freddie Mac Gold Pool 3.5% 3/1/2032  | 3552702 | 3516099 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 1160809 | 1100211 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 317612 | 301604 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 251343 | 238572 |
| Freddie Mac Gold Pool 3.5% 3/1/2045  | 102757 | 98286 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 2467723 | 2339678 |
| Freddie Mac Gold Pool 3.5% 3/1/2046  | 21341 | 20128 |
| Freddie Mac Gold Pool 3.5% 3/1/2050  | 8748 | 8157 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 14982149 | 13978205 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 8238779 | 7681811 |
| Freddie Mac Gold Pool 3.5% 3/1/2052  | 7742964 | 7204755 |
| Freddie Mac Gold Pool 3.5% 4/1/2040  | 500560 | 481273 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 5687301 | 5461931 |
| Freddie Mac Gold Pool 3.5% 4/1/2042  | 143743 | 137785 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 935714 | 893397 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 401705 | 383675 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 320435 | 306355 |
| Freddie Mac Gold Pool 3.5% 4/1/2043  | 27947 | 26633 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 1554925 | 1466556 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 1536542 | 1449218 |
| Freddie Mac Gold Pool 3.5% 4/1/2046  | 71908 | 67821 |
| Freddie Mac Gold Pool 3.5% 4/1/2047  | 5089204 | 4746590 |
| Freddie Mac Gold Pool 3.5% 4/1/2050  | 17442 | 16284 |
| Freddie Mac Gold Pool 3.5% 4/1/2052  | 5349611 | 5021228 |
| Freddie Mac Gold Pool 3.5% 5/1/2030  | 56514 | 56183 |
| Freddie Mac Gold Pool 3.5% 5/1/2030  | 25677 | 25527 |
| Freddie Mac Gold Pool 3.5% 5/1/2030  | 13246 | 13170 |
| Freddie Mac Gold Pool 3.5% 5/1/2034  | 680462 | 670326 |
| Freddie Mac Gold Pool 3.5% 5/1/2038  | 495203 | 483376 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 955448 | 919221 |
| Freddie Mac Gold Pool 3.5% 5/1/2040  | 137654 | 132393 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 3402233 | 3218985 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 150871 | 142805 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 76097 | 72120 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 34265 | 32795 |
| Freddie Mac Gold Pool 3.5% 5/1/2045  | 31680 | 29870 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 11912085 | 11272327 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 26867 | 25340 |
| Freddie Mac Gold Pool 3.5% 5/1/2046  | 7105 | 6701 |
| Freddie Mac Gold Pool 3.5% 5/1/2047  | 3444519 | 3207245 |
| Freddie Mac Gold Pool 3.5% 6/1/2030  | 27814 | 27651 |
| Freddie Mac Gold Pool 3.5% 6/1/2030  | 15574 | 15465 |
| Freddie Mac Gold Pool 3.5% 6/1/2032  | 5927579 | 5862640 |
| Freddie Mac Gold Pool 3.5% 6/1/2040  | 846927 | 815949 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 4472114 | 4241833 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 4144255 | 3923937 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 674015 | 639909 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 242300 | 230075 |
| Freddie Mac Gold Pool 3.5% 6/1/2045  | 49220 | 46725 |
| Freddie Mac Gold Pool 3.5% 6/1/2050  | 7034809 | 6567807 |
| Freddie Mac Gold Pool 3.5% 6/1/2051  | 553445 | 515494 |
| Freddie Mac Gold Pool 3.5% 6/1/2052  | 212599 | 196493 |
| Freddie Mac Gold Pool 3.5% 7/1/2032  | 770149 | 761845 |
| Freddie Mac Gold Pool 3.5% 7/1/2040  | 80537 | 77347 |
| Freddie Mac Gold Pool 3.5% 7/1/2042  | 2917431 | 2788380 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 145613 | 137156 |
| Freddie Mac Gold Pool 3.5% 7/1/2046  | 37511 | 35332 |
| Freddie Mac Gold Pool 3.5% 7/1/2047  | 1769825 | 1674459 |
| Freddie Mac Gold Pool 3.5% 7/1/2051  | 21812174 | 20316472 |
| Freddie Mac Gold Pool 3.5% 8/1/2034  | 1153264 | 1135659 |
| Freddie Mac Gold Pool 3.5% 8/1/2040  | 547395 | 526409 |
| Freddie Mac Gold Pool 3.5% 8/1/2042  | 185701 | 177600 |
| Freddie Mac Gold Pool 3.5% 8/1/2045  | 4590 | 4336 |
| Freddie Mac Gold Pool 3.5% 8/1/2046  | 14168 | 13434 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 2750762 | 2602539 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 320875 | 303484 |
| Freddie Mac Gold Pool 3.5% 8/1/2047  | 204466 | 193448 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 3863235 | 3611606 |
| Freddie Mac Gold Pool 3.5% 8/1/2051  | 674209 | 627978 |
| Freddie Mac Gold Pool 3.5% 9/1/2040  | 438931 | 422558 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 6512550 | 6220973 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 3632531 | 3468273 |
| Freddie Mac Gold Pool 3.5% 9/1/2042  | 21758 | 20776 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 10304750 | 9751350 |
| Freddie Mac Gold Pool 3.5% 9/1/2046  | 1250875 | 1178222 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 54662 | 51700 |
| Freddie Mac Gold Pool 3.5% 9/1/2047  | 51542 | 48749 |
| Freddie Mac Gold Pool 3.5% 9/1/2051  | 2785519 | 2593640 |
| Freddie Mac Gold Pool 4% 1/1/2036  | 3945483 | 3930068 |
| Freddie Mac Gold Pool 4% 1/1/2039  | 116952 | 115508 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 1389962 | 1363860 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 66503 | 65422 |
| Freddie Mac Gold Pool 4% 1/1/2041  | 16704 | 16359 |
| Freddie Mac Gold Pool 4% 1/1/2042  | 473924 | 464013 |
| Freddie Mac Gold Pool 4% 1/1/2043  | 35613 | 34694 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 107084 | 104096 |
| Freddie Mac Gold Pool 4% 1/1/2044  | 82270 | 80109 |
| Freddie Mac Gold Pool 4% 1/1/2049  | 2425634 | 2333178 |
| Freddie Mac Gold Pool 4% 10/1/2040  | 21545 | 21132 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 1623522 | 1590528 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 156528 | 153433 |
| Freddie Mac Gold Pool 4% 10/1/2041  | 132835 | 130105 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 54998 | 53708 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 26760 | 26362 |
| Freddie Mac Gold Pool 4% 10/1/2042  | 18741 | 18258 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 266853 | 259739 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 89057 | 86563 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 38200 | 37142 |
| Freddie Mac Gold Pool 4% 10/1/2043  | 35560 | 34706 |
| Freddie Mac Gold Pool 4% 10/1/2044  | 188623 | 183106 |
| Freddie Mac Gold Pool 4% 10/1/2045  | 70643 | 68793 |
| Freddie Mac Gold Pool 4% 10/1/2052  | 2808093 | 2701936 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 605618 | 591839 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 18353 | 18123 |
| Freddie Mac Gold Pool 4% 11/1/2041  | 7856 | 7700 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 3066352 | 3005127 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 1918323 | 1878899 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 235744 | 230272 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 204187 | 199142 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 126796 | 123853 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 69808 | 68037 |
| Freddie Mac Gold Pool 4% 11/1/2042  | 6630 | 6574 |
| Freddie Mac Gold Pool 4% 11/1/2043  | 5929 | 5790 |
| Freddie Mac Gold Pool 4% 11/1/2047  | 1450669 | 1401583 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 68983 | 67705 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 33825 | 33244 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 13221 | 12978 |
| Freddie Mac Gold Pool 4% 12/1/2040  | 5434 | 5335 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 107232 | 104600 |
| Freddie Mac Gold Pool 4% 12/1/2042  | 57234 | 56130 |
| Freddie Mac Gold Pool 4% 12/1/2045  | 18316 | 17769 |
| Freddie Mac Gold Pool 4% 12/1/2047  | 2342331 | 2263075 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 1318273 | 1292872 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 1224146 | 1201408 |
| Freddie Mac Gold Pool 4% 2/1/2041  | 366487 | 359109 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 497362 | 486065 |
| Freddie Mac Gold Pool 4% 2/1/2042  | 195357 | 191561 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 190877 | 186125 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 145997 | 142229 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 114632 | 111606 |
| Freddie Mac Gold Pool 4% 2/1/2043  | 62929 | 61279 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 115051 | 112029 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 58944 | 57481 |
| Freddie Mac Gold Pool 4% 2/1/2044  | 57281 | 55638 |
| Freddie Mac Gold Pool 4% 2/1/2045  | 2316117 | 2252856 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 579324 | 563347 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 22716 | 22068 |
| Freddie Mac Gold Pool 4% 2/1/2046  | 12687 | 12329 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 1495786 | 1448446 |
| Freddie Mac Gold Pool 4% 2/1/2048  | 161600 | 156637 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 208795 | 203962 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 204678 | 200506 |
| Freddie Mac Gold Pool 4% 3/1/2042  | 19725 | 19230 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 60927 | 59686 |
| Freddie Mac Gold Pool 4% 3/1/2043  | 38510 | 37510 |
| Freddie Mac Gold Pool 4% 3/1/2044  | 126727 | 123208 |
| Freddie Mac Gold Pool 4% 4/1/2040  | 2446 | 2419 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 1285149 | 1255775 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 975789 | 955675 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 37424 | 36486 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 36609 | 35693 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 33316 | 32734 |
| Freddie Mac Gold Pool 4% 4/1/2042  | 26465 | 25987 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 3238227 | 3165336 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 101563 | 99150 |
| Freddie Mac Gold Pool 4% 4/1/2043  | 35494 | 34960 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 787735 | 765266 |
| Freddie Mac Gold Pool 4% 4/1/2046  | 164335 | 159545 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 530978 | 513676 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 444563 | 430077 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 240894 | 233044 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 91344 | 88367 |
| Freddie Mac Gold Pool 4% 4/1/2048  | 26537 | 25673 |
| Freddie Mac Gold Pool 4% 5/1/2042  | 164270 | 161159 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 124709 | 121456 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 43148 | 41977 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 42277 | 41141 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 39027 | 37975 |
| Freddie Mac Gold Pool 4% 5/1/2043  | 12832 | 12516 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 765459 | 750045 |
| Freddie Mac Gold Pool 4% 5/1/2045  | 199285 | 193155 |
| Freddie Mac Gold Pool 4% 5/1/2053  | 12318142 | 11802429 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 60025 | 59415 |
| Freddie Mac Gold Pool 4% 6/1/2038  | 44615 | 44162 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 49919 | 48844 |
| Freddie Mac Gold Pool 4% 6/1/2041  | 7756 | 7713 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 115062 | 112766 |
| Freddie Mac Gold Pool 4% 6/1/2043  | 64719 | 62995 |
| Freddie Mac Gold Pool 4% 6/1/2044  | 45297 | 44170 |
| Freddie Mac Gold Pool 4% 6/1/2045  | 131488 | 127683 |
| Freddie Mac Gold Pool 4% 7/1/2041  | 208031 | 203604 |
| Freddie Mac Gold Pool 4% 7/1/2042  | 1992110 | 1944071 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 261930 | 255077 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 202701 | 197788 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 112138 | 109416 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 70648 | 68743 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 65024 | 63251 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 62473 | 60764 |
| Freddie Mac Gold Pool 4% 7/1/2043  | 23355 | 22726 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 148448 | 145556 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 96379 | 93695 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 95448 | 92690 |
| Freddie Mac Gold Pool 4% 7/1/2044  | 24397 | 23690 |
| Freddie Mac Gold Pool 4% 7/1/2045  | 373682 | 362668 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 306627 | 302842 |
| Freddie Mac Gold Pool 4% 8/1/2038  | 230372 | 227528 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 122244 | 119024 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 96823 | 94869 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 70539 | 69190 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 34765 | 33920 |
| Freddie Mac Gold Pool 4% 8/1/2043  | 21293 | 20713 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 29930 | 29237 |
| Freddie Mac Gold Pool 4% 8/1/2044  | 28393 | 27604 |
| Freddie Mac Gold Pool 4% 9/1/2040  | 34197 | 33556 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 276851 | 271333 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 269810 | 264384 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 148027 | 145351 |
| Freddie Mac Gold Pool 4% 9/1/2041  | 47413 | 46408 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 800297 | 782028 |
| Freddie Mac Gold Pool 4% 9/1/2042  | 148864 | 146087 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 190494 | 185732 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 178229 | 173635 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 170955 | 166663 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 149833 | 145863 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 146765 | 142755 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 102707 | 100132 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 51630 | 50190 |
| Freddie Mac Gold Pool 4% 9/1/2043  | 4399 | 4365 |
| Freddie Mac Gold Pool 4% 9/1/2044  | 132162 | 128586 |
| Freddie Mac Gold Pool 4.5% 1/1/2040  | 45618 | 45766 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 634271 | 635888 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 70425 | 70664 |
| Freddie Mac Gold Pool 4.5% 1/1/2041  | 41445 | 41557 |
| Freddie Mac Gold Pool 4.5% 1/1/2042  | 1397708 | 1401000 |
| Freddie Mac Gold Pool 4.5% 1/1/2045  | 51481 | 51660 |
| Freddie Mac Gold Pool 4.5% 1/1/2047  | 117855 | 117565 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 273929 | 274787 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 65062 | 65233 |
| Freddie Mac Gold Pool 4.5% 10/1/2039  | 25729 | 25813 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 134002 | 134310 |
| Freddie Mac Gold Pool 4.5% 10/1/2040  | 129489 | 129712 |
| Freddie Mac Gold Pool 4.5% 10/1/2041  | 629106 | 630094 |
| Freddie Mac Gold Pool 4.5% 10/1/2043  | 76028 | 75912 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 1112400 | 1111748 |
| Freddie Mac Gold Pool 4.5% 10/1/2048  | 415911 | 413328 |
| Freddie Mac Gold Pool 4.5% 11/1/2031  | 8902 | 8932 |
| Freddie Mac Gold Pool 4.5% 11/1/2039  | 2101 | 2108 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 32535 | 32612 |
| Freddie Mac Gold Pool 4.5% 11/1/2040  | 6236 | 6252 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 397964 | 399347 |
| Freddie Mac Gold Pool 4.5% 11/1/2044  | 14919 | 14980 |
| Freddie Mac Gold Pool 4.5% 12/1/2039  | 1081 | 1084 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 49102 | 49185 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 42434 | 42504 |
| Freddie Mac Gold Pool 4.5% 12/1/2040  | 2695 | 2700 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 90369 | 90683 |
| Freddie Mac Gold Pool 4.5% 12/1/2044  | 15130 | 15193 |
| Freddie Mac Gold Pool 4.5% 12/1/2045  | 379056 | 380327 |
| Freddie Mac Gold Pool 4.5% 12/1/2046  | 119429 | 119135 |
| Freddie Mac Gold Pool 4.5% 12/1/2048  | 2365434 | 2351482 |
| Freddie Mac Gold Pool 4.5% 2/1/2037  | 3092 | 3108 |
| Freddie Mac Gold Pool 4.5% 2/1/2040  | 8555 | 8583 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 198244 | 198751 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 139702 | 140008 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 130618 | 130928 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 100694 | 100975 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 95656 | 95778 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 85552 | 85831 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 59683 | 59777 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 55731 | 55813 |
| Freddie Mac Gold Pool 4.5% 2/1/2041  | 17527 | 17576 |
| Freddie Mac Gold Pool 4.5% 2/1/2044  | 36886 | 36864 |
| Freddie Mac Gold Pool 4.5% 2/1/2047  | 541447 | 540114 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 770806 | 772480 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 549958 | 551223 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 133744 | 134059 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 77004 | 77170 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 54817 | 54963 |
| Freddie Mac Gold Pool 4.5% 3/1/2041  | 14563 | 14596 |
| Freddie Mac Gold Pool 4.5% 3/1/2042  | 5339 | 5353 |
| Freddie Mac Gold Pool 4.5% 3/1/2044  | 28524 | 28482 |
| Freddie Mac Gold Pool 4.5% 3/1/2053  | 8218498 | 8093508 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 1334315 | 1337198 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 1020325 | 1022530 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 129883 | 130041 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 126815 | 127046 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 7954 | 7963 |
| Freddie Mac Gold Pool 4.5% 4/1/2041  | 2660 | 2666 |
| Freddie Mac Gold Pool 4.5% 4/1/2048  | 317045 | 314997 |
| Freddie Mac Gold Pool 4.5% 4/1/2053  | 11073495 | 10905086 |
| Freddie Mac Gold Pool 4.5% 5/1/2035  | 22626 | 22753 |
| Freddie Mac Gold Pool 4.5% 5/1/2039  | 327302 | 328633 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 6762 | 6781 |
| Freddie Mac Gold Pool 4.5% 5/1/2040  | 4080 | 4098 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 135914 | 136074 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 90895 | 91087 |
| Freddie Mac Gold Pool 4.5% 5/1/2041  | 30071 | 30137 |
| Freddie Mac Gold Pool 4.5% 5/1/2045  | 443803 | 445068 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 1379247 | 1375422 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 1055746 | 1052818 |
| Freddie Mac Gold Pool 4.5% 5/1/2047  | 475540 | 474221 |
| Freddie Mac Gold Pool 4.5% 6/1/2038  | 27752 | 27909 |
| Freddie Mac Gold Pool 4.5% 6/1/2039  | 9492 | 9521 |
| Freddie Mac Gold Pool 4.5% 6/1/2040  | 14588 | 14631 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 126885 | 127299 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 96868 | 97010 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 61140 | 61239 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 51665 | 51823 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 41676 | 41861 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 22863 | 22904 |
| Freddie Mac Gold Pool 4.5% 6/1/2041  | 5871 | 5881 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 1978764 | 1973277 |
| Freddie Mac Gold Pool 4.5% 6/1/2047  | 276387 | 276398 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 100705 | 101013 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 44656 | 44742 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 38808 | 38906 |
| Freddie Mac Gold Pool 4.5% 7/1/2040  | 1670 | 1675 |
| Freddie Mac Gold Pool 4.5% 7/1/2041  | 27108 | 27167 |
| Freddie Mac Gold Pool 4.5% 7/1/2044  | 8694 | 8678 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 838940 | 836613 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 508964 | 509302 |
| Freddie Mac Gold Pool 4.5% 7/1/2047  | 218718 | 218727 |
| Freddie Mac Gold Pool 4.5% 8/1/2033  | 10536 | 10598 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 2746 | 2762 |
| Freddie Mac Gold Pool 4.5% 8/1/2035  | 335 | 337 |
| Freddie Mac Gold Pool 4.5% 8/1/2039  | 1658 | 1663 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 34497 | 34585 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 20629 | 20676 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 5292 | 5305 |
| Freddie Mac Gold Pool 4.5% 8/1/2040  | 3262 | 3271 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 468937 | 469936 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 37638 | 37737 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 36271 | 36353 |
| Freddie Mac Gold Pool 4.5% 8/1/2041  | 35737 | 35787 |
| Freddie Mac Gold Pool 4.5% 8/1/2055  | 4506503 | 4419659 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 130279 | 130911 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 2021 | 2027 |
| Freddie Mac Gold Pool 4.5% 9/1/2039  | 452 | 454 |
| Freddie Mac Gold Pool 4.5% 9/1/2040  | 63564 | 63724 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 788497 | 790114 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 653659 | 655123 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 603639 | 605360 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 47956 | 48074 |
| Freddie Mac Gold Pool 4.5% 9/1/2041  | 30325 | 30395 |
| Freddie Mac Gold Pool 5% 1/1/2035  | 245009 | 249552 |
| Freddie Mac Gold Pool 5% 1/1/2037  | 11285 | 11511 |
| Freddie Mac Gold Pool 5% 1/1/2040  | 176455 | 180158 |
| Freddie Mac Gold Pool 5% 1/1/2041  | 21500 | 21955 |
| Freddie Mac Gold Pool 5% 1/1/2053  | 7487355 | 7557989 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 29923 | 30485 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 20604 | 20978 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 879 | 895 |
| Freddie Mac Gold Pool 5% 10/1/2033  | 282 | 287 |
| Freddie Mac Gold Pool 5% 10/1/2052  | 14616113 | 14772268 |
| Freddie Mac Gold Pool 5% 11/1/2034  | 107 | 109 |
| Freddie Mac Gold Pool 5% 11/1/2035  | 17076 | 17421 |
| Freddie Mac Gold Pool 5% 11/1/2037  | 1387 | 1416 |
| Freddie Mac Gold Pool 5% 11/1/2040  | 15382 | 15704 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 16701322 | 16879756 |
| Freddie Mac Gold Pool 5% 11/1/2052  | 3208172 | 3252473 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 18696 | 19052 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 11609 | 11827 |
| Freddie Mac Gold Pool 5% 12/1/2033  | 3427 | 3489 |
| Freddie Mac Gold Pool 5% 12/1/2034  | 1668 | 1702 |
| Freddie Mac Gold Pool 5% 12/1/2035  | 44756 | 45670 |
| Freddie Mac Gold Pool 5% 12/1/2039  | 3810 | 3890 |
| Freddie Mac Gold Pool 5% 12/1/2052 (g) | 7578440 | 7659406 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 2162667 | 2183069 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1937981 | 1958686 |
| Freddie Mac Gold Pool 5% 12/1/2052  | 1732943 | 1749292 |
| Freddie Mac Gold Pool 5% 2/1/2035  | 27073 | 27538 |
| Freddie Mac Gold Pool 5% 2/1/2040  | 25155 | 25686 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 48364 | 49387 |
| Freddie Mac Gold Pool 5% 2/1/2041  | 17775 | 18151 |
| Freddie Mac Gold Pool 5% 3/1/2038  | 1867933 | 1901686 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 100207 | 102327 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 99031 | 101125 |
| Freddie Mac Gold Pool 5% 3/1/2041  | 12577 | 12693 |
| Freddie Mac Gold Pool 5% 4/1/2034  | 9546 | 9729 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 67798 | 69077 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 24677 | 25172 |
| Freddie Mac Gold Pool 5% 4/1/2035  | 17398 | 17745 |
| Freddie Mac Gold Pool 5% 4/1/2036  | 145210 | 148129 |
| Freddie Mac Gold Pool 5% 4/1/2038  | 174531 | 178137 |
| Freddie Mac Gold Pool 5% 4/1/2040  | 249757 | 255034 |
| Freddie Mac Gold Pool 5% 4/1/2041  | 34002 | 34720 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 11472 | 11686 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 5668 | 5774 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 4025 | 4104 |
| Freddie Mac Gold Pool 5% 5/1/2034  | 829 | 844 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 65367 | 66668 |
| Freddie Mac Gold Pool 5% 5/1/2035  | 1607 | 1635 |
| Freddie Mac Gold Pool 5% 5/1/2040  | 36971 | 37747 |
| Freddie Mac Gold Pool 5% 5/1/2041  | 87223 | 89067 |
| Freddie Mac Gold Pool 5% 5/1/2052  | 367336 | 372868 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 12024 | 12256 |
| Freddie Mac Gold Pool 5% 6/1/2035  | 5361 | 5468 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 3659 | 3736 |
| Freddie Mac Gold Pool 5% 6/1/2038  | 3416 | 3487 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 138617 | 141542 |
| Freddie Mac Gold Pool 5% 6/1/2040  | 96787 | 98827 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 3975132 | 4059212 |
| Freddie Mac Gold Pool 5% 6/1/2041  | 108578 | 110868 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 7194165 | 7295756 |
| Freddie Mac Gold Pool 5% 6/1/2052  | 1052281 | 1068127 |
| Freddie Mac Gold Pool 5% 7/1/2034  | 148 | 151 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 420208 | 428368 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 57117 | 58267 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 3060 | 3122 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 2002 | 2042 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 956 | 976 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 603 | 615 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 595 | 607 |
| Freddie Mac Gold Pool 5% 7/1/2035  | 339 | 345 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 18577 | 18963 |
| Freddie Mac Gold Pool 5% 7/1/2040  | 1084 | 1107 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 98327 | 100406 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 71978 | 73472 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 68004 | 69442 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 67214 | 68632 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 45025 | 45978 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 44403 | 45146 |
| Freddie Mac Gold Pool 5% 7/1/2041  | 27873 | 28427 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 7846 | 7992 |
| Freddie Mac Gold Pool 5% 8/1/2033  | 2292 | 2334 |
| Freddie Mac Gold Pool 5% 8/1/2034  | 103053 | 105007 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 7388 | 7531 |
| Freddie Mac Gold Pool 5% 8/1/2035  | 1111 | 1134 |
| Freddie Mac Gold Pool 5% 8/1/2036  | 2336 | 2384 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 16549409 | 16765703 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 199114 | 203275 |
| Freddie Mac Gold Pool 5% 8/1/2040  | 4099 | 4183 |
| Freddie Mac Gold Pool 5% 9/1/2033  | 23727 | 24161 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 40640 | 41465 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 2389 | 2436 |
| Freddie Mac Gold Pool 5% 9/1/2035  | 260 | 266 |
| Freddie Mac Gold Pool 5% 9/1/2052  | 1561788 | 1568469 |
| Freddie Mac Gold Pool 5.5% 1/1/2055  | 2542610 | 2578876 |
| Freddie Mac Gold Pool 5.5% 10/1/2054  | 2103554 | 2139815 |
| Freddie Mac Gold Pool 5.5% 2/1/2054  | 1863990 | 1898148 |
| Freddie Mac Gold Pool 5.5% 2/1/2055  | 41276185 | 41864912 |
| Freddie Mac Gold Pool 5.5% 3/1/2053 (e)(f) | 31879980 | 32902550 |
| Freddie Mac Gold Pool 5.5% 5/1/2053  | 5776125 | 5928907 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 435944 | 442162 |
| Freddie Mac Gold Pool 5.5% 5/1/2055  | 394947 | 401370 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 306 | 314 |
| Freddie Mac Gold Pool 6% 1/1/2029  | 78 | 80 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 5821 | 6040 |
| Freddie Mac Gold Pool 6% 1/1/2032  | 3584 | 3720 |
| Freddie Mac Gold Pool 6% 10/1/2032  | 2854 | 2970 |
| Freddie Mac Gold Pool 6% 11/1/2029  | 255 | 262 |
| Freddie Mac Gold Pool 6% 11/1/2031  | 3874 | 4022 |
| Freddie Mac Gold Pool 6% 11/1/2032  | 32194 | 33446 |
| Freddie Mac Gold Pool 6% 12/1/2032  | 1549 | 1611 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 90767 | 96113 |
| Freddie Mac Gold Pool 6% 12/1/2037  | 23141 | 24449 |
| Freddie Mac Gold Pool 6% 12/1/2052  | 1372733 | 1432703 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 175 | 180 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 134 | 138 |
| Freddie Mac Gold Pool 6% 2/1/2029  | 79 | 81 |
| Freddie Mac Gold Pool 6% 2/1/2055  | 4001969 | 4180553 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 377 | 387 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 244 | 251 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 68 | 70 |
| Freddie Mac Gold Pool 6% 3/1/2029  | 56 | 57 |
| Freddie Mac Gold Pool 6% 4/1/2029  | 31 | 32 |
| Freddie Mac Gold Pool 6% 4/1/2029  | 26 | 26 |
| Freddie Mac Gold Pool 6% 4/1/2031  | 2987 | 3091 |
| Freddie Mac Gold Pool 6% 4/1/2033  | 10178 | 10587 |
| Freddie Mac Gold Pool 6% 4/1/2054  | 12230251 | 12756905 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 106 | 109 |
| Freddie Mac Gold Pool 6% 5/1/2029  | 44 | 44 |
| Freddie Mac Gold Pool 6% 5/1/2033  | 71563 | 74087 |
| Freddie Mac Gold Pool 6% 5/1/2054  | 18028140 | 18838263 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 1255 | 1288 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 237 | 243 |
| Freddie Mac Gold Pool 6% 6/1/2029  | 81 | 83 |
| Freddie Mac Gold Pool 6% 6/1/2031  | 1025 | 1063 |
| Freddie Mac Gold Pool 6% 7/1/2028  | 26 | 26 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 417 | 428 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 219 | 225 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 203 | 208 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 186 | 191 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 177 | 182 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 130 | 134 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 27 | 28 |
| Freddie Mac Gold Pool 6% 7/1/2029  | 19 | 20 |
| Freddie Mac Gold Pool 6% 7/1/2032  | 7699 | 7981 |
| Freddie Mac Gold Pool 6% 7/1/2033  | 9930 | 10362 |
| Freddie Mac Gold Pool 6% 7/1/2037  | 12699 | 13419 |
| Freddie Mac Gold Pool 6% 7/1/2039  | 24371314 | 25336886 |
| Freddie Mac Gold Pool 6% 8/1/2037  | 193135 | 203663 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 17479113 | 18271394 |
| Freddie Mac Gold Pool 6% 8/1/2055  | 14265441 | 14889766 |
| Freddie Mac Gold Pool 6% 9/1/2033  | 58671 | 61128 |
| Freddie Mac Gold Pool 6.5% 1/1/2032  | 23697 | 24755 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 15791907 | 16650687 |
| Freddie Mac Gold Pool 6.5% 1/1/2054  | 5515342 | 5814582 |
| Freddie Mac Gold Pool 6.5% 10/1/2032  | 22306 | 23403 |
| Freddie Mac Gold Pool 6.5% 10/1/2053  | 4296154 | 4529783 |
| Freddie Mac Gold Pool 6.5% 12/1/2053  | 2113876 | 2231539 |
| Freddie Mac Gold Pool 6.5% 2/1/2037  | 1623 | 1691 |
| Freddie Mac Gold Pool 6.5% 3/1/2032  | 52 | 55 |
| Freddie Mac Gold Pool 6.5% 3/1/2036  | 208743 | 218606 |
| Freddie Mac Gold Pool 6.5% 3/1/2037  | 2181 | 2332 |
| Freddie Mac Gold Pool 6.5% 4/1/2032  | 2192 | 2293 |
| Freddie Mac Gold Pool 6.5% 5/1/2055  | 35043744 | 36949459 |
| Freddie Mac Gold Pool 6.5% 6/1/2054  | 13246778 | 13987849 |
| Freddie Mac Gold Pool 6.5% 7/1/2032  | 579 | 607 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 8596 | 8998 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 5786 | 6065 |
| Freddie Mac Gold Pool 6.5% 8/1/2032  | 5649 | 5924 |
| Freddie Mac Gold Pool 6.5% 9/1/2039  | 474284 | 507436 |
| Freddie Mac Gold Pool 6.5% 9/1/2053  | 519717 | 548792 |
| Freddie Mac Gold Pool 7% 1/1/2036  | 11796 | 12475 |
| Freddie Mac Gold Pool 7% 11/1/2026  | 311 | 313 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 19477 | 20581 |
| Freddie Mac Gold Pool 7% 11/1/2034  | 17329 | 18429 |
| Freddie Mac Gold Pool 7% 12/1/2026  | 444 | 447 |
| Freddie Mac Gold Pool 7% 4/1/2032  | 7077 | 7438 |
| Freddie Mac Gold Pool 7% 7/1/2029  | 28089 | 29522 |
| Freddie Mac Gold Pool 7% 8/1/2026  | 991 | 995 |
| Freddie Mac Gold Pool 7% 9/1/2026  | 1647 | 1656 |
| Freddie Mac Gold Pool 7% 9/1/2035  | 48934 | 51829 |
| Freddie Mac Gold Pool 7.5% 1/1/2027  | 1544 | 1557 |
| Freddie Mac Gold Pool 7.5% 10/1/2027  | 63 | 64 |
| Freddie Mac Gold Pool 7.5% 10/1/2030  | 78 | 82 |
| Freddie Mac Gold Pool 7.5% 11/1/2029  | 6168 | 6441 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 7781 | 8089 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 273 | 289 |
| Freddie Mac Gold Pool 7.5% 11/1/2030  | 11 | 12 |
| Freddie Mac Gold Pool 7.5% 11/1/2031  | 381 | 407 |
| Freddie Mac Gold Pool 7.5% 12/1/2029  | 1365 | 1420 |
| Freddie Mac Gold Pool 7.5% 2/1/2027  | 3 | 3 |
| Freddie Mac Gold Pool 7.5% 3/1/2027  | 10 | 10 |
| Freddie Mac Gold Pool 7.5% 4/1/2028  | 106 | 108 |
| Freddie Mac Gold Pool 7.5% 5/1/2031  | 291 | 306 |
| Freddie Mac Gold Pool 7.5% 6/1/2027  | 90 | 91 |
| Freddie Mac Gold Pool 7.5% 6/1/2032  | 4609 | 4916 |
| Freddie Mac Gold Pool 7.5% 7/1/2026  | 32 | 32 |
| Freddie Mac Gold Pool 7.5% 8/1/2026  | 26 | 27 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 312 | 328 |
| Freddie Mac Gold Pool 7.5% 9/1/2030  | 41 | 43 |
| Freddie Mac Gold Pool 7.5% 9/1/2031  | 6226 | 6595 |
| Freddie Mac Gold Pool 8% 11/1/2031  | 844 | 888 |
| Freddie Mac Gold Pool 8% 12/1/2026  | 43 | 43 |
| Freddie Mac Gold Pool 8% 2/1/2030  | 76 | 80 |
| Freddie Mac Gold Pool 8% 4/1/2027  | 498 | 502 |
| Freddie Mac Gold Pool 8% 4/1/2032  | 114 | 120 |
| Freddie Mac Gold Pool 8% 7/1/2030  | 836 | 882 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 1885 | 1969 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 63 | 66 |
| Freddie Mac Gold Pool 8% 8/1/2030  | 23 | 24 |
| Freddie Mac Gold Pool 8% 9/1/2030  | 53 | 56 |
| Freddie Mac Gold Pool 8.5% 1/1/2028  | 8 | 8 |
| Freddie Mac Gold Pool 8.5% 12/1/2027  | 12 | 12 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 19 | 19 |
| Freddie Mac Gold Pool 8.5% 5/1/2027  | 4 | 4 |
| Freddie Mac Gold Pool 8.5% 8/1/2026  | 29 | 29 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 578 | 587 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 263 | 269 |
| Freddie Mac Gold Pool 8.5% 8/1/2027  | 19 | 19 |
| Freddie Mac Manufactured Housing participation certificates 6% 3/1/2055  | 5297524 | 5522333 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 2695363 | 2852889 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 2392846 | 2534936 |
| Freddie Mac Manufactured Housing participation certificates 6.5% 3/1/2055  | 774243 | 824150 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.325%, 6.033% 1/1/2036 (b)(c) | 8403 | 8548 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.375%, 5.884% 3/1/2036 (b)(c) | 43207 | 44057 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.5%, 6.297% 3/1/2036 (b)(c) | 32791 | 33634 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.203% 12/1/2040 (b)(c) | 308113 | 320066 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.432% 7/1/2041 (b)(c) | 78834 | 82007 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.75%, 6.436% 9/1/2041 (b)(c) | 75694 | 78811 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.8%, 6.59% 5/1/2035 (b)(c) | 64859 | 66800 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.864%, 6.864% 4/1/2036 (b)(c) | 22804 | 23581 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.63% 9/1/2041 (b)(c) | 9941 | 10385 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.88%, 6.88% 4/1/2041 (b)(c) | 1855 | 1935 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.535% 6/1/2041 (b)(c) | 2019 | 2108 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.672% 6/1/2041 (b)(c) | 25372 | 26490 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.778% 5/1/2041 (b)(c) | 17988 | 18783 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.91%, 6.863% 5/1/2041 (b)(c) | 23032 | 24043 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 1.9339%, 6.731% 10/1/2042 (b)(c) | 35244 | 36697 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.01%, 7.009% 4/1/2038 (b)(c) | 18653 | 19450 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.031%, 6.658% 3/1/2033 (b)(c) | 319 | 327 |
| Freddie Mac Non Gold Pool 1 year FTSE USD IBOR Consumer Fallbacks + 2.045%, 6.684% 7/1/2036 (b)(c) | 15620 | 16189 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.035%, 6.157% 6/1/2033 (b)(c) | 33255 | 33775 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.2476%, 6.497% 1/1/2035 (b)(c) | 1848 | 1885 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.2597%, 6.321% 6/1/2033 (b)(c) | 44713 | 45499 |
| Freddie Mac Non Gold Pool 1 year U.S. Treasury Index + 2.375%, 6.451% 3/1/2035 (b)(c) | 92594 | 94617 |
| Freddie Mac Non Gold Pool 3.5% 5/1/2049  | 1044366 | 981423 |
| Freddie Mac Non Gold Pool 4% 9/1/2040  | 11949 | 11734 |
| Freddie Mac Non Gold Pool 5% 8/1/2053  | 5431699 | 5467664 |
| Freddie Mac Non Gold Pool 5.5% 1/1/2055  | 520218 | 528938 |
| Freddie Mac Non Gold Pool 5.5% 11/1/2054  | 11273398 | 11465899 |
| Freddie Mac Non Gold Pool 5.5% 2/1/2055  | 539044 | 546733 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 12217496 | 12567383 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 3902253 | 4014006 |
| Freddie Mac Non Gold Pool 5.5% 8/1/2053  | 3872817 | 3977676 |
| Freddie Mac Non Gold Pool 5.5% 9/1/2054  | 10115538 | 10373618 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.125%, 5.625% 8/1/2037 (b)(c) | 12690 | 12743 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.655%, 6.255% 4/1/2035 (b)(c) | 35619 | 36286 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.665%, 6.178% 10/1/2036 (b)(c) | 22090 | 22506 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 1.993%, 6.521% 10/1/2035 (b)(c) | 25554 | 26148 |
| Freddie Mac Non Gold Pool 6 month FTSE USD IBOR Consumer Fallbacks + 2.02%, 6.26% 6/1/2037 (b)(c) | 11758 | 12100 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 5567781 | 5805798 |
| Freddie Mac Non Gold Pool 6% 6/1/2053  | 5503060 | 5719394 |
| Freddie Mac Non Gold Pool 6% 7/1/2053  | 5904453 | 6156863 |
| Freddie Mac Non Gold Pool 6.5% 1/1/2055  | 4548764 | 4796130 |
| Ginnie Mae I Pool 2% 11/20/2052  | 1014677 | 841505 |
| Ginnie Mae I Pool 2.5% 1/20/2052  | 8229919 | 7060446 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 12828832 | 11005852 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 8512683 | 7292388 |
| Ginnie Mae I Pool 2.5% 12/20/2051  | 6830030 | 5859482 |
| Ginnie Mae I Pool 2.5% 12/20/2052  | 18772 | 16257 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 47441221 | 40670163 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 12353883 | 10590672 |
| Ginnie Mae I Pool 2.5% 8/20/2051  | 7210459 | 6181345 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 21294975 | 18255646 |
| Ginnie Mae I Pool 2.5% 9/20/2051  | 12409831 | 10638635 |
| Ginnie Mae I Pool 3% 1/20/2050  | 137135 | 123493 |
| Ginnie Mae I Pool 3% 1/20/2050  | 74581 | 67185 |
| Ginnie Mae I Pool 3% 12/15/2042  | 502784 | 461280 |
| Ginnie Mae I Pool 3% 12/20/2042  | 624172 | 574743 |
| Ginnie Mae I Pool 3% 2/15/2045  | 268612 | 244599 |
| Ginnie Mae I Pool 3% 2/15/2045  | 216752 | 196875 |
| Ginnie Mae I Pool 3% 2/20/2050  | 8007758 | 7208656 |
| Ginnie Mae I Pool 3% 2/20/2050  | 832457 | 749385 |
| Ginnie Mae I Pool 3% 3/15/2045  | 433073 | 393499 |
| Ginnie Mae I Pool 3% 3/20/2043  | 405970 | 373993 |
| Ginnie Mae I Pool 3% 3/20/2043  | 166838 | 153815 |
| Ginnie Mae I Pool 3% 4/15/2043  | 56143 | 51352 |
| Ginnie Mae I Pool 3% 4/15/2043  | 45923 | 42181 |
| Ginnie Mae I Pool 3% 4/15/2043  | 5094 | 4739 |
| Ginnie Mae I Pool 3% 4/15/2043  | 5143 | 4724 |
| Ginnie Mae I Pool 3% 4/15/2045  | 166782 | 151378 |
| Ginnie Mae I Pool 3% 5/15/2042  | 74034 | 68241 |
| Ginnie Mae I Pool 3% 5/15/2043  | 54551 | 49479 |
| Ginnie Mae I Pool 3% 5/15/2043  | 42213 | 38714 |
| Ginnie Mae I Pool 3% 5/15/2043  | 41870 | 38503 |
| Ginnie Mae I Pool 3% 5/15/2043  | 15861 | 14497 |
| Ginnie Mae I Pool 3% 5/15/2045  | 2665 | 2415 |
| Ginnie Mae I Pool 3% 6/15/2043  | 61676 | 56760 |
| Ginnie Mae I Pool 3% 6/15/2043  | 54599 | 49884 |
| Ginnie Mae I Pool 3% 6/15/2043  | 26818 | 24879 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 72558 | 69080 |
| Ginnie Mae I Pool 3.5% 1/15/2041  | 15801 | 14992 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 223190 | 210254 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 158788 | 149932 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 40051 | 37955 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 4590 | 4343 |
| Ginnie Mae I Pool 3.5% 1/15/2042  | 2154 | 2036 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 247467 | 233422 |
| Ginnie Mae I Pool 3.5% 1/15/2043  | 7038 | 6647 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 72087 | 66253 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 43670 | 40272 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 42531 | 39195 |
| Ginnie Mae I Pool 3.5% 1/20/2050  | 12200 | 11227 |
| Ginnie Mae I Pool 3.5% 10/20/2052  | 5488281 | 5047952 |
| Ginnie Mae I Pool 3.5% 11/15/2040  | 29656 | 28130 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 259851 | 247222 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 107001 | 101423 |
| Ginnie Mae I Pool 3.5% 11/15/2041  | 2768 | 2615 |
| Ginnie Mae I Pool 3.5% 11/15/2042  | 562784 | 531118 |
| Ginnie Mae I Pool 3.5% 11/20/2049  | 281422 | 259261 |
| Ginnie Mae I Pool 3.5% 11/20/2049  | 89021 | 81816 |
| Ginnie Mae I Pool 3.5% 12/15/2040  | 5815 | 5519 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 214166 | 202221 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 198786 | 187504 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 122961 | 116505 |
| Ginnie Mae I Pool 3.5% 12/15/2041  | 17894 | 16980 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 418954 | 397485 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 274927 | 260716 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 234154 | 221444 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 222444 | 211289 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 194538 | 183403 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 144512 | 136171 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 128482 | 121812 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 81500 | 77117 |
| Ginnie Mae I Pool 3.5% 2/15/2042  | 9675 | 9147 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 1079459 | 1020594 |
| Ginnie Mae I Pool 3.5% 2/15/2043  | 39728 | 37512 |
| Ginnie Mae I Pool 3.5% 2/15/2044  | 165065 | 154661 |
| Ginnie Mae I Pool 3.5% 2/20/2043  | 763147 | 723164 |
| Ginnie Mae I Pool 3.5% 2/20/2050  | 560699 | 515144 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 215596 | 204832 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 120482 | 114546 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 32623 | 30908 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 18837 | 17846 |
| Ginnie Mae I Pool 3.5% 3/15/2042  | 18616 | 17601 |
| Ginnie Mae I Pool 3.5% 3/15/2043  | 7673 | 7236 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 321028 | 304209 |
| Ginnie Mae I Pool 3.5% 3/20/2043  | 277648 | 262914 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 928254 | 877867 |
| Ginnie Mae I Pool 3.5% 4/15/2043  | 175479 | 164935 |
| Ginnie Mae I Pool 3.5% 4/20/2043  | 298408 | 282219 |
| Ginnie Mae I Pool 3.5% 4/20/2043  | 116511 | 110243 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 317075 | 300897 |
| Ginnie Mae I Pool 3.5% 5/15/2042  | 237022 | 224876 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 33860 | 32074 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 34068 | 32061 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 29993 | 28378 |
| Ginnie Mae I Pool 3.5% 5/15/2043  | 13063 | 12334 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 214602 | 198507 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 147542 | 136477 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 112016 | 103616 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 108744 | 100589 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 92259 | 85340 |
| Ginnie Mae I Pool 3.5% 5/20/2046  | 57459 | 53062 |
| Ginnie Mae I Pool 3.5% 6/15/2042  | 7291 | 6877 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 72222 | 67916 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 63130 | 59279 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 45057 | 42522 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 32206 | 30631 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 24308 | 22881 |
| Ginnie Mae I Pool 3.5% 6/15/2043  | 4701 | 4426 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 528558 | 488918 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 164894 | 152528 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 135328 | 125179 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 124080 | 114774 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 112807 | 104347 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 72946 | 67476 |
| Ginnie Mae I Pool 3.5% 6/20/2046  | 49038 | 45360 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 158636 | 149749 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 53794 | 50781 |
| Ginnie Mae I Pool 3.5% 7/15/2042  | 13053 | 12315 |
| Ginnie Mae I Pool 3.5% 7/15/2043  | 27579 | 25961 |
| Ginnie Mae I Pool 3.5% 7/20/2043  | 297830 | 280908 |
| Ginnie Mae I Pool 3.5% 7/20/2046  | 6170967 | 5708167 |
| Ginnie Mae I Pool 3.5% 7/20/2052  | 29458884 | 27125295 |
| Ginnie Mae I Pool 3.5% 8/15/2042  | 13211 | 12462 |
| Ginnie Mae I Pool 3.5% 8/15/2043  | 18967 | 17836 |
| Ginnie Mae I Pool 3.5% 8/20/2052  | 17416433 | 16036788 |
| Ginnie Mae I Pool 3.5% 9/15/2041  | 1883 | 1786 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 36362 | 34245 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 18458 | 17401 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 17282 | 16423 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 9897 | 9321 |
| Ginnie Mae I Pool 3.5% 9/15/2042  | 2332 | 2199 |
| Ginnie Mae I Pool 3.5% 9/15/2043  | 14016 | 13190 |
| Ginnie Mae I Pool 3.5% 9/20/2052  | 25505068 | 23484682 |
| Ginnie Mae I Pool 4% 1/15/2040  | 38335 | 37393 |
| Ginnie Mae I Pool 4% 1/15/2040  | 36939 | 35934 |
| Ginnie Mae I Pool 4% 1/15/2041  | 200446 | 194737 |
| Ginnie Mae I Pool 4% 1/15/2041  | 28817 | 27988 |
| Ginnie Mae I Pool 4% 1/15/2041  | 7838 | 7616 |
| Ginnie Mae I Pool 4% 1/15/2041  | 3687 | 3580 |
| Ginnie Mae I Pool 4% 1/15/2042  | 25726 | 24939 |
| Ginnie Mae I Pool 4% 1/15/2043  | 95312 | 92243 |
| Ginnie Mae I Pool 4% 1/15/2047  | 395735 | 379081 |
| Ginnie Mae I Pool 4% 1/15/2047  | 381644 | 365584 |
| Ginnie Mae I Pool 4% 1/15/2047  | 293496 | 281145 |
| Ginnie Mae I Pool 4% 1/15/2047  | 139753 | 133872 |
| Ginnie Mae I Pool 4% 10/15/2039  | 45432 | 44309 |
| Ginnie Mae I Pool 4% 10/15/2040  | 230050 | 223609 |
| Ginnie Mae I Pool 4% 10/15/2040  | 199680 | 194216 |
| Ginnie Mae I Pool 4% 10/15/2040  | 190429 | 185127 |
| Ginnie Mae I Pool 4% 10/15/2040  | 24841 | 24153 |
| Ginnie Mae I Pool 4% 10/15/2040  | 20181 | 19625 |
| Ginnie Mae I Pool 4% 10/15/2040  | 12207 | 11885 |
| Ginnie Mae I Pool 4% 10/15/2040  | 9301 | 9051 |
| Ginnie Mae I Pool 4% 10/15/2041  | 1055122 | 1023025 |
| Ginnie Mae I Pool 4% 10/15/2041  | 388336 | 376971 |
| Ginnie Mae I Pool 4% 10/15/2041  | 256526 | 249180 |
| Ginnie Mae I Pool 4% 10/15/2041  | 212867 | 206704 |
| Ginnie Mae I Pool 4% 10/15/2041  | 134736 | 130659 |
| Ginnie Mae I Pool 4% 10/15/2041  | 109762 | 106759 |
| Ginnie Mae I Pool 4% 10/15/2041  | 84639 | 81969 |
| Ginnie Mae I Pool 4% 10/15/2041  | 62585 | 60722 |
| Ginnie Mae I Pool 4% 10/15/2041  | 46625 | 45283 |
| Ginnie Mae I Pool 4% 10/15/2041  | 39447 | 38342 |
| Ginnie Mae I Pool 4% 10/15/2041  | 25663 | 24920 |
| Ginnie Mae I Pool 4% 10/15/2041  | 13009 | 12598 |
| Ginnie Mae I Pool 4% 10/20/2042  | 725747 | 702818 |
| Ginnie Mae I Pool 4% 11/15/2039  | 33784 | 32977 |
| Ginnie Mae I Pool 4% 11/15/2040  | 57223 | 55584 |
| Ginnie Mae I Pool 4% 11/15/2040  | 12815 | 12477 |
| Ginnie Mae I Pool 4% 11/15/2040  | 6517 | 6359 |
| Ginnie Mae I Pool 4% 11/15/2041  | 653994 | 634746 |
| Ginnie Mae I Pool 4% 11/15/2041  | 61665 | 59749 |
| Ginnie Mae I Pool 4% 11/15/2041  | 7183 | 6968 |
| Ginnie Mae I Pool 4% 11/15/2041  | 3480 | 3382 |
| Ginnie Mae I Pool 4% 11/15/2042  | 31967 | 30948 |
| Ginnie Mae I Pool 4% 12/15/2039  | 115126 | 112013 |
| Ginnie Mae I Pool 4% 12/15/2039  | 19037 | 18532 |
| Ginnie Mae I Pool 4% 12/15/2040  | 1291825 | 1254630 |
| Ginnie Mae I Pool 4% 12/15/2040  | 26803 | 26149 |
| Ginnie Mae I Pool 4% 12/15/2040  | 18276 | 17764 |
| Ginnie Mae I Pool 4% 12/15/2040  | 13076 | 12685 |
| Ginnie Mae I Pool 4% 12/15/2040  | 8881 | 8617 |
| Ginnie Mae I Pool 4% 12/15/2041  | 290256 | 281899 |
| Ginnie Mae I Pool 4% 12/15/2041  | 209588 | 203178 |
| Ginnie Mae I Pool 4% 12/15/2041  | 140556 | 136303 |
| Ginnie Mae I Pool 4% 12/15/2041  | 78829 | 76444 |
| Ginnie Mae I Pool 4% 12/15/2041  | 16999 | 16547 |
| Ginnie Mae I Pool 4% 12/15/2041  | 10971 | 10644 |
| Ginnie Mae I Pool 4% 12/15/2041  | 10234 | 9916 |
| Ginnie Mae I Pool 4% 12/15/2042  | 24495 | 23742 |
| Ginnie Mae I Pool 4% 12/15/2046  | 74108 | 71106 |
| Ginnie Mae I Pool 4% 2/15/2040  | 169410 | 164720 |
| Ginnie Mae I Pool 4% 2/15/2040  | 95024 | 92532 |
| Ginnie Mae I Pool 4% 2/15/2040  | 93183 | 90588 |
| Ginnie Mae I Pool 4% 2/15/2040  | 17767 | 17287 |
| Ginnie Mae I Pool 4% 2/15/2041  | 86494 | 84086 |
| Ginnie Mae I Pool 4% 2/15/2041  | 28572 | 27708 |
| Ginnie Mae I Pool 4% 2/15/2041  | 6204 | 6031 |
| Ginnie Mae I Pool 4% 2/15/2042  | 96993 | 94042 |
| Ginnie Mae I Pool 4% 2/15/2045  | 187320 | 180631 |
| Ginnie Mae I Pool 4% 3/15/2040  | 854273 | 830898 |
| Ginnie Mae I Pool 4% 3/15/2041  | 427887 | 415974 |
| Ginnie Mae I Pool 4% 3/15/2041  | 29680 | 28859 |
| Ginnie Mae I Pool 4% 3/15/2041  | 14039 | 13607 |
| Ginnie Mae I Pool 4% 3/15/2042  | 335907 | 325524 |
| Ginnie Mae I Pool 4% 3/15/2042  | 51866 | 50213 |
| Ginnie Mae I Pool 4% 3/15/2042  | 23318 | 22613 |
| Ginnie Mae I Pool 4% 3/15/2042  | 5616 | 5442 |
| Ginnie Mae I Pool 4% 3/20/2047  | 1973751 | 1906721 |
| Ginnie Mae I Pool 4% 4/15/2040  | 65224 | 63377 |
| Ginnie Mae I Pool 4% 4/15/2040  | 29036 | 28284 |
| Ginnie Mae I Pool 4% 4/15/2041  | 88550 | 86042 |
| Ginnie Mae I Pool 4% 4/15/2042  | 63588 | 61602 |
| Ginnie Mae I Pool 4% 4/15/2043  | 180467 | 174572 |
| Ginnie Mae I Pool 4% 4/15/2043  | 17163 | 16643 |
| Ginnie Mae I Pool 4% 4/15/2046  | 2934750 | 2827798 |
| Ginnie Mae I Pool 4% 4/20/2048  | 972470 | 931239 |
| Ginnie Mae I Pool 4% 4/20/2048  | 856401 | 820091 |
| Ginnie Mae I Pool 4% 5/15/2040  | 56563 | 54952 |
| Ginnie Mae I Pool 4% 5/15/2041  | 6055 | 5921 |
| Ginnie Mae I Pool 4% 5/15/2041  | 1543 | 1498 |
| Ginnie Mae I Pool 4% 5/15/2042  | 6483 | 6435 |
| Ginnie Mae I Pool 4% 5/15/2043  | 25484 | 24608 |
| Ginnie Mae I Pool 4% 5/15/2045  | 174316 | 167838 |
| Ginnie Mae I Pool 4% 5/20/2041  | 21730 | 21168 |
| Ginnie Mae I Pool 4% 5/20/2049  | 166516 | 158207 |
| Ginnie Mae I Pool 4% 6/15/2041  | 54935 | 53327 |
| Ginnie Mae I Pool 4% 6/15/2041  | 29816 | 29098 |
| Ginnie Mae I Pool 4% 6/15/2041  | 27876 | 27014 |
| Ginnie Mae I Pool 4% 6/15/2042  | 34939 | 33792 |
| Ginnie Mae I Pool 4% 6/15/2042  | 1640 | 1587 |
| Ginnie Mae I Pool 4% 6/15/2043  | 162459 | 157102 |
| Ginnie Mae I Pool 4% 6/15/2043  | 6498 | 6298 |
| Ginnie Mae I Pool 4% 6/15/2045  | 46822 | 45178 |
| Ginnie Mae I Pool 4% 7/15/2039  | 42502 | 41380 |
| Ginnie Mae I Pool 4% 7/15/2041  | 38388 | 37252 |
| Ginnie Mae I Pool 4% 7/15/2041  | 33416 | 32518 |
| Ginnie Mae I Pool 4% 7/15/2041  | 20281 | 19645 |
| Ginnie Mae I Pool 4% 7/15/2041  | 19416 | 18810 |
| Ginnie Mae I Pool 4% 7/15/2041  | 10611 | 10290 |
| Ginnie Mae I Pool 4% 7/15/2041  | 6706 | 6507 |
| Ginnie Mae I Pool 4% 7/15/2041  | 347 | 346 |
| Ginnie Mae I Pool 4% 7/15/2042  | 94020 | 90890 |
| Ginnie Mae I Pool 4% 7/15/2045  | 127332 | 122564 |
| Ginnie Mae I Pool 4% 7/15/2046  | 265694 | 254928 |
| Ginnie Mae I Pool 4% 7/15/2046  | 213473 | 204824 |
| Ginnie Mae I Pool 4% 8/15/2039  | 31345 | 30560 |
| Ginnie Mae I Pool 4% 8/15/2039  | 17992 | 17508 |
| Ginnie Mae I Pool 4% 8/15/2039  | 13423 | 13052 |
| Ginnie Mae I Pool 4% 8/15/2040  | 9440 | 9185 |
| Ginnie Mae I Pool 4% 8/15/2041  | 55368 | 53756 |
| Ginnie Mae I Pool 4% 8/15/2041  | 38493 | 37440 |
| Ginnie Mae I Pool 4% 8/15/2041  | 6034 | 5875 |
| Ginnie Mae I Pool 4% 8/15/2042  | 91999 | 88994 |
| Ginnie Mae I Pool 4% 8/15/2042  | 13989 | 13591 |
| Ginnie Mae I Pool 4% 8/15/2042  | 3894 | 3787 |
| Ginnie Mae I Pool 4% 8/15/2043  | 36025 | 34759 |
| Ginnie Mae I Pool 4% 8/15/2043  | 25311 | 24419 |
| Ginnie Mae I Pool 4% 8/15/2043  | 10221 | 9894 |
| Ginnie Mae I Pool 4% 9/15/2039  | 27920 | 27267 |
| Ginnie Mae I Pool 4% 9/15/2040  | 13754 | 13382 |
| Ginnie Mae I Pool 4% 9/15/2041  | 306917 | 297782 |
| Ginnie Mae I Pool 4% 9/15/2041  | 53953 | 52383 |
| Ginnie Mae I Pool 4% 9/15/2041  | 46542 | 45231 |
| Ginnie Mae I Pool 4% 9/15/2041  | 20795 | 20136 |
| Ginnie Mae I Pool 4% 9/15/2041  | 13311 | 12902 |
| Ginnie Mae I Pool 4% 9/15/2041  | 5644 | 5503 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 21741 | 21746 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 15391 | 15418 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 3868 | 3875 |
| Ginnie Mae I Pool 4.5% 10/15/2039  | 3734 | 3740 |
| Ginnie Mae I Pool 4.5% 10/15/2040  | 3493 | 3496 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 131394 | 131434 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 50263 | 50316 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 41308 | 41361 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 36919 | 36970 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 29973 | 30014 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 27016 | 27087 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 18690 | 18718 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 15254 | 15277 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 4230 | 4237 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 4005 | 4013 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 3016 | 3021 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 2157 | 2159 |
| Ginnie Mae I Pool 4.5% 11/15/2039  | 1818 | 1821 |
| Ginnie Mae I Pool 4.5% 12/15/2039  | 36719 | 36810 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 106655 | 106803 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 100548 | 100516 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 73113 | 73246 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 57150 | 57237 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 50931 | 51016 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 37771 | 37862 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 31806 | 31855 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 29576 | 29617 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 20689 | 20735 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 5888 | 5897 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 5357 | 5366 |
| Ginnie Mae I Pool 4.5% 2/15/2040  | 1014 | 1016 |
| Ginnie Mae I Pool 4.5% 2/15/2041  | 23649 | 23628 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 253972 | 254362 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 23027 | 23052 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 16994 | 17019 |
| Ginnie Mae I Pool 4.5% 3/15/2040  | 11946 | 11965 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 1586023 | 1586530 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 786974 | 787987 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 214478 | 214775 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 25177 | 25209 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 3393 | 3395 |
| Ginnie Mae I Pool 4.5% 3/15/2041  | 900 | 901 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 110723 | 110931 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 71670 | 71783 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 53377 | 53379 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 40788 | 40807 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 23487 | 23501 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 9510 | 9506 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 9314 | 9310 |
| Ginnie Mae I Pool 4.5% 4/15/2040  | 6405 | 6415 |
| Ginnie Mae I Pool 4.5% 4/15/2041  | 65998 | 66047 |
| Ginnie Mae I Pool 4.5% 5/15/2039  | 35383 | 35454 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 133186 | 133377 |
| Ginnie Mae I Pool 4.5% 5/15/2040  | 12655 | 12661 |
| Ginnie Mae I Pool 4.5% 5/15/2041  | 120 | 120 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 69090 | 69257 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 64919 | 65038 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 11824 | 11847 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 9650 | 9669 |
| Ginnie Mae I Pool 4.5% 6/15/2039  | 8123 | 8140 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 494924 | 494939 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 292076 | 292509 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 152485 | 152689 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 132511 | 132669 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 74466 | 74580 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 72059 | 72162 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 62474 | 62557 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 57798 | 57876 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 8462 | 8474 |
| Ginnie Mae I Pool 4.5% 6/15/2040  | 5637 | 5642 |
| Ginnie Mae I Pool 4.5% 6/15/2041  | 927268 | 927950 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 56335 | 56451 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 21114 | 21152 |
| Ginnie Mae I Pool 4.5% 7/15/2039  | 1865 | 1867 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 216921 | 217233 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 192823 | 193100 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 147300 | 147540 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 112018 | 112179 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 103374 | 103528 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 94959 | 95067 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 15255 | 15273 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 8860 | 8869 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 3681 | 3686 |
| Ginnie Mae I Pool 4.5% 7/15/2040  | 651 | 651 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 566281 | 567368 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 361339 | 362033 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 284461 | 285047 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 117760 | 117957 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 50756 | 50865 |
| Ginnie Mae I Pool 4.5% 8/15/2039  | 9507 | 9524 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 66436 | 66528 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 14651 | 14637 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 5964 | 5968 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 5951 | 5957 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 4517 | 4524 |
| Ginnie Mae I Pool 4.5% 8/15/2040  | 1586 | 1588 |
| Ginnie Mae I Pool 4.5% 8/15/2041  | 12629 | 12649 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 106934 | 107124 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 52091 | 52194 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 19431 | 19464 |
| Ginnie Mae I Pool 4.5% 9/15/2039  | 18572 | 18612 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 17165 | 17194 |
| Ginnie Mae I Pool 4.5% 9/15/2040  | 7476 | 7484 |
| Ginnie Mae I Pool 5% 1/15/2034  | 3827 | 3892 |
| Ginnie Mae I Pool 5% 1/15/2040  | 1770 | 1806 |
| Ginnie Mae I Pool 5% 1/15/2040  | 1685 | 1712 |
| Ginnie Mae I Pool 5% 10/15/2033  | 2131 | 2167 |
| Ginnie Mae I Pool 5% 10/15/2034  | 3040 | 3091 |
| Ginnie Mae I Pool 5% 10/15/2039  | 82119 | 83772 |
| Ginnie Mae I Pool 5% 10/15/2039  | 40030 | 40831 |
| Ginnie Mae I Pool 5% 10/15/2039  | 24506 | 25000 |
| Ginnie Mae I Pool 5% 10/15/2039  | 13226 | 13491 |
| Ginnie Mae I Pool 5% 10/15/2039  | 7739 | 7894 |
| Ginnie Mae I Pool 5% 11/15/2033  | 1352 | 1375 |
| Ginnie Mae I Pool 5% 11/15/2039  | 37708 | 38468 |
| Ginnie Mae I Pool 5% 11/15/2039  | 24430 | 24917 |
| Ginnie Mae I Pool 5% 11/15/2039  | 15356 | 15665 |
| Ginnie Mae I Pool 5% 11/15/2039  | 14828 | 15127 |
| Ginnie Mae I Pool 5% 11/15/2039  | 3379 | 3447 |
| Ginnie Mae I Pool 5% 11/15/2039  | 2853 | 2910 |
| Ginnie Mae I Pool 5% 11/15/2040  | 47755 | 48718 |
| Ginnie Mae I Pool 5% 11/15/2040  | 17491 | 17846 |
| Ginnie Mae I Pool 5% 12/15/2032  | 525 | 533 |
| Ginnie Mae I Pool 5% 12/15/2037  | 12834 | 13091 |
| Ginnie Mae I Pool 5% 12/15/2039  | 39144 | 39933 |
| Ginnie Mae I Pool 5% 12/15/2039  | 18821 | 19199 |
| Ginnie Mae I Pool 5% 12/15/2039  | 15689 | 16007 |
| Ginnie Mae I Pool 5% 2/15/2039  | 7176 | 7319 |
| Ginnie Mae I Pool 5% 2/15/2040  | 2888 | 2946 |
| Ginnie Mae I Pool 5% 3/15/2039  | 30871 | 31484 |
| Ginnie Mae I Pool 5% 3/15/2040  | 5847 | 5965 |
| Ginnie Mae I Pool 5% 3/15/2041  | 31397 | 32033 |
| Ginnie Mae I Pool 5% 3/15/2041  | 11477 | 11708 |
| Ginnie Mae I Pool 5% 3/15/2041  | 2463 | 2513 |
| Ginnie Mae I Pool 5% 4/15/2033  | 3757 | 3817 |
| Ginnie Mae I Pool 5% 4/15/2039  | 6433 | 6561 |
| Ginnie Mae I Pool 5% 4/15/2040  | 371272 | 378753 |
| Ginnie Mae I Pool 5% 4/15/2040  | 273608 | 279115 |
| Ginnie Mae I Pool 5% 4/15/2040  | 15828 | 16148 |
| Ginnie Mae I Pool 5% 4/15/2040  | 5623 | 5736 |
| Ginnie Mae I Pool 5% 4/15/2040  | 1685 | 1719 |
| Ginnie Mae I Pool 5% 4/15/2041  | 56690 | 57842 |
| Ginnie Mae I Pool 5% 4/15/2041  | 27334 | 27888 |
| Ginnie Mae I Pool 5% 4/15/2041  | 12220 | 12467 |
| Ginnie Mae I Pool 5% 4/15/2041  | 12053 | 12296 |
| Ginnie Mae I Pool 5% 4/20/2048  | 2706781 | 2757628 |
| Ginnie Mae I Pool 5% 5/15/2039  | 92035 | 93875 |
| Ginnie Mae I Pool 5% 5/15/2039  | 44027 | 44908 |
| Ginnie Mae I Pool 5% 5/15/2039  | 2718 | 2771 |
| Ginnie Mae I Pool 5% 5/15/2040  | 24639 | 25130 |
| Ginnie Mae I Pool 5% 5/15/2040  | 15982 | 16305 |
| Ginnie Mae I Pool 5% 5/15/2040  | 3412 | 3481 |
| Ginnie Mae I Pool 5% 6/15/2033  | 281 | 285 |
| Ginnie Mae I Pool 5% 6/15/2039  | 10755 | 10970 |
| Ginnie Mae I Pool 5% 6/15/2039  | 5824 | 5940 |
| Ginnie Mae I Pool 5% 6/15/2039  | 981 | 1001 |
| Ginnie Mae I Pool 5% 6/15/2040  | 819850 | 836369 |
| Ginnie Mae I Pool 5% 6/15/2040  | 56383 | 57520 |
| Ginnie Mae I Pool 5% 6/15/2040  | 20463 | 20879 |
| Ginnie Mae I Pool 5% 6/15/2040  | 14936 | 15239 |
| Ginnie Mae I Pool 5% 6/15/2040  | 1694 | 1729 |
| Ginnie Mae I Pool 5% 6/15/2041  | 37852 | 38618 |
| Ginnie Mae I Pool 5% 6/15/2041  | 5348 | 5456 |
| Ginnie Mae I Pool 5% 6/15/2041  | 5074 | 5176 |
| Ginnie Mae I Pool 5% 7/15/2039  | 161895 | 165126 |
| Ginnie Mae I Pool 5% 7/15/2039  | 38354 | 39122 |
| Ginnie Mae I Pool 5% 7/15/2039  | 1454 | 1483 |
| Ginnie Mae I Pool 5% 7/15/2040  | 93719 | 95610 |
| Ginnie Mae I Pool 5% 7/15/2040  | 93433 | 95312 |
| Ginnie Mae I Pool 5% 7/15/2040  | 57225 | 58381 |
| Ginnie Mae I Pool 5% 7/15/2040  | 42557 | 43415 |
| Ginnie Mae I Pool 5% 7/15/2040  | 25134 | 25643 |
| Ginnie Mae I Pool 5% 7/15/2040  | 17751 | 18111 |
| Ginnie Mae I Pool 5% 7/15/2040  | 12009 | 12251 |
| Ginnie Mae I Pool 5% 7/15/2040  | 2720 | 2775 |
| Ginnie Mae I Pool 5% 8/15/2039  | 82148 | 83796 |
| Ginnie Mae I Pool 5% 8/15/2039  | 78554 | 80129 |
| Ginnie Mae I Pool 5% 8/15/2039  | 34536 | 35230 |
| Ginnie Mae I Pool 5% 8/15/2039  | 23635 | 24111 |
| Ginnie Mae I Pool 5% 8/15/2039  | 7599 | 7752 |
| Ginnie Mae I Pool 5% 8/15/2039  | 5466 | 5576 |
| Ginnie Mae I Pool 5% 8/15/2039  | 4547 | 4638 |
| Ginnie Mae I Pool 5% 8/15/2039  | 2731 | 2785 |
| Ginnie Mae I Pool 5% 8/15/2040  | 165205 | 168543 |
| Ginnie Mae I Pool 5% 8/15/2040  | 164893 | 168220 |
| Ginnie Mae I Pool 5% 8/15/2040  | 53045 | 54117 |
| Ginnie Mae I Pool 5% 8/15/2040  | 15201 | 15509 |
| Ginnie Mae I Pool 5% 8/15/2041  | 8531 | 8702 |
| Ginnie Mae I Pool 5% 9/15/2037  | 2067 | 2109 |
| Ginnie Mae I Pool 5% 9/15/2039  | 225566 | 230076 |
| Ginnie Mae I Pool 5% 9/15/2039  | 77014 | 78561 |
| Ginnie Mae I Pool 5% 9/15/2039  | 43345 | 44215 |
| Ginnie Mae I Pool 5% 9/15/2039  | 27948 | 28508 |
| Ginnie Mae I Pool 5% 9/15/2039  | 26345 | 26873 |
| Ginnie Mae I Pool 5% 9/15/2039  | 14324 | 14612 |
| Ginnie Mae I Pool 5% 9/15/2039  | 13139 | 13404 |
| Ginnie Mae I Pool 5% 9/15/2039  | 11777 | 12014 |
| Ginnie Mae I Pool 5% 9/15/2039  | 11667 | 11900 |
| Ginnie Mae I Pool 5% 9/15/2039  | 11607 | 11840 |
| Ginnie Mae I Pool 5% 9/15/2039  | 9078 | 9260 |
| Ginnie Mae I Pool 5% 9/15/2039  | 3849 | 3927 |
| Ginnie Mae I Pool 5% 9/15/2039  | 3711 | 3785 |
| Ginnie Mae I Pool 5% 9/15/2040  | 89114 | 90911 |
| Ginnie Mae I Pool 5% 9/15/2040  | 58922 | 60115 |
| Ginnie Mae I Pool 5% 9/15/2040  | 33610 | 34289 |
| Ginnie Mae I Pool 5% 9/15/2040  | 12399 | 12651 |
| Ginnie Mae I Pool 5% 9/15/2041  | 704389 | 718539 |
| Ginnie Mae I Pool 5.5% 1/15/2034  | 473 | 485 |
| Ginnie Mae I Pool 5.5% 1/15/2039  | 38098 | 39265 |
| Ginnie Mae I Pool 5.5% 10/15/2035  | 30143 | 30974 |
| Ginnie Mae I Pool 5.5% 11/15/2033  | 260 | 267 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 68857 | 71002 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 27951 | 28765 |
| Ginnie Mae I Pool 5.5% 12/15/2038  | 1930 | 1987 |
| Ginnie Mae I Pool 5.5% 2/15/2037  | 185 | 191 |
| Ginnie Mae I Pool 5.5% 3/15/2034  | 2005 | 2055 |
| Ginnie Mae I Pool 5.5% 3/15/2034  | 370 | 379 |
| Ginnie Mae I Pool 5.5% 3/15/2038  | 50362 | 51824 |
| Ginnie Mae I Pool 5.5% 3/15/2039  | 5629 | 5800 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 2109 | 2161 |
| Ginnie Mae I Pool 5.5% 4/15/2034  | 343 | 352 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 7625 | 7826 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 2213 | 2269 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 813 | 834 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 551 | 566 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 470 | 482 |
| Ginnie Mae I Pool 5.5% 5/15/2034  | 349 | 357 |
| Ginnie Mae I Pool 5.5% 5/15/2037  | 191 | 196 |
| Ginnie Mae I Pool 5.5% 5/15/2039  | 21280 | 21932 |
| Ginnie Mae I Pool 5.5% 6/15/2039  | 1667 | 1716 |
| Ginnie Mae I Pool 5.5% 6/15/2039  | 588 | 602 |
| Ginnie Mae I Pool 5.5% 7/15/2033  | 1867 | 1914 |
| Ginnie Mae I Pool 5.5% 7/15/2037  | 2049 | 2111 |
| Ginnie Mae I Pool 5.5% 7/15/2037  | 385 | 397 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 6011 | 6157 |
| Ginnie Mae I Pool 5.5% 7/15/2038  | 403 | 415 |
| Ginnie Mae I Pool 5.5% 7/15/2039  | 19135 | 19733 |
| Ginnie Mae I Pool 5.5% 8/15/2033  | 5752 | 5898 |
| Ginnie Mae I Pool 5.5% 8/15/2038  | 43683 | 45039 |
| Ginnie Mae I Pool 5.5% 9/15/2038  | 64432 | 66398 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 188907 | 194809 |
| Ginnie Mae I Pool 5.5% 9/15/2039  | 132724 | 136865 |
| Ginnie Mae I Pool 6% 10/15/2030  | 8661 | 8925 |
| Ginnie Mae I Pool 6% 10/15/2039  | 5252 | 5508 |
| Ginnie Mae I Pool 6% 11/15/2037  | 511 | 533 |
| Ginnie Mae I Pool 6% 11/15/2039  | 15095 | 15841 |
| Ginnie Mae I Pool 6% 11/15/2039  | 8672 | 9100 |
| Ginnie Mae I Pool 6% 11/15/2039  | 5712 | 5988 |
| Ginnie Mae I Pool 6% 11/15/2039  | 3339 | 3493 |
| Ginnie Mae I Pool 6% 11/15/2039  | 2843 | 2967 |
| Ginnie Mae I Pool 6% 11/15/2039  | 2223 | 2327 |
| Ginnie Mae I Pool 6% 11/15/2039  | 1464 | 1535 |
| Ginnie Mae I Pool 6% 12/15/2034  | 1655 | 1723 |
| Ginnie Mae I Pool 6% 5/15/2040  | 475625 | 497588 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 19637 | 20831 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 2517 | 2659 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 1178 | 1252 |
| Ginnie Mae I Pool 6.5% 10/15/2034  | 259 | 273 |
| Ginnie Mae I Pool 6.5% 10/15/2035  | 12191 | 13008 |
| Ginnie Mae I Pool 6.5% 10/15/2036  | 3908 | 4154 |
| Ginnie Mae I Pool 6.5% 11/15/2034  | 4539 | 4730 |
| Ginnie Mae I Pool 6.5% 6/15/2037  | 4699 | 4992 |
| Ginnie Mae I Pool 6.5% 7/15/2035  | 1429 | 1518 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 20664 | 21863 |
| Ginnie Mae I Pool 6.5% 8/15/2034  | 471 | 491 |
| Ginnie Mae I Pool 6.5% 8/15/2036  | 3481 | 3700 |
| Ginnie Mae I Pool 6.5% 9/15/2034  | 8446 | 8936 |
| Ginnie Mae I Pool 6.5% 9/15/2035  | 299 | 309 |
| Ginnie Mae I Pool 7% 1/15/2027  | 15 | 15 |
| Ginnie Mae I Pool 7% 1/15/2028  | 386 | 388 |
| Ginnie Mae I Pool 7% 1/15/2028  | 337 | 341 |
| Ginnie Mae I Pool 7% 1/15/2028  | 244 | 246 |
| Ginnie Mae I Pool 7% 1/15/2028  | 210 | 213 |
| Ginnie Mae I Pool 7% 1/15/2028  | 196 | 199 |
| Ginnie Mae I Pool 7% 1/15/2028  | 183 | 184 |
| Ginnie Mae I Pool 7% 1/15/2028  | 159 | 160 |
| Ginnie Mae I Pool 7% 1/15/2028  | 49 | 49 |
| Ginnie Mae I Pool 7% 1/15/2028  | 37 | 38 |
| Ginnie Mae I Pool 7% 1/15/2029  | 1090 | 1111 |
| Ginnie Mae I Pool 7% 1/15/2029  | 560 | 572 |
| Ginnie Mae I Pool 7% 1/15/2029  | 391 | 399 |
| Ginnie Mae I Pool 7% 1/15/2029  | 296 | 301 |
| Ginnie Mae I Pool 7% 1/15/2029  | 217 | 222 |
| Ginnie Mae I Pool 7% 1/15/2029  | 71 | 72 |
| Ginnie Mae I Pool 7% 1/15/2030  | 1763 | 1804 |
| Ginnie Mae I Pool 7% 1/15/2030  | 159 | 162 |
| Ginnie Mae I Pool 7% 1/15/2031  | 1879 | 1934 |
| Ginnie Mae I Pool 7% 1/15/2031  | 1046 | 1081 |
| Ginnie Mae I Pool 7% 1/15/2032  | 3906 | 4041 |
| Ginnie Mae I Pool 7% 10/15/2026  | 61 | 61 |
| Ginnie Mae I Pool 7% 10/15/2027  | 1037 | 1046 |
| Ginnie Mae I Pool 7% 10/15/2028  | 1553 | 1581 |
| Ginnie Mae I Pool 7% 10/15/2028  | 277 | 281 |
| Ginnie Mae I Pool 7% 10/15/2029  | 379 | 389 |
| Ginnie Mae I Pool 7% 10/15/2029  | 83 | 86 |
| Ginnie Mae I Pool 7% 10/15/2030  | 483 | 495 |
| Ginnie Mae I Pool 7% 10/15/2031  | 3151 | 3267 |
| Ginnie Mae I Pool 7% 10/15/2031  | 1291 | 1314 |
| Ginnie Mae I Pool 7% 10/15/2031  | 924 | 957 |
| Ginnie Mae I Pool 7% 10/15/2031  | 888 | 920 |
| Ginnie Mae I Pool 7% 10/15/2031  | 769 | 793 |
| Ginnie Mae I Pool 7% 10/15/2031  | 28 | 29 |
| Ginnie Mae I Pool 7% 11/15/2027  | 41 | 42 |
| Ginnie Mae I Pool 7% 11/15/2028  | 567 | 579 |
| Ginnie Mae I Pool 7% 11/15/2028  | 278 | 284 |
| Ginnie Mae I Pool 7% 11/15/2028  | 51 | 51 |
| Ginnie Mae I Pool 7% 11/15/2029  | 1547 | 1588 |
| Ginnie Mae I Pool 7% 11/15/2031  | 1793 | 1857 |
| Ginnie Mae I Pool 7% 11/15/2031  | 1774 | 1817 |
| Ginnie Mae I Pool 7% 11/15/2031  | 892 | 918 |
| Ginnie Mae I Pool 7% 11/15/2032  | 413 | 426 |
| Ginnie Mae I Pool 7% 12/15/2026  | 2 | 2 |
| Ginnie Mae I Pool 7% 12/15/2027  | 415 | 420 |
| Ginnie Mae I Pool 7% 12/15/2027  | 316 | 320 |
| Ginnie Mae I Pool 7% 12/15/2027  | 113 | 115 |
| Ginnie Mae I Pool 7% 12/15/2027  | 49 | 49 |
| Ginnie Mae I Pool 7% 12/15/2028  | 605 | 617 |
| Ginnie Mae I Pool 7% 12/15/2028  | 557 | 568 |
| Ginnie Mae I Pool 7% 12/15/2028  | 204 | 207 |
| Ginnie Mae I Pool 7% 12/15/2028  | 90 | 92 |
| Ginnie Mae I Pool 7% 12/15/2028  | 37 | 38 |
| Ginnie Mae I Pool 7% 12/15/2028  | 14 | 14 |
| Ginnie Mae I Pool 7% 12/15/2030  | 1796 | 1855 |
| Ginnie Mae I Pool 7% 12/15/2030  | 825 | 852 |
| Ginnie Mae I Pool 7% 12/15/2031  | 2996 | 3101 |
| Ginnie Mae I Pool 7% 12/15/2031  | 1430 | 1482 |
| Ginnie Mae I Pool 7% 12/15/2031  | 137 | 142 |
| Ginnie Mae I Pool 7% 2/15/2028  | 939 | 953 |
| Ginnie Mae I Pool 7% 2/15/2028  | 582 | 590 |
| Ginnie Mae I Pool 7% 2/15/2028  | 236 | 238 |
| Ginnie Mae I Pool 7% 2/15/2028  | 228 | 229 |
| Ginnie Mae I Pool 7% 2/15/2028  | 166 | 168 |
| Ginnie Mae I Pool 7% 2/15/2028  | 86 | 88 |
| Ginnie Mae I Pool 7% 2/15/2028  | 87 | 88 |
| Ginnie Mae I Pool 7% 2/15/2028  | 33 | 33 |
| Ginnie Mae I Pool 7% 2/15/2028  | 25 | 25 |
| Ginnie Mae I Pool 7% 2/15/2028  | 21 | 22 |
| Ginnie Mae I Pool 7% 2/15/2028  | 9 | 9 |
| Ginnie Mae I Pool 7% 2/15/2029  | 120 | 123 |
| Ginnie Mae I Pool 7% 2/15/2029  | 83 | 84 |
| Ginnie Mae I Pool 7% 2/15/2029  | 67 | 68 |
| Ginnie Mae I Pool 7% 2/15/2030  | 518 | 532 |
| Ginnie Mae I Pool 7% 2/15/2031  | 7074 | 7309 |
| Ginnie Mae I Pool 7% 2/15/2032  | 4697 | 4875 |
| Ginnie Mae I Pool 7% 2/15/2032  | 4058 | 4199 |
| Ginnie Mae I Pool 7% 2/15/2032  | 3027 | 3092 |
| Ginnie Mae I Pool 7% 2/15/2032  | 1295 | 1342 |
| Ginnie Mae I Pool 7% 2/15/2032  | 470 | 486 |
| Ginnie Mae I Pool 7% 2/15/2032  | 359 | 365 |
| Ginnie Mae I Pool 7% 2/15/2032  | 311 | 322 |
| Ginnie Mae I Pool 7% 3/15/2028  | 1013 | 1029 |
| Ginnie Mae I Pool 7% 3/15/2028  | 567 | 574 |
| Ginnie Mae I Pool 7% 3/15/2028  | 324 | 329 |
| Ginnie Mae I Pool 7% 3/15/2028  | 260 | 263 |
| Ginnie Mae I Pool 7% 3/15/2028  | 230 | 231 |
| Ginnie Mae I Pool 7% 3/15/2028  | 145 | 146 |
| Ginnie Mae I Pool 7% 3/15/2028  | 104 | 105 |
| Ginnie Mae I Pool 7% 3/15/2028  | 101 | 103 |
| Ginnie Mae I Pool 7% 3/15/2028  | 57 | 58 |
| Ginnie Mae I Pool 7% 3/15/2029  | 764 | 780 |
| Ginnie Mae I Pool 7% 3/15/2029  | 346 | 354 |
| Ginnie Mae I Pool 7% 3/15/2029  | 205 | 209 |
| Ginnie Mae I Pool 7% 3/15/2029  | 94 | 95 |
| Ginnie Mae I Pool 7% 3/15/2029  | 64 | 65 |
| Ginnie Mae I Pool 7% 3/15/2029  | 53 | 53 |
| Ginnie Mae I Pool 7% 3/15/2031  | 9205 | 9455 |
| Ginnie Mae I Pool 7% 3/15/2031  | 858 | 872 |
| Ginnie Mae I Pool 7% 3/15/2031  | 297 | 307 |
| Ginnie Mae I Pool 7% 3/15/2031  | 285 | 294 |
| Ginnie Mae I Pool 7% 3/15/2031  | 210 | 217 |
| Ginnie Mae I Pool 7% 3/15/2032  | 1852 | 1922 |
| Ginnie Mae I Pool 7% 3/15/2032  | 804 | 834 |
| Ginnie Mae I Pool 7% 3/15/2032  | 646 | 670 |
| Ginnie Mae I Pool 7% 3/15/2032  | 432 | 446 |
| Ginnie Mae I Pool 7% 3/15/2032  | 419 | 433 |
| Ginnie Mae I Pool 7% 3/15/2032  | 206 | 212 |
| Ginnie Mae I Pool 7% 3/15/2032  | 150 | 156 |
| Ginnie Mae I Pool 7% 3/15/2032  | 24 | 25 |
| Ginnie Mae I Pool 7% 4/15/2028  | 545 | 553 |
| Ginnie Mae I Pool 7% 4/15/2028  | 343 | 348 |
| Ginnie Mae I Pool 7% 4/15/2028  | 247 | 251 |
| Ginnie Mae I Pool 7% 4/15/2028  | 195 | 198 |
| Ginnie Mae I Pool 7% 4/15/2028  | 133 | 134 |
| Ginnie Mae I Pool 7% 4/15/2028  | 86 | 87 |
| Ginnie Mae I Pool 7% 4/15/2028  | 53 | 54 |
| Ginnie Mae I Pool 7% 4/15/2028  | 42 | 42 |
| Ginnie Mae I Pool 7% 4/15/2028  | 22 | 23 |
| Ginnie Mae I Pool 7% 4/15/2028  | 14 | 14 |
| Ginnie Mae I Pool 7% 4/15/2028  | 5 | 5 |
| Ginnie Mae I Pool 7% 4/15/2029  | 524 | 534 |
| Ginnie Mae I Pool 7% 4/15/2029  | 49 | 50 |
| Ginnie Mae I Pool 7% 4/15/2029  | 27 | 28 |
| Ginnie Mae I Pool 7% 4/15/2030  | 463 | 476 |
| Ginnie Mae I Pool 7% 4/15/2031  | 2564 | 2648 |
| Ginnie Mae I Pool 7% 4/15/2031  | 884 | 914 |
| Ginnie Mae I Pool 7% 4/15/2031  | 513 | 531 |
| Ginnie Mae I Pool 7% 4/15/2031  | 214 | 221 |
| Ginnie Mae I Pool 7% 4/15/2031  | 113 | 117 |
| Ginnie Mae I Pool 7% 4/15/2032  | 10375 | 10721 |
| Ginnie Mae I Pool 7% 4/15/2032  | 2885 | 2996 |
| Ginnie Mae I Pool 7% 4/15/2032  | 1497 | 1550 |
| Ginnie Mae I Pool 7% 4/15/2032  | 1263 | 1308 |
| Ginnie Mae I Pool 7% 4/15/2032  | 1032 | 1071 |
| Ginnie Mae I Pool 7% 4/15/2032  | 447 | 462 |
| Ginnie Mae I Pool 7% 4/15/2032  | 395 | 409 |
| Ginnie Mae I Pool 7% 4/15/2032  | 295 | 298 |
| Ginnie Mae I Pool 7% 4/15/2032  | 286 | 296 |
| Ginnie Mae I Pool 7% 4/15/2032  | 235 | 243 |
| Ginnie Mae I Pool 7% 4/15/2032  | 235 | 242 |
| Ginnie Mae I Pool 7% 4/15/2032  | 111 | 112 |
| Ginnie Mae I Pool 7% 4/20/2032  | 39417 | 41055 |
| Ginnie Mae I Pool 7% 5/15/2027  | 8 | 8 |
| Ginnie Mae I Pool 7% 5/15/2028  | 984 | 997 |
| Ginnie Mae I Pool 7% 5/15/2028  | 743 | 755 |
| Ginnie Mae I Pool 7% 5/15/2028  | 461 | 464 |
| Ginnie Mae I Pool 7% 5/15/2028  | 349 | 355 |
| Ginnie Mae I Pool 7% 5/15/2028  | 71 | 72 |
| Ginnie Mae I Pool 7% 5/15/2028  | 54 | 55 |
| Ginnie Mae I Pool 7% 5/15/2028  | 47 | 47 |
| Ginnie Mae I Pool 7% 5/15/2028  | 38 | 38 |
| Ginnie Mae I Pool 7% 5/15/2028  | 22 | 23 |
| Ginnie Mae I Pool 7% 5/15/2028  | 21 | 21 |
| Ginnie Mae I Pool 7% 5/15/2029  | 346 | 355 |
| Ginnie Mae I Pool 7% 5/15/2030  | 268 | 274 |
| Ginnie Mae I Pool 7% 5/15/2031  | 11526 | 11910 |
| Ginnie Mae I Pool 7% 5/15/2031  | 903 | 927 |
| Ginnie Mae I Pool 7% 5/15/2031  | 456 | 472 |
| Ginnie Mae I Pool 7% 5/15/2031  | 244 | 247 |
| Ginnie Mae I Pool 7% 5/15/2032  | 14569 | 15130 |
| Ginnie Mae I Pool 7% 5/15/2032  | 3702 | 3831 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1744 | 1813 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1619 | 1672 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1612 | 1670 |
| Ginnie Mae I Pool 7% 5/15/2032  | 1434 | 1490 |
| Ginnie Mae I Pool 7% 5/15/2032  | 837 | 861 |
| Ginnie Mae I Pool 7% 5/15/2032  | 792 | 821 |
| Ginnie Mae I Pool 7% 5/15/2032  | 534 | 544 |
| Ginnie Mae I Pool 7% 5/15/2032  | 431 | 443 |
| Ginnie Mae I Pool 7% 5/15/2032  | 380 | 393 |
| Ginnie Mae I Pool 7% 5/15/2032  | 318 | 329 |
| Ginnie Mae I Pool 7% 5/15/2032  | 273 | 281 |
| Ginnie Mae I Pool 7% 5/15/2032  | 94 | 98 |
| Ginnie Mae I Pool 7% 5/15/2032  | 48 | 50 |
| Ginnie Mae I Pool 7% 6/15/2028  | 3762 | 3812 |
| Ginnie Mae I Pool 7% 6/15/2028  | 1563 | 1587 |
| Ginnie Mae I Pool 7% 6/15/2028  | 550 | 558 |
| Ginnie Mae I Pool 7% 6/15/2028  | 539 | 548 |
| Ginnie Mae I Pool 7% 6/15/2028  | 448 | 456 |
| Ginnie Mae I Pool 7% 6/15/2028  | 362 | 368 |
| Ginnie Mae I Pool 7% 6/15/2028  | 274 | 278 |
| Ginnie Mae I Pool 7% 6/15/2028  | 238 | 241 |
| Ginnie Mae I Pool 7% 6/15/2028  | 192 | 196 |
| Ginnie Mae I Pool 7% 6/15/2028  | 172 | 175 |
| Ginnie Mae I Pool 7% 6/15/2028  | 155 | 158 |
| Ginnie Mae I Pool 7% 6/15/2028  | 133 | 135 |
| Ginnie Mae I Pool 7% 6/15/2028  | 65 | 67 |
| Ginnie Mae I Pool 7% 6/15/2028  | 65 | 66 |
| Ginnie Mae I Pool 7% 6/15/2028  | 61 | 62 |
| Ginnie Mae I Pool 7% 6/15/2028  | 42 | 43 |
| Ginnie Mae I Pool 7% 6/15/2028  | 27 | 27 |
| Ginnie Mae I Pool 7% 6/15/2028  | 24 | 24 |
| Ginnie Mae I Pool 7% 6/15/2029  | 2881 | 2948 |
| Ginnie Mae I Pool 7% 6/15/2029  | 477 | 484 |
| Ginnie Mae I Pool 7% 6/15/2029  | 171 | 176 |
| Ginnie Mae I Pool 7% 6/15/2029  | 120 | 123 |
| Ginnie Mae I Pool 7% 6/15/2029  | 119 | 122 |
| Ginnie Mae I Pool 7% 6/15/2031  | 21745 | 22495 |
| Ginnie Mae I Pool 7% 6/15/2031  | 2868 | 2966 |
| Ginnie Mae I Pool 7% 6/15/2031  | 1209 | 1250 |
| Ginnie Mae I Pool 7% 6/15/2031  | 570 | 590 |
| Ginnie Mae I Pool 7% 6/15/2031  | 26 | 27 |
| Ginnie Mae I Pool 7% 6/15/2032  | 1911 | 1975 |
| Ginnie Mae I Pool 7% 6/15/2032  | 1016 | 1048 |
| Ginnie Mae I Pool 7% 6/15/2032  | 515 | 535 |
| Ginnie Mae I Pool 7% 6/15/2032  | 496 | 510 |
| Ginnie Mae I Pool 7% 6/15/2032  | 367 | 379 |
| Ginnie Mae I Pool 7% 6/15/2032  | 339 | 351 |
| Ginnie Mae I Pool 7% 6/15/2032  | 290 | 301 |
| Ginnie Mae I Pool 7% 6/15/2032  | 73 | 75 |
| Ginnie Mae I Pool 7% 6/15/2032  | 66 | 68 |
| Ginnie Mae I Pool 7% 7/15/2028  | 9878 | 10011 |
| Ginnie Mae I Pool 7% 7/15/2028  | 651 | 661 |
| Ginnie Mae I Pool 7% 7/15/2028  | 323 | 328 |
| Ginnie Mae I Pool 7% 7/15/2028  | 320 | 325 |
| Ginnie Mae I Pool 7% 7/15/2028  | 123 | 125 |
| Ginnie Mae I Pool 7% 7/15/2028  | 109 | 110 |
| Ginnie Mae I Pool 7% 7/15/2028  | 102 | 103 |
| Ginnie Mae I Pool 7% 7/15/2028  | 97 | 99 |
| Ginnie Mae I Pool 7% 7/15/2028  | 90 | 91 |
| Ginnie Mae I Pool 7% 7/15/2028  | 64 | 64 |
| Ginnie Mae I Pool 7% 7/15/2028  | 43 | 43 |
| Ginnie Mae I Pool 7% 7/15/2029  | 687 | 704 |
| Ginnie Mae I Pool 7% 7/15/2029  | 518 | 530 |
| Ginnie Mae I Pool 7% 7/15/2029  | 386 | 394 |
| Ginnie Mae I Pool 7% 7/15/2029  | 255 | 261 |
| Ginnie Mae I Pool 7% 7/15/2029  | 39 | 40 |
| Ginnie Mae I Pool 7% 7/15/2031  | 12535 | 12957 |
| Ginnie Mae I Pool 7% 7/15/2031  | 8966 | 9276 |
| Ginnie Mae I Pool 7% 7/15/2031  | 4105 | 4231 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1977 | 2047 |
| Ginnie Mae I Pool 7% 7/15/2031  | 1253 | 1293 |
| Ginnie Mae I Pool 7% 7/15/2031  | 506 | 521 |
| Ginnie Mae I Pool 7% 7/15/2031  | 290 | 297 |
| Ginnie Mae I Pool 7% 7/15/2031  | 5 | 5 |
| Ginnie Mae I Pool 7% 7/15/2032  | 6370 | 6599 |
| Ginnie Mae I Pool 7% 7/15/2032  | 1006 | 1046 |
| Ginnie Mae I Pool 7% 7/15/2032  | 799 | 823 |
| Ginnie Mae I Pool 7% 7/15/2032  | 576 | 595 |
| Ginnie Mae I Pool 7% 7/15/2032  | 548 | 569 |
| Ginnie Mae I Pool 7% 7/15/2032  | 520 | 540 |
| Ginnie Mae I Pool 7% 7/15/2032  | 113 | 118 |
| Ginnie Mae I Pool 7% 8/15/2028  | 41 | 41 |
| Ginnie Mae I Pool 7% 8/15/2029  | 92 | 93 |
| Ginnie Mae I Pool 7% 8/15/2029  | 47 | 47 |
| Ginnie Mae I Pool 7% 8/15/2029  | 18 | 18 |
| Ginnie Mae I Pool 7% 8/15/2031  | 1492 | 1544 |
| Ginnie Mae I Pool 7% 8/15/2031  | 940 | 974 |
| Ginnie Mae I Pool 7% 8/15/2031  | 698 | 721 |
| Ginnie Mae I Pool 7% 8/15/2031  | 483 | 500 |
| Ginnie Mae I Pool 7% 8/15/2031  | 373 | 387 |
| Ginnie Mae I Pool 7% 8/15/2031  | 283 | 292 |
| Ginnie Mae I Pool 7% 8/15/2031  | 261 | 270 |
| Ginnie Mae I Pool 7% 8/15/2032  | 29049 | 30039 |
| Ginnie Mae I Pool 7% 8/15/2032  | 829 | 852 |
| Ginnie Mae I Pool 7% 8/15/2032  | 500 | 517 |
| Ginnie Mae I Pool 7% 8/15/2032  | 473 | 491 |
| Ginnie Mae I Pool 7% 8/15/2032  | 381 | 396 |
| Ginnie Mae I Pool 7% 8/15/2032  | 330 | 342 |
| Ginnie Mae I Pool 7% 8/15/2032  | 238 | 246 |
| Ginnie Mae I Pool 7% 8/15/2032  | 118 | 119 |
| Ginnie Mae I Pool 7% 9/15/2027  | 33 | 33 |
| Ginnie Mae I Pool 7% 9/15/2028  | 553 | 564 |
| Ginnie Mae I Pool 7% 9/15/2028  | 119 | 121 |
| Ginnie Mae I Pool 7% 9/15/2028  | 78 | 79 |
| Ginnie Mae I Pool 7% 9/15/2028  | 62 | 63 |
| Ginnie Mae I Pool 7% 9/15/2028  | 56 | 57 |
| Ginnie Mae I Pool 7% 9/15/2028  | 25 | 26 |
| Ginnie Mae I Pool 7% 9/15/2029  | 55 | 56 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1949 | 2019 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1622 | 1680 |
| Ginnie Mae I Pool 7% 9/15/2031  | 1285 | 1330 |
| Ginnie Mae I Pool 7% 9/15/2031  | 635 | 657 |
| Ginnie Mae I Pool 7% 9/15/2031  | 478 | 493 |
| Ginnie Mae I Pool 7% 9/15/2031  | 164 | 168 |
| Ginnie Mae I Pool 7% 9/15/2031  | 131 | 135 |
| Ginnie Mae I Pool 7% 9/15/2031  | 65 | 67 |
| Ginnie Mae I Pool 7% 9/15/2032  | 68707 | 70905 |
| Ginnie Mae I Pool 7.5% 1/15/2028  | 328 | 332 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 276 | 287 |
| Ginnie Mae I Pool 7.5% 1/15/2031  | 82 | 85 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 740 | 747 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 682 | 694 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 481 | 490 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 460 | 468 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 161 | 163 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 93 | 95 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 67 | 68 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 41 | 41 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 36 | 37 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 35 | 36 |
| Ginnie Mae I Pool 7.5% 10/15/2027  | 13 | 13 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 68 | 69 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 49 | 50 |
| Ginnie Mae I Pool 7.5% 11/15/2027  | 37 | 37 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 342 | 349 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 264 | 269 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 261 | 265 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 104 | 105 |
| Ginnie Mae I Pool 7.5% 12/15/2027  | 30 | 30 |
| Ginnie Mae I Pool 7.5% 2/15/2027  | 550 | 553 |
| Ginnie Mae I Pool 7.5% 2/15/2027  | 69 | 70 |
| Ginnie Mae I Pool 7.5% 3/15/2026  | 4 | 4 |
| Ginnie Mae I Pool 7.5% 3/15/2026  | 3 | 3 |
| Ginnie Mae I Pool 7.5% 3/15/2028  | 260 | 266 |
| Ginnie Mae I Pool 7.5% 3/15/2031  | 1126 | 1179 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 450 | 454 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 231 | 233 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 107 | 108 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 77 | 78 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 66 | 67 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 53 | 53 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 44 | 44 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 30 | 30 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 20 | 20 |
| Ginnie Mae I Pool 7.5% 4/15/2027  | 8 | 8 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 133 | 134 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 70 | 71 |
| Ginnie Mae I Pool 7.5% 5/15/2027  | 5 | 5 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 550 | 556 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 375 | 378 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 163 | 165 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 116 | 117 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 101 | 102 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 52 | 53 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 27 | 27 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 22 | 22 |
| Ginnie Mae I Pool 7.5% 6/15/2027  | 12 | 12 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 833 | 846 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 696 | 706 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 312 | 316 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 293 | 295 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 252 | 256 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 195 | 198 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 195 | 198 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 95 | 96 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 30 | 30 |
| Ginnie Mae I Pool 7.5% 7/15/2027  | 28 | 28 |
| Ginnie Mae I Pool 7.5% 7/15/2028  | 1484 | 1521 |
| Ginnie Mae I Pool 7.5% 7/15/2029  | 234 | 240 |
| Ginnie Mae I Pool 7.5% 8/15/2026  | 7 | 7 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 902 | 916 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 390 | 396 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 308 | 311 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 137 | 139 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 99 | 99 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 45 | 46 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 33 | 33 |
| Ginnie Mae I Pool 7.5% 8/15/2027  | 9 | 9 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 716 | 736 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 514 | 524 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 384 | 394 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 297 | 304 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 119 | 122 |
| Ginnie Mae I Pool 7.5% 8/15/2028  | 25 | 25 |
| Ginnie Mae I Pool 7.5% 8/15/2029  | 59 | 61 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 873 | 888 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 73 | 74 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 43 | 44 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 11 | 11 |
| Ginnie Mae I Pool 7.5% 9/15/2027  | 3 | 3 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 896 | 920 |
| Ginnie Mae I Pool 7.5% 9/15/2028  | 136 | 137 |
| Ginnie Mae I Pool 7.5% 9/15/2031  | 2183 | 2271 |
| Ginnie Mae I Pool 8% 1/15/2028  | 494 | 503 |
| Ginnie Mae I Pool 8% 10/15/2029  | 142 | 146 |
| Ginnie Mae I Pool 8% 11/15/2027  | 98 | 100 |
| Ginnie Mae I Pool 8% 12/15/2027  | 522 | 530 |
| Ginnie Mae I Pool 8% 12/15/2027  | 172 | 174 |
| Ginnie Mae I Pool 8% 12/15/2027  | 134 | 135 |
| Ginnie Mae I Pool 8% 12/15/2027  | 54 | 55 |
| Ginnie Mae I Pool 8% 7/15/2027  | 166 | 168 |
| Ginnie Mae I Pool 8% 8/15/2027  | 55 | 56 |
| Ginnie Mae I Pool 8% 8/15/2027  | 42 | 43 |
| Ginnie Mae I Pool 8% 9/15/2026  | 4 | 4 |
| Ginnie Mae I Pool 8% 9/15/2029  | 79 | 81 |
| Ginnie Mae I Pool 8.5% 1/15/2031  | 2638 | 2744 |
| Ginnie Mae I Pool 8.5% 11/15/2027  | 47 | 48 |
| Ginnie Mae I Pool 8.5% 11/15/2031  | 79 | 82 |
| Ginnie Mae I Pool 8.5% 12/15/2029  | 139 | 143 |
| Ginnie Mae I Pool 8.5% 4/15/2030  | 684 | 702 |
| Ginnie Mae I Pool 8.5% 7/15/2030  | 3929 | 4063 |
| Ginnie Mae I Pool 8.5% 8/15/2029  | 906 | 929 |
| Ginnie Mae II Pool 2% 1/1/2056 (d) | 165375000 | 136872271 |
| Ginnie Mae II Pool 2% 1/20/2051  | 119961993 | 99357285 |
| Ginnie Mae II Pool 2% 2/20/2052  | 61295233 | 50776719 |
| Ginnie Mae II Pool 2% 3/20/2052  | 50100147 | 41502757 |
| Ginnie Mae II Pool 2% 4/20/2052  | 11762886 | 9744326 |
| Ginnie Mae II Pool 2% 8/20/2050  | 1058440 | 877138 |
| Ginnie Mae II Pool 2% 8/20/2051  | 87036305 | 72073319 |
| Ginnie Mae II Pool 2% 9/20/2050  | 19289140 | 15985072 |
| Ginnie Mae II Pool 2.5% 1/1/2056 (d) | 12700000 | 10952267 |
| Ginnie Mae II Pool 2.5% 12/20/2051  | 2643195 | 2280812 |
| Ginnie Mae II Pool 2.5% 3/20/2052  | 14999991 | 12945832 |
| Ginnie Mae II Pool 2.5% 7/20/2051  | 124988 | 107852 |
| Ginnie Mae II Pool 2.5% 8/20/2051  | 32955140 | 28436983 |
| Ginnie Mae II Pool 2.5% 9/20/2051  | 48995106 | 42277867 |
| Ginnie Mae II Pool 3% 1/20/2032  | 2656394 | 2600210 |
| Ginnie Mae II Pool 3% 10/20/2031  | 863735 | 845955 |
| Ginnie Mae II Pool 3% 10/20/2049  | 75847 | 68396 |
| Ginnie Mae II Pool 3% 11/20/2031  | 938109 | 918264 |
| Ginnie Mae II Pool 3% 12/20/2031  | 1405403 | 1376078 |
| Ginnie Mae II Pool 3% 12/20/2046  | 5154305 | 4701159 |
| Ginnie Mae II Pool 3% 2/20/2031  | 111920 | 109874 |
| Ginnie Mae II Pool 3% 3/20/2031  | 224220 | 220055 |
| Ginnie Mae II Pool 3% 3/20/2050  | 3826413 | 3449355 |
| Ginnie Mae II Pool 3% 4/20/2031  | 840066 | 824218 |
| Ginnie Mae II Pool 3% 4/20/2052  | 20907653 | 18804927 |
| Ginnie Mae II Pool 3% 5/20/2031  | 1796324 | 1761915 |
| Ginnie Mae II Pool 3% 5/20/2050  | 1441065 | 1299061 |
| Ginnie Mae II Pool 3% 5/20/2051  | 3196188 | 2875839 |
| Ginnie Mae II Pool 3% 5/20/2052  | 68282656 | 61415326 |
| Ginnie Mae II Pool 3% 6/20/2050  | 26507 | 23895 |
| Ginnie Mae II Pool 3% 6/20/2051  | 846051 | 761094 |
| Ginnie Mae II Pool 3% 7/20/2031  | 23738 | 23270 |
| Ginnie Mae II Pool 3% 7/20/2051  | 1073933 | 966428 |
| Ginnie Mae II Pool 3% 8/20/2031  | 275513 | 269998 |
| Ginnie Mae II Pool 3% 8/20/2051  | 1271937 | 1144612 |
| Ginnie Mae II Pool 3% 9/20/2031  | 111708 | 109441 |
| Ginnie Mae II Pool 3% 9/20/2051  | 16717 | 15044 |
| Ginnie Mae II Pool 3.5% 1/20/2042  | 13315 | 12644 |
| Ginnie Mae II Pool 3.5% 1/20/2044  | 19604 | 18501 |
| Ginnie Mae II Pool 3.5% 10/20/2040  | 5581 | 5311 |
| Ginnie Mae II Pool 3.5% 10/20/2041  | 9212 | 8749 |
| Ginnie Mae II Pool 3.5% 10/20/2043  | 3962 | 3742 |
| Ginnie Mae II Pool 3.5% 11/20/2041  | 1124485 | 1068037 |
| Ginnie Mae II Pool 3.5% 11/20/2043  | 8263 | 7803 |
| Ginnie Mae II Pool 3.5% 12/20/2040  | 2137 | 2035 |
| Ginnie Mae II Pool 3.5% 12/20/2041  | 5319304 | 5052341 |
| Ginnie Mae II Pool 3.5% 2/20/2043  | 153301 | 145111 |
| Ginnie Mae II Pool 3.5% 3/20/2043  | 188663 | 178543 |
| Ginnie Mae II Pool 3.5% 4/20/2043  | 338994 | 320738 |
| Ginnie Mae II Pool 3.5% 4/20/2044  | 4284 | 4039 |
| Ginnie Mae II Pool 3.5% 5/20/2043  | 5560398 | 5237139 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 220270 | 203751 |
| Ginnie Mae II Pool 3.5% 5/20/2046  | 53181 | 49192 |
| Ginnie Mae II Pool 3.5% 7/20/2043  | 116941 | 110613 |
| Ginnie Mae II Pool 3.5% 8/20/2043  | 5593 | 5286 |
| Ginnie Mae II Pool 3.5% 9/20/2040  | 9739 | 9267 |
| Ginnie Mae II Pool 3.5% 9/20/2043  | 4519538 | 4269511 |
| Ginnie Mae II Pool 4% 1/20/2041  | 1135259 | 1106861 |
| Ginnie Mae II Pool 4% 1/20/2042  | 1191989 | 1160070 |
| Ginnie Mae II Pool 4% 1/20/2045  | 386677 | 374141 |
| Ginnie Mae II Pool 4% 1/20/2046  | 45547 | 43970 |
| Ginnie Mae II Pool 4% 10/20/2040  | 753247 | 734588 |
| Ginnie Mae II Pool 4% 10/20/2041  | 3203773 | 3119355 |
| Ginnie Mae II Pool 4% 11/20/2040  | 2972968 | 2898518 |
| Ginnie Mae II Pool 4% 11/20/2041  | 104632 | 101846 |
| Ginnie Mae II Pool 4% 12/20/2040  | 61785 | 60248 |
| Ginnie Mae II Pool 4% 12/20/2041  | 896307 | 872302 |
| Ginnie Mae II Pool 4% 2/20/2041  | 90836 | 88549 |
| Ginnie Mae II Pool 4% 3/20/2041  | 198380 | 193382 |
| Ginnie Mae II Pool 4% 3/20/2046  | 14319 | 13827 |
| Ginnie Mae II Pool 4% 3/20/2047  | 133203 | 128679 |
| Ginnie Mae II Pool 4% 4/20/2042  | 636805 | 619453 |
| Ginnie Mae II Pool 4% 4/20/2047  | 3766533 | 3638617 |
| Ginnie Mae II Pool 4% 5/20/2046  | 3491043 | 3377939 |
| Ginnie Mae II Pool 4% 6/20/2042  | 8728 | 8488 |
| Ginnie Mae II Pool 4% 8/20/2041  | 22009 | 21431 |
| Ginnie Mae II Pool 4% 8/20/2043  | 298019 | 289173 |
| Ginnie Mae II Pool 4% 9/20/2040  | 868897 | 847336 |
| Ginnie Mae II Pool 4.5% 1/1/2056 (d) | 37000000 | 36041585 |
| Ginnie Mae II Pool 4.5% 1/20/2041  | 217172 | 217262 |
| Ginnie Mae II Pool 4.5% 10/20/2035  | 2399 | 2406 |
| Ginnie Mae II Pool 4.5% 10/20/2039  | 33036 | 32468 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 465341 | 457240 |
| Ginnie Mae II Pool 4.5% 10/20/2040  | 46480 | 46506 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 195407 | 191775 |
| Ginnie Mae II Pool 4.5% 11/20/2040  | 46752 | 46774 |
| Ginnie Mae II Pool 4.5% 11/20/2054  | 45440034 | 44346425 |
| Ginnie Mae II Pool 4.5% 12/20/2039  | 184195 | 181083 |
| Ginnie Mae II Pool 4.5% 12/20/2040  | 93231 | 91509 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 1136149 | 1136564 |
| Ginnie Mae II Pool 4.5% 2/20/2041  | 8036 | 7887 |
| Ginnie Mae II Pool 4.5% 3/20/2036  | 16197 | 16246 |
| Ginnie Mae II Pool 4.5% 3/20/2041  | 74215 | 74242 |
| Ginnie Mae II Pool 4.5% 4/20/2040  | 87402 | 85845 |
| Ginnie Mae II Pool 4.5% 4/20/2041  | 472412 | 472559 |
| Ginnie Mae II Pool 4.5% 5/20/2040  | 80200 | 80263 |
| Ginnie Mae II Pool 4.5% 5/20/2041  | 4722435 | 4723896 |
| Ginnie Mae II Pool 4.5% 6/20/2033  | 7441 | 7466 |
| Ginnie Mae II Pool 4.5% 6/20/2039  | 36373 | 35777 |
| Ginnie Mae II Pool 4.5% 6/20/2040  | 84874 | 83456 |
| Ginnie Mae II Pool 4.5% 6/20/2041  | 1275360 | 1275562 |
| Ginnie Mae II Pool 4.5% 7/20/2039  | 7271 | 7234 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 89430 | 89488 |
| Ginnie Mae II Pool 4.5% 7/20/2040  | 7453 | 7326 |
| Ginnie Mae II Pool 4.5% 8/20/2040  | 9763 | 9770 |
| Ginnie Mae II Pool 4.5% 9/20/2040  | 837998 | 838465 |
| Ginnie Mae II Pool 5% 1/1/2056 (d) | 57500000 | 57360574 |
| Ginnie Mae II Pool 5% 12/20/2054  | 8108208 | 8126943 |
| Ginnie Mae II Pool 5% 2/1/2056 (d) | 57500000 | 57295438 |
| Ginnie Mae II Pool 5% 9/20/2033  | 341259 | 346631 |
| Ginnie Mae II Pool 5.5% 1/1/2056 (d) | 374500000 | 378114787 |
| Ginnie Mae II Pool 5.5% 12/20/2054  | 6863077 | 6937830 |
| Ginnie Mae II Pool 5.5% 2/1/2056 (d) | 345850000 | 348918071 |
| Ginnie Mae II Pool 5.5% 3/1/2056 (d) | 60700000 | 61216899 |
| Ginnie Mae II Pool 6% 1/1/2056 (d) | 304750000 | 310541499 |
| Ginnie Mae II Pool 6% 11/20/2031  | 9420 | 9726 |
| Ginnie Mae II Pool 6% 12/20/2054  | 7120899 | 7272833 |
| Ginnie Mae II Pool 6% 2/1/2056 (d) | 254225000 | 258867632 |
| Ginnie Mae II Pool 6% 3/1/2056 (d) | 81550000 | 82926156 |
| Ginnie Mae II Pool 6% 5/20/2032  | 43501 | 45017 |
| Ginnie Mae II Pool 6.5% 1/20/2032  | 384 | 400 |
| Ginnie Mae II Pool 6.5% 11/20/2031  | 1653 | 1721 |
| Ginnie Mae II Pool 6.5% 2/1/2056 (d) | 35825000 | 36986371 |
| Ginnie Mae II Pool 6.5% 3/1/2056 (d) | 35825000 | 37059283 |
| Ginnie Mae II Pool 6.5% 3/20/2031  | 2084 | 2161 |
| Ginnie Mae II Pool 6.5% 4/20/2031  | 239 | 248 |
| Ginnie Mae II Pool 6.5% 6/20/2031  | 223 | 231 |
| Ginnie Mae II Pool 6.5% 7/20/2031  | 288 | 299 |
| Ginnie Mae II Pool 6.5% 8/20/2031  | 271 | 281 |
| Ginnie Mae II Pool 7% 2/20/2032  | 12189 | 12707 |
| Ginnie Mae II Pool 7% 3/20/2032  | 6023 | 6286 |
| Uniform Mortgage Backed Securities 2% 1/1/2056 (d) | 411850000 | 332729744 |
| Uniform Mortgage Backed Securities 2% 2/1/2056 (d) | 170450000 | 137684976 |
| Uniform Mortgage Backed Securities 2.5% 1/1/2056 (d) | 17850000 | 15085342 |
| Uniform Mortgage Backed Securities 3% 1/1/2056 (d) | 42875000 | 37894130 |
| Uniform Mortgage Backed Securities 3% 2/1/2056 (d) | 42875000 | 37867333 |
| Uniform Mortgage Backed Securities 3.5% 2/1/2056 (d) | 1450000 | 1334963 |
| Uniform Mortgage Backed Securities 4.5% 1/1/2056 (d) | 95575000 | 93278964 |
| Uniform Mortgage Backed Securities 5% 1/1/2041 (d) | 158600000 | 160644449 |
| Uniform Mortgage Backed Securities 5% 1/1/2056 (d) | 22000000 | 21945000 |
| Uniform Mortgage Backed Securities 5% 2/1/2041 (d) | 169225000 | 171346912 |
| Uniform Mortgage Backed Securities 5.5% 1/1/2056 (d) | 397550000 | 403093954 |
| Uniform Mortgage Backed Securities 5.5% 2/1/2056 (d) | 157350000 | 159396777 |
| Uniform Mortgage Backed Securities 6% 1/1/2056 (d) | 490700000 | 503753405 |
| Uniform Mortgage Backed Securities 6% 2/1/2056 (d) | 335975000 | 344728728 |
| Uniform Mortgage Backed Securities 6.5% 1/1/2056 (d) | 78725000 | 81797117 |
| TOTAL UNITED STATES |  | 8441090911 |
| <br> **TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES**<br> (Cost $8,578,199,428) |  | <br> **8441090911** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 50.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 50.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 50.3%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 50.3%** |
|  | Yield (%) (n) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bonds 1.875% 11/15/2051  | 2.09 to 2.15 | 120053000 | 66357420 |
| US Treasury Bonds 2% 8/15/2051  | 1.95 to 1.99 | 733544000 | 420211825 |
| US Treasury Bonds 2.875% 5/15/2052  | 2.97 to 3.16 | 556400000 | 388784500 |
| US Treasury Bonds 3% 2/15/2049  | 2.93 to 3.06 | 271460000 | 199968463 |
| US Treasury Bonds 3.375% 8/15/2042  | 3.46 to 3.75 | 485600000 | 410332000 |
| US Treasury Bonds 3.625% 2/15/2053  | 3.80 to 3.81 | 193384000 | 156565500 |
| US Treasury Bonds 3.625% 5/15/2053  | 3.92 to 4.31 | 192000000 | 155317500 |
| US Treasury Bonds 4% 11/15/2052  | 4.95 to 5.00 | 129398000 | 112207274 |
| US Treasury Bonds 4.125% 8/15/2053  | 4.20 to 5.00 | 522303000 | 462360572 |
| US Treasury Bonds 4.25% 2/15/2054 (g) | 4.36 to 4.53 | 1126475000 | 1018403805 |
| US Treasury Bonds 4.25% 8/15/2054  | 4.63 to 4.65 | 110733000 | 100118203 |
| US Treasury Bonds 4.625% 11/15/2044  | 4.61 to 5.12 | 76570000 | 75032618 |
| US Treasury Bonds 4.625% 11/15/2055  | 4.79 | 81000000 | 78038438 |
| US Treasury Bonds 4.625% 5/15/2054  | 4.45 to 4.64 | 192000000 | 184912500 |
| US Treasury Bonds 4.75% 5/15/2055  | 4.83 to 4.98 | 281659000 | 276773977 |
| US Treasury Bonds 4.75% 8/15/2055  | 4.69 to 4.92 | 180900000 | 177847313 |
| US Treasury Bonds 4.875% 8/15/2045  | 4.53 to 4.75 | 700478000 | 707263881 |
| US Treasury Bonds Inflation-Indexed 2.375% 2/15/2055  | 2.47 to 2.66 | 27148500 | 25779281 |
| US Treasury Notes 2.375% 3/31/2029  | 2.43 to 2.67 | 504000000 | 485572500 |
| US Treasury Notes 2.625% 7/31/2029  | 2.80 | 273317000 | 264327434 |
| US Treasury Notes 2.75% 8/15/2032  | 2.75 to 2.79 | 813762000 | 758546979 |
| US Treasury Notes 2.875% 5/15/2032  | 2.96 to 3.16 | 763588000 | 719979963 |
| US Treasury Notes 3.375% 5/15/2033  | 3.79 to 3.98 | 465000000 | 447035743 |
| US Treasury Notes 3.5% 2/15/2033  | 3.92 to 3.94 | 470900000 | 457637544 |
| US Treasury Notes 3.5% 4/30/2030  | 3.65 | 528900000 | 525077872 |
| US Treasury Notes 3.625% 8/31/2029  | 3.49 | 153000000 | 152976094 |
| US Treasury Notes 3.625% 8/31/2030  | 3.59 to 3.61 | 251500000 | 250605995 |
| US Treasury Notes 3.625% 9/30/2031  | 3.93 to 3.95 | 609000000 | 602910000 |
| US Treasury Notes 3.75% 10/31/2032  | 3.95 | 177500000 | 175530859 |
| US Treasury Notes 3.75% 5/31/2030  | 4.00 to 4.01 | 514100000 | 515365169 |
| US Treasury Notes 3.75% 6/30/2030  | 3.91 to 4.12 | 543000000 | 544293866 |
| US Treasury Notes 3.75% 8/31/2031  | 3.59 | 660000000 | 657808595 |
| US Treasury Notes 3.875% 6/30/2030  | 3.99 | 297500000 | 299742870 |
| US Treasury Notes 3.875% 8/15/2033  | 4.02 to 4.77 | 1134063000 | 1124627244 |
| US Treasury Notes 3.875% 8/15/2034  | 4.27 to 4.28 | 232400000 | 228950324 |
| US Treasury Notes 4% 11/15/2035  | 4.14 | 383000000 | 377494375 |
| US Treasury Notes 4% 4/30/2032  | 4.26 to 4.27 | 313000000 | 315029611 |
| US Treasury Notes 4% 7/31/2030  | 4.15 to 4.64 | 1606800000 | 1627198825 |
| US Treasury Notes 4% 7/31/2032  | 3.92 to 3.93 | 392000000 | 394051877 |
| US Treasury Notes 4.125% 10/31/2031  | 4.39 | 574600000 | 583443450 |
| US Treasury Notes 4.125% 11/15/2032  | 3.73 to 3.75 | 825807000 | 835258617 |
| US Treasury Notes 4.125% 5/31/2032  | 4.05 | 8625000 | 8741173 |
| US Treasury Notes 4.125% 7/31/2031  | 4.03 | 75000000 | 76224608 |
| US Treasury Notes 4.25% 1/31/2030  | 4.31 | 461200000 | 471450889 |
| US Treasury Notes 4.25% 11/15/2034  | 4.18 | 419800000 | 424211179 |
| US Treasury Notes 4.25% 5/15/2035  | 4.23 to 4.52 | 1126050000 | 1135375102 |
| US Treasury Notes 4.25% 8/15/2035  | 4.04 to 4.26 | 1542250000 | 1553334923 |
| US Treasury Notes 4.375% 5/15/2034  | 4.10 to 4.29 | 18000000 | 18394453 |
| US Treasury Notes 4.5% 11/15/2033  | 4.27 to 4.29 | 355600000 | 367170890 |
| US Treasury Notes 4.625% 2/15/2035  | 4.24 | 473050000 | 491306797 |
| US Treasury Notes 4.75% 2/15/2045  | 4.78 to 4.96 | 45730000 | 45497778 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $22,791,812,934) |  |  | **21951448668** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.4%** | &nbsp;&nbsp;**Money Market Funds - 2.4%** | &nbsp;&nbsp;**Money Market Funds - 2.4%** | &nbsp;&nbsp;**Money Market Funds - 2.4%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (o) | 3.79 | 1031791342 | 1031997700 |
| Fidelity Securities Lending Cash Central Fund (o)(p) | 3.77 | 36238 | 36241 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $1,032,069,323) |  |  | **1032033941** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Purchased Swaptions - 0.1%** | &nbsp;&nbsp;**Purchased Swaptions - 0.1%** | &nbsp;&nbsp;**Purchased Swaptions - 0.1%** | &nbsp;&nbsp;**Purchased Swaptions - 0.1%** |
|  | Expiration<br> Date | Notional<br> Amount  | Value ($) |
| Put Swaptions - 0.1% |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.804% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 34790000 | 798480 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 4.075% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 29420000 | 965680 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to pay annually a fixed rate of 3.853% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 7100000 | 272463 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 4.025% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 9280000 | 313008 |
| Option on an interest rate swap with Citibank NA to pay annually a fixed rate of 4.03% and receive annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 32000000 | 1075531 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.675% and receive annually a floating rate based on US SOFR Index, expiring June 2036 | 6/2026 | 41460000 | 968051 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.565% and receive annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 15730000 | 570166 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.95% and receive annually a floating rate based on US SOFR Index, expiring May 2035 | 4/2030 | 21650000 | 761844 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to pay annually a fixed rate of 3.837% and receive annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 47480000 | 921326 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.874% and receive annually a floating rate based on US SOFR Index, expiring October 2035 | 10/2030 | 44240000 | 1709840 |
| Option on an interest rate swap with Bank of America NA to pay annually a fixed rate of 3.8% and receive annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 27050000 | 600359 |
| Option on an interest rate swap with Goldman Sachs Bank USA to pay annually a fixed rate of 3.887% and receive annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 12870000 | 484666 |
| 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 | 5/2030 | 48130000 | 1596826 |
| 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 | 5/2030 | 34290000 | 1174930 |
| TOTAL PUT SWAPTIONS |  |  | 12213170 |
| Call Swaptions - 0.0% |  |  |  |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.804% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 34790000 | 630377 |
| Option on an interest rate swap with JPMorgan Chase Bank NA to receive annually a fixed rate of 3.837% and pay annually a floating rate based on US SOFR Index, expiring July 2036 | 7/2026 | 47480000 | 864859 |
| Option on an interest rate swap with Citibank NA to receive annually a fixed rate of 4.03% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 32000000 | 976619 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 4.025% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 9280000 | 283180 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.887% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 12870000 | 347015 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.874% and pay annually a floating rate based on US SOFR Index, expiring October 2035 | 10/2030 | 44240000 | 1189781 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 3.853% and pay annually a floating rate based on US SOFR Index, expiring September 2035 | 9/2030 | 7100000 | 187367 |
| Option on an interest rate swap with Morgan Stanley Capital Services LLC to receive annually a fixed rate of 4.075% and pay annually a floating rate based on US SOFR Index, expiring April 2035 | 4/2030 | 29420000 | 927987 |
| 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 | 5/2030 | 34290000 | 1037351 |
| 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 | 5/2030 | 48130000 | 1508483 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.95% and pay annually a floating rate based on US SOFR Index, expiring May 2035 | 4/2030 | 21650000 | 627026 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.8% and pay annually a floating rate based on US SOFR Index, expiring August 2036 | 8/2026 | 27050000 | 472242 |
| Option on an interest rate swap with Goldman Sachs Bank USA to receive annually a fixed rate of 3.675% and pay annually a floating rate based on US SOFR Index, expiring June 2036 | 6/2026 | 41460000 | 417640 |
| Option on an interest rate swap with Bank of America NA to receive annually a fixed rate of 3.565% and pay annually a floating rate based on US SOFR Index, expiring September 2036 | 9/2026 | 15730000 | 178393 |
| TOTAL CALL SWAPTIONS |  |  | 9648320 |
| **TOTAL PURCHASED SWAPTIONS**<br> (Cost $27,129,412) |  |  | <br> **21861490** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 109.1%**<br> (Cost $48,791,354,233)<br>| <br>**47555620052** |
| **NET OTHER ASSETS (LIABILITIES) - (9.1)%**  | **(3936337837)** |
| **NET ASSETS - 100.0%** | **43619282215** |

---

---

| | | |
|:---|:---|:---|
| **TBA Sale Commitments**  | **TBA Sale Commitments**  | **TBA Sale Commitments**  |
|  | Principal<br> Amount (a) | Value ($) |
| U.S. Government Agency - Mortgage Securities |  |  |
| Ginnie Mae II Pool 5% 1/1/2056 | (57500000) | (57360574) |
| Ginnie Mae II Pool 5.5% 1/1/2056 | (345850000) | (349188248) |
| Ginnie Mae II Pool 5.5% 2/1/2056 | (60700000) | (61238476) |
| Ginnie Mae II Pool 6% 1/1/2056 | (304750000) | (310541499) |
| Ginnie Mae II Pool 6% 2/1/2056 | (81550000) | (83039258) |
| Ginnie Mae II Pool 6.5% 2/1/2056 | (35825000) | (36986371) |
| Uniform Mortgage Backed Securities 2% 1/1/2056 | (369650000) | (298636760) |
| Uniform Mortgage Backed Securities 2.5% 1/1/2056 | (17700000) | (14958574) |
| Uniform Mortgage Backed Securities 3% 1/1/2056 | (42875000) | (37894130) |
| Uniform Mortgage Backed Securities 3.5% 1/1/2056 | (1450000) | (1339494) |
| Uniform Mortgage Backed Securities 4.5% 1/1/2056 | (95575000) | (93278964) |
| Uniform Mortgage Backed Securities 5% 1/1/2041 | (136525000) | (138284889) |
| Uniform Mortgage Backed Securities 5% 1/1/2056 | (33300000) | (33216750) |
| Uniform Mortgage Backed Securities 5.5% 1/1/2056 | (369900000) | (375058367) |
| Uniform Mortgage Backed Securities 6% 1/1/2056 | (413875000) | (424884738) |
| Uniform Mortgage Backed Securities 6.5% 1/1/2056 | (50100000) | (52055072) |
| TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES  |  | (2367962164) |
| **TOTAL TBA SALE COMMITMENTS**<br> (Proceeds $2,367,559,782) |  | <br> **(2367962164)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 10Y US Treasury Notes Contracts (United States) | 494 | 3/2026 | 55466938 | (166321) |
| CBOT 2Y US Treasury Notes Contracts (United States) | 3172 | 3/2026 | 662204563 | 56220 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 5903 | 3/2026 | 644626047 | (1577429) |
| CBOT US Treasury Long Bond Contracts (United States) | 554 | 3/2026 | 63831188 | (454912) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 74 | 3/2026 | 8692688 | (44466) |
| TOTAL LONG |  |  |  | (2186908) |
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 5Y US Treasury Notes Contracts (United States) | 9 | 3/2026 | 982828 | 2311 |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **(2184597)** |
| The notional amount of long futures as a percentage of Net Assets is 3.2%. | The notional amount of long futures as a percentage of Net Assets is 3.2%. | The notional amount of long futures as a percentage of Net Assets is 3.2%. | The notional amount of long futures as a percentage of Net Assets is 3.2%. | The notional amount of long futures as a percentage of Net Assets is 3.2%. |
| The notional amount of short futures as a percentage of Net Assets is 0.0%. | The notional amount of short futures as a percentage of Net Assets is 0.0%. | The notional amount of short futures as a percentage of Net Assets is 0.0%. | The notional amount of short futures as a percentage of Net Assets is 0.0%. | The notional amount of short futures as a percentage of Net Assets is 0.0%. |

---

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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 |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 13100000 | (69241) | (202677) | (271918) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 17690000 | (93502) | (153404) | (246906) |
| CMBX AAA Series 13 Index |  | 12/2072 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 16000000 | (84570) | (103187) | (187757) |
| CMBX AAA Series 13 Index |  | 12/2072 | Citigroup Global Markets Ltd | (0.5%) | Monthly | 10070000 | (53226) | (104608) | (157834) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 300000 | 50097 | (72965) | (22868) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 700000 | 116894 | (176988) | (60094) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly | 580000 | 96855 | (159448) | (62593) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly | 550000 | 91845 | (160092) | (68247) |
| CMBX BBB- Series 16 Index |  | 4/2065 | JPMorgan Securities LLC | (3%) | Monthly | 450000 | 75146 | (114337) | (39191) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 20000 | 3340 | (5287) | (1947) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 590000 | 98525 | (134178) | (35653) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 130000 | 21709 | (28771) | (7062) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 240000 | 40078 | (38884) | 1194 |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 370000 | 61787 | (58628) | 3159 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 600000 | 86648 | (87425) | (777) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Goldman Sachs & Co LLC | (3%) | Monthly | 400000 | 66797 | (60555) | 6242 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 1300000 | 103278 | (48907) | 54371 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Citigroup Global Markets Ltd | (3%) | Monthly | 1300000 | 103278 | (50312) | 52966 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (3%) | Monthly | 1100000 | 87389 | (41942) | 45447 |
| CMBX BBB- Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (3%) | Monthly | 1400000 | 111222 | (53381) | 57841 |
| CMBX BBB- Series 18 Index |  | 12/2057 | JPMorgan Securities LLC | (3%) | Monthly | 1000000 | 79444 | (48810) | 30634 |
| CMBX BBB Series 15 Index |  | 11/2064 | Citigroup Global Markets Ltd | (3%) | Monthly | 1200000 | 173296 | (189666) | (16370) |
| CMBX BB Series 18 Index |  | 12/2057 | Goldman Sachs & Co LLC | (5%) | Monthly | 2000000 | 308792 | (293612) | 15180 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly | 400000 | 61758 | (57982) | 3776 |
| CMBX BB Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (5%) | Monthly | 300000 | 46319 | (42649) | 3670 |
| CMBX AAA Series 18 Index |  | 12/2057 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 12100000 | (21334) | 2059 | (19275) |
| CMBX BBB- Series 16 Index |  | 4/2065 | Citigroup Global Markets Ltd | (3%) | Monthly | 1000000 | 166992 | (170262) | (3270) |
| CMBX AAA Series 16 Index |  | 4/2065 | Morgan Stanley Capital Services LLC | (0.5%) | Monthly | 8097934 | 36012 | (71112) | (35100) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  | 1765628 | (2728010) | (962382) |
| Sell Protection |  |  |  |  |  |  |  |  |  |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 35930000 | 189912 | 787649 | 977561 |
| CMBX AAA Series 13 Index | NR | 12/2072 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 20930000 | 110628 | 471858 | 582486 |
| CMBX AAA Series 15 Index | NR | 11/2064 | Citigroup Global Markets Ltd | 0.5% | Monthly | 1449630 | 713 | 19102 | 19815 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 275000 | (3155) | 6581 | 3426 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 900000 | (10327) | 21676 | 11349 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 14100000 | (161789) | 235490 | 73701 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2400000 | (27539) | 37857 | 10318 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 100000 | (1147) | 1268 | 121 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 2450000 | (28112) | 36332 | 8220 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 1800000 | (20654) | 48237 | 27583 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 14200000 | (162936) | 240443 | 77507 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 32000000 | (367181) | 542235 | 175054 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Goldman Sachs & Co LLC | 0.5% | Monthly | 13300000 | (152610) | 171906 | 19296 |
| CMBX AAA Series 17 Index | NR | 12/2056 | Citigroup Global Markets Ltd | 0.5% | Monthly | 4200000 | (48192) | 47313 | (879) |
| CMBX AAA Series 17 Index | NR | 12/2056 | Morgan Stanley Capital Services LLC | 0.5% | Monthly | 16000000 | (183590) | 182073 | (1517) |
| CMBX AAA Series 17 Index | NR | 12/2056 | JPMorgan Securities LLC | 0.5% | Monthly | 3500000 | (38189) | 38481 | 292 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  | (904168) | 2888501 | 1984333 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  | **861460** | **160491** | **1021951** |

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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.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** | **Interest Rate Swaps** |
| Payment Received | Payment<br> Frequency | Payment Paid | Payment<br> Frequency | Clearinghouse /<br> Counterparty(1) | Maturity<br> Date | Notional<br> Amount(3) | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2028 | 814499000 | (876523) | 0 | (876523) |
| U.S. SOFR Index(4) | Annual | 4% | Annual | LCH | 3/2056 | 16230000 | (82551) | 0 | (82551) |
| U.S. SOFR Index(4) | Annual | 4% | Annual | LCH | 3/2036 | 13000000 | (55118) | 0 | (55118) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2030 | 87264000 | (97546) | 0 | (97546) |
| U.S. SOFR Index(4) | Annual | 3.5% | Annual | LCH | 3/2029 | 575873000 | (877533) | 0 | (877533) |
| **TOTAL INTEREST RATE SWAPS** |  |  |  |  |  |  | **(1989271)** | **0** | **(1989271)** |

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

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

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

(e) 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 $27,656,161.

(f) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $5,481,042.

(g) 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 $16,069,866.

(h) 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 $6,540,995,560 or 15.0% of net assets.

(i) 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.

(j) 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.

(k) Level 3 security.

(l) 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.

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

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

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

(p) Investment made with cash collateral received from securities on loan.

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 517949578 | 2791605132 | 2277566426 | 6629727 | 45387 | (35971) | 1031997700 | 1031791342 | 1.9% |
| Fidelity Securities Lending Cash Central Fund | - | 2179705660 | 2179705660 | 232745 | 36241 | - | 36241 | 36238 | 0.0% |
| Total | 517949578 | 4971310792 | 4457272086 | 6862472 | 81628 | (35971) | 1032033941 |  |  |

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

The 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, Bank Notes, Foreign Government and Government Agency Obligations, Municipal Securities and Non-Convertible Corporate Bonds 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. 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 Central Investment Portfolios II LLC

- **b. Investment Company Act file number:** 811-22083

- **c. CIK number of Registrant:** 0001401097

- **d. LEI of Registrant:** 0VPAEPVECBYQ0ULYZJ60

- **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 Investment Grade Bond Central Fund

- **b. EDGAR series identifier (if any):** S000018830

- **c. LEI of Series:** FS2SIS7AHLZIR07EXE40

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2025-12-31

**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:** $49894317068.72

**Total Liabilities:** $6487784821.76

**Net Assets:** $43406532246.96

**Delayed Delivery Securities:** $3910960939.68

**Cash Not Reported:** $2386522.26

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 455393.12099468 | **1-Year:** 2751138.33998093 | **5-Year:** 9620067.60008365 | **10-Year:** 9170367.19495046 | **30-Year:** 4737399.81312917

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

- **3-Month:** 12313.40715402 | **1-Year:** 34503.99072072 | **5-Year:** 23052.00955611 | **10-Year:** 1529.24327701 | **30-Year:** 2.42609849

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000052072 | 0.63%                | 0.68%                | -0.39%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-231554101.03           | $345100107.01                              |
| Month 2  | $-2427889.59             | $144475410.95                              |
| Month 3  | $6080872.40              | $-324438833.40                             |

**Designated Index Information**

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

- **Index Identifier:** 19808143

### Schedule of Portfolio Investments

| Name                                                                               | Title                                                                                             | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3145 GO 4/36                                                                                  | CUSIP: 31396NCS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     111506 | PA      | $94922.31      | 0.00%             | 2036-04-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/39 #AC4396                                                                           | CUSIP: 31417N3E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4900 | PA      | $4922.89       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 02/01/2056 #TBA                                                                        | CUSIP: 21H060622<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  254225000 | PA      | $258867631.53  | 0.60%             | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 01/01/2032#AS8602                                                                  | CUSIP: 3138WJRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1991511 | PA      | $1928042.48    | 0.00%             | 2032-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 02/20/2050#BQ4127                                                                      | CUSIP: 3617LNSQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     832457 | PA      | $749385.45     | 0.00%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2047#CA0855                                                                  | CUSIP: 3140Q75R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     818355 | PA      | $769399.78     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#FM4368                                                                  | CUSIP: 3140X72A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34183 | PA      | $30988.96      | 0.00%             | 2035-11-01      | 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 SOFR30A+125 10/25/2054                                             | CUSIP: 3137HJQ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    6043165 | PA      | $6073648.36    | 0.01%             | 2054-10-25      | Variable      | 0.05%                 | 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        |     220270 | PA      | $203750.71     | 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        |      62474 | PA      | $62557.44      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #748314                                                                          | CUSIP: 3620C4K33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10234 | PA      | $9916.10       | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #711029                                                                          | CUSIP: 36297F4N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18821 | PA      | $19199.29      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/38 #889371                                                                           | CUSIP: 31410KCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     354051 | PA      | $373512.75     | 0.00%             | 2038-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/33 #577996                                                                           | CUSIP: 36201BC95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3757 | PA      | $3817.17       | 0.00%             | 2033-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1289                                                                  | CUSIP: 3138NXNF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13893 | PA      | $12976.47      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #828385                                                                           | CUSIP: 31407EJ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43754 | PA      | $45777.66      | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT TSFR1M+51.448 08/20/2042                                           | CUSIP: 38375GZX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     471099 | PA      | $464974.17     | 0.00%             | 2042-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 8/33 #604578                                                                           | CUSIP: 36200MUB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5752 | PA      | $5898.06       | 0.00%             | 2033-08-15      | Fixed         | 0.06%                 | 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        |      18078 | PA      | $17741.01      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 09/01/2040#AE4424                                                                  | CUSIP: 31419E4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13176 | PA      | $13426.28      | 0.00%             | 2040-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9464                                                                    | CUSIP: 3140XDQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73636 | PA      | $66185.92      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT9786                                                                  | CUSIP: 3138WX2U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15092 | PA      | $13916.44      | 0.00%             | 2043-06-01      | 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        |   36536745 | PA      | $36559233.59   | 0.08%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 03/20/2047#784299                                                                      | CUSIP: 3622A2X49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1973751 | PA      | $1906720.81    | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 01/01/2056 #TBA                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  374500000 | PA      | $378114786.35  | 0.87%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 7.5% 06/01/2027#250951                                                                  | CUSIP: 31371FWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        367 | PA      | $372.25        | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #719736                                                                          | CUSIP: 3620A5SZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1464 | PA      | $1535.17       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #347263                                                                           | CUSIP: 36203EWY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        833 | PA      | $846.01        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.45% 09/15/2035                                                                  | CUSIP: 126650EK2<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $20472208.00   | 0.05%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AQ5772                                                                  | CUSIP: 3138MMMW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23395 | PA      | $21660.27      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #535143                                                                           | CUSIP: 31384VP48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1082 | PA      | $1126.19       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR1584                                                                  | CUSIP: 3138NXXN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     681793 | PA      | $631984.00     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9019                                                                           | CUSIP: 3138EEAV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     313445 | PA      | $306639.84     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-2 TR                                                                    | AASET 2021-2 TR 2.798% 01/15/2047 144A                                                            | CUSIP: 00258BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   33695699 | PA      | $31971504.03   | 0.07%             | 2047-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 1.494%/VAR 08/10/2027 144A                                                           | CUSIP: 902613AH1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   24731000 | PA      | $24336388.95   | 0.06%             | 2027-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q01985                                                                  | CUSIP: 3132GFF28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71978 | PA      | $73471.76      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/36 #657024                                                                           | CUSIP: 36294Q4H1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3481 | PA      | $3699.68       | 0.00%             | 2036-08-15      | Fixed         | 0.07%                 | 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        |    1649756 | PA      | $1597831.45    | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/28 #430194                                                                           | CUSIP: 31379U3B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $12.41         | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-15 OP 0% 3/36                                                                            | CUSIP: 31395BTU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     145543 | PA      | $126638.49     | 0.00%             | 2036-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 5.15% 05/22/2045                                                    | CUSIP: 38148LAF3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8451311.76    | 0.02%             | 2045-05-22      | Fixed         | 0.05%                 | 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      | $69.10         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33578                                                                  | CUSIP: 3132QP6Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     150871 | PA      | $142805.40     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2047#CA0623                                                                  | CUSIP: 3140Q7VR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     196455 | PA      | $195309.22     | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #734151                                                                           | CUSIP: 3620AMTG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     200446 | PA      | $194737.32     | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2030#J31652                                                                  | CUSIP: 31307MZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25677 | PA      | $25526.61      | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 04/20/2043#AD9075                                                                    | CUSIP: 36180NCL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     298408 | PA      | $282218.70     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR2904                                                                  | CUSIP: 3138W0GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     179895 | PA      | $166761.85     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644164                                                                           | CUSIP: 31390ETV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1662 | PA      | $1747.17       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 5% 08/01/2040#RR0017                                                                    | CUSIP: 3142JCAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16549409 | PA      | $16765703.31   | 0.04%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                        | BNP PARIBAS 5.786%/VAR 01/13/2033 144A                                                            | CUSIP: 09659W3A0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |   41000000 | PA      | $43039124.34   | 0.10%             | 2033-01-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BMP 2024-MF23 TSFR1M+174.142 06/15/2041 144A                                                      | CUSIP: 05593JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11045000 | PA      | $11051894.29   | 0.03%             | 2041-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #773113                                                                           | CUSIP: 36176QVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5644 | PA      | $5502.55       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FS1573                                                                  | CUSIP: 3140XGXB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3906273 | PA      | $3516179.03    | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIP TR 2024-2                                                              | HPEFS EQUIP TR 2024-2 5.36% 10/20/2031 144A                                                       | CUSIP: 40444MAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6192661 | PA      | $6227734.07    | 0.01%             | 2031-10-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/37 #621244                                                                           | CUSIP: 36290YER5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        191 | PA      | $196.45        | 0.00%             | 2037-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 7.008% 05/01/2064                                                                       | CUSIP: 097023DU6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12768000 | PA      | $14507645.11   | 0.03%             | 2064-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #549552                                                                           | CUSIP: 36213BQD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        285 | PA      | $294.17        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA VAR 04/25/2033                                                     | CUSIP: 3136BQCX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1511772.30    | 0.00%             | 2033-04-25      | Variable      | 0.04%                 | 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        |     256526 | PA      | $249180.07     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 32 LTD                                                                | FLATIRON CLO 32 LTD 32A A1 TSFR3M+129 10/22/2038 144A                                             | CUSIP: 33882RAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28157000 | PA      | $28247778.17   | 0.07%             | 2038-10-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/20/2047#MA4322                                                                      | CUSIP: 36179SYT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133203 | PA      | $128679.26     | 0.00%             | 2047-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.182% 6/37 #848188                                                                      | CUSIP: 31300LCZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11758 | PA      | $12100.45      | 0.00%             | 2037-06-01      | Variable      | 0.06%                 | 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        |   12932881 | PA      | $12367754.60   | 0.03%             | 2032-11-05      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/2046#BC0887                                                                    | CUSIP: 3140EU6Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1111542 | PA      | $1014710.07    | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA VAR 03/25/2033                                                     | CUSIP: 3136BQSN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2016195.20    | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #726394                                                                          | CUSIP: 3620AC7F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15391 | PA      | $15418.25      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #462816                                                                           | CUSIP: 36208WDV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        172 | PA      | $175.08        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD AIRCRAFT SECURITIZATION 2016-1A AA                                       | BLACKBIRD AIRCRAF 2016-1A A STEP 12/16/2041 144A                                                  | CUSIP: 09228YAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4735837 | PA      | $4745308.24    | 0.01%             | 2041-12-16      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #420501                                                                           | CUSIP: 31379JDE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1165 | PA      | $1181.61       | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/41 #005203                                                                       | CUSIP: 36202FX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3203773 | PA      | $3119355.19    | 0.01%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.388% 05/01/2031                                                                       | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    8397000 | PA      | $9112370.32    | 0.02%             | 2031-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 11/41 #Q04295                                                                          | CUSIP: 3132GKNL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     605618 | PA      | $591838.69     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2052#SD0927                                                                  | CUSIP: 3132DNA45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5349611 | PA      | $5021228.10    | 0.01%             | 2052-04-01      | 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        |      12832 | PA      | $12515.68      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #474003                                                                           | CUSIP: 36209KRY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         90 | PA      | $91.19         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | 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        |      54998 | PA      | $53707.80      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.242% 9/1/41#1B8659                                                                     | CUSIP: 3128UHAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9941 | PA      | $10384.74      | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #574784                                                                           | CUSIP: 36200WRD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        470 | PA      | $482.33        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #A93451                                                                           | CUSIP: 312941ZQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20629 | PA      | $20675.57      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #406815                                                                           | CUSIP: 31378R3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2481 | PA      | $2607.99       | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #566254                                                                          | CUSIP: 36213WBX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $29.22         | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #489711                                                                           | CUSIP: 36210EAL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        560 | PA      | $572.01        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.75% 04/15/2027                                                                 | CUSIP: 87264ABD6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   25540000 | PA      | $25459763.54   | 0.06%             | 2027-04-15      | Fixed         | 0.04%                 | 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        |    6512550 | PA      | $6220973.16    | 0.01%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #532153                                                                           | CUSIP: 31384SE21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         57 | PA      | $59.91         | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH4987                                                                           | CUSIP: 3138A6RH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45854 | PA      | $44903.17      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479494                                                                          | CUSIP: 36209RUT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1055122 | PA      | $1023024.87    | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 11/40 #004853                                                                       | CUSIP: 36202FMA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2972968 | PA      | $2898517.94    | 0.01%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.87% 1/35 #735833                                                                       | CUSIP: 31402RPS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3329 | PA      | $3418.04       | 0.00%             | 2035-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/38 #889733                                                                           | CUSIP: 31410KPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56356 | PA      | $59552.01      | 0.00%             | 2038-07-01      | Fixed         | 0.06%                 | 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        |    8429104 | PA      | $8456747.97    | 0.02%             | 2034-01-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2049#BN7890                                                                  | CUSIP: 3140JQXU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362043 | PA      | $375692.50     | 0.00%             | 2049-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #842191                                                                          | CUSIP: 31407VUQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19333 | PA      | $20244.64      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 12/01/2031#ZS8632                                                                  | CUSIP: 3132A9SV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33161 | PA      | $32103.79      | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP7148                                                                          | CUSIP: 3138MA5J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86973 | PA      | $83099.11      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 02/01/2056 #TBA                                                                      | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   42875000 | PA      | $37867332.91   | 0.09%             | 2056-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2048#BM5106                                                                  | CUSIP: 3140J9U82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     905721 | PA      | $902985.41     | 0.00%             | 2048-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2051#CB0545                                                                  | CUSIP: 3140QKTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     942950 | PA      | $877406.33     | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 20 LTD / FLATIRON CLO 20 LLC                                          | FLATIRON CLO 20 LTD / LLC 20-1A A1R2 TSFR3M+124 11/20/2038 144A                                   | CUSIP: 33883MAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   55130000 | PA      | $55097473.30   | 0.13%             | 2038-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.17% 06/08/2027                                                            | CUSIP: 46817MAR8<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   14655000 | PA      | $14839023.71   | 0.03%             | 2027-06-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2044#AS3935                                                                  | CUSIP: 3138WDLR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20065 | PA      | $19049.99      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | 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        |      49038 | PA      | $45360.33      | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #713866                                                                           | CUSIP: 36297KCB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3711 | PA      | $3785.31       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 01/01/2033#BH9235                                                                    | CUSIP: 3140GYHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105202 | PA      | $102648.88     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AE1960                                                                  | CUSIP: 36180UE96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5094 | PA      | $4738.98       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/41 #AI1967                                                                           | CUSIP: 3138AFFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109682 | PA      | $109763.31     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2046#G60989                                                                    | CUSIP: 31335BC20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4659043 | PA      | $4248032.35    | 0.01%             | 2046-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-8R LTD                                                                | OCP CLO 2020-8R LTD AR2 TSFR3M+122 10/17/2038 144A                                                | CUSIP: 670898AW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27412000 | PA      | $27438534.82   | 0.06%             | 2038-10-17      | Variable      | 0.05%                 | 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        |     628445 | PA      | $605669.59     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 08/01/2042#AP5087                                                                  | CUSIP: 3138M8UM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169353 | PA      | $159608.75     | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 7/39 #AA9611                                                                           | CUSIP: 31416TVD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1038 | PA      | $1019.00       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 07/15/2042#AB1380                                                                  | CUSIP: 36178LQ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94020 | PA      | $90890.11      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738240                                                                           | CUSIP: 3620ASEM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12220 | PA      | $12467.23      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.565 09/15/26                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   15730000 | NC      | $178393.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA5451                                                                           | CUSIP: 36178DBU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158636 | PA      | $149748.54     | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2040#                                                                        | CUSIP: 312943UM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6236 | PA      | $6251.65       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/27 #462363                                                                          | CUSIP: 36208VTU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $41.64         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.375% 03/31/2029                                                                       | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  504000000 | PA      | $485572500.00  | 1.12%             | 2029-03-31      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+648.552 02/15/2036                                         | CUSIP: 31396HLM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      51626 | PA      | $4675.14       | 0.00%             | 2036-02-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/42#AQ3065                                                                       | CUSIP: 3138MJMP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105907 | PA      | $101519.74     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH4121                                                                           | CUSIP: 3138A5SK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23001 | PA      | $22531.97      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                              | UBER TECHNOLOGIES INC 4.15% 01/15/2031                                                            | CUSIP: 90353TAT7<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   20008000 | PA      | $19933984.61   | 0.05%             | 2031-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2055#FA2138                                                                  | CUSIP: 3140W2LU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4396788 | PA      | $4659591.48    | 0.01%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/30 #535336                                                                           | CUSIP: 31384VV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $41.59         | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT5177                                                                  | CUSIP: 3138WSXF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     146772 | PA      | $135500.63     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7766                                                                  | CUSIP: 31417ETY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     425533 | PA      | $393755.18     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #724597                                                                           | CUSIP: 3620AA7J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1014 | PA      | $1016.19       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 343 16 5.5% 5/34                                                                              | CUSIP: 3136FA6N5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      34685 | PA      | $4694.24       | 0.00%             | 2034-05-25      | Fixed         | 0.06%                 | 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        |     364573 | PA      | $297726.34     | 0.00%             | 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        |      27876 | PA      | $27014.22      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #773499                                                                          | CUSIP: 36176RDC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46625 | PA      | $45282.89      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #458926                                                                           | CUSIP: 36208RYX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        553 | PA      | $563.72        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43#AR5364                                                                      | CUSIP: 3138W26A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     294926 | PA      | $280540.60     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                                 | PRPM 2023-RCF2 LLC A1 VAR 11/25/2053 144A                                                         | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5813625 | PA      | $5764070.03    | 0.01%             | 2053-11-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/37 #917965                                                                           | CUSIP: 31411XZ65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8941 | PA      | $9414.59       | 0.00%             | 2037-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2043#AU1978                                                                  | CUSIP: 3138X1FU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17568 | PA      | $16328.84      | 0.00%             | 2043-07-01      | 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 2.5% 11/25/2047                                                    | CUSIP: 3137H5J57<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1867710 | PA      | $1703464.71    | 0.00%             | 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        |    4736795 | PA      | $4663311.80    | 0.01%             | 2033-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/36 #745640                                                                           | CUSIP: 31403DLV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156934 | PA      | $164976.12     | 0.00%             | 2036-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.389%/VAR 04/24/2034                                                      | CUSIP: 95000U3D3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $31212964.20   | 0.07%             | 2034-04-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PIEDMONT OPERATING PARTNERSHIP LP                                                  | PIEDMONT OPERATING PARTNERSHIP LP 2.75% 04/01/2032                                                | CUSIP: 720198AF7<br>LEI: 549300WKGDPAS39FBD10 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $5408712.54    | 0.01%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/41 #752909                                                                           | CUSIP: 36230MGS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23649 | PA      | $23627.86      | 0.00%             | 2041-02-15      | 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        |     103374 | PA      | $103527.80     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2040#G06016                                                                  | CUSIP: 3128M8AR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63564 | PA      | $63724.25      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 6.0% 05/15/2040#783362                                                                  | CUSIP: 36241LWX0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     475625 | PA      | $497587.59     | 0.00%             | 2040-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 10/01/2045#Q36623                                                                  | CUSIP: 3132QTLD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12034 | PA      | $10953.96      | 0.00%             | 2045-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/42#Q10245                                                                       | CUSIP: 3132HLHW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     185701 | PA      | $177599.85     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.75% 09/21/2047                                                              | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  102130000 | PA      | $83767026.00   | 0.19%             | 2047-09-21      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH2978                                                                           | CUSIP: 3138A4JY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13394 | PA      | $13163.94      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.431%/VAR 01/23/2030                                                              | CUSIP: 6174468G7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   54318000 | PA      | $54618928.24   | 0.13%             | 2030-01-23      | Variable      | 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        |   76938522 | PA      | $66346641.45   | 0.15%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H03 FA TSFR1M+81.448 1/20/62 RVM                                                         | CUSIP: 38375BPJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      96616 | PA      | $96892.77      | 0.00%             | 2062-01-20      | Variable      | 0.05%                 | 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        |    1285149 | PA      | $1255775.48    | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLEVELAND ELECTRIC ILLUM CO                                                        | CLEVELAND ELECTRIC ILLUM CO 5.95% 12/15/2036                                                      | CUSIP: 186108CE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1128000 | PA      | $1184214.66    | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2043#V80169                                                                  | CUSIP: 3132L5FJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     766821 | PA      | $709606.81     | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | 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        |      12189 | PA      | $12707.47      | 0.00%             | 2032-02-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #741215                                                                           | CUSIP: 3620AVN81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15255 | PA      | $15273.02      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1624                                                                  | CUSIP: 3138NXYW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69640 | PA      | $64336.51      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #485115                                                                          | CUSIP: 31382K3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6183 | PA      | $6498.04       | 0.00%             | 2029-10-01      | Fixed         | 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        |     295621 | PA      | $289189.45     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #507061                                                                          | CUSIP: 31383MJE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9220 | PA      | $9527.46       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC                                          | FLATIRON CLO 26 LTD / FLATIRON CLO 26 LLC A TSFR3M+133 01/15/2038 144A                            | CUSIP: 33888AAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   27814000 | PA      | $27876442.43   | 0.06%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 06/15/2042#799330                                                                    | CUSIP: 36177ULL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34939 | PA      | $33792.27      | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H12 FA TSFR1M+60.448 5/61                                                                | CUSIP: 38375BLS9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     173588 | PA      | $173598.94     | 0.00%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2030#ZS8569                                                                  | CUSIP: 3132A9QW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24931 | PA      | $24327.56      | 0.00%             | 2030-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BETHP 2021                                                                         | BETHP 2021 A TSFR3M+139.161 01/15/2035 144A                                                       | CUSIP: 087598AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22234000 | PA      | $22257946.02   | 0.05%             | 2035-01-15      | Variable      | 0.05%                 | 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        |     770149 | PA      | $761845.13     | 0.00%             | 2032-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 4/34 #605189                                                                           | CUSIP: 36200NKA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        343 | PA      | $351.89        | 0.00%             | 2034-04-15      | Fixed         | 0.06%                 | 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        |       9301 | PA      | $9050.66       | 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        |   38743061 | PA      | $606336.66     | 0.00%             | 2051-08-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96783                                                                           | CUSIP: 312945RC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139702 | PA      | $140008.20     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | 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        |   31293000 | PA      | $523159.50     | 0.00%             | 2063-01-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 02/20/2044                                                      | CUSIP: 38378Y2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1741445 | PA      | $1628432.47    | 0.00%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.22% 3/37 #910296                                                                       | CUSIP: 31411KKH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15498 | PA      | $15982.23      | 0.00%             | 2037-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 02/01/2036#FM6507                                                                  | CUSIP: 3140XAGR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3633537 | PA      | $3294014.05    | 0.01%             | 2036-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2137 PG 6% 3/29                                                                               | CUSIP: 3133TJR70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      13112 | PA      | $13383.03      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #457796                                                                           | CUSIP: 36208QRR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        514 | PA      | $524.13        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2303 ZV 6% 4/31                                                                               | CUSIP: 3133TSTH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       9664 | PA      | $9928.13       | 0.00%             | 2031-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #782727                                                                           | CUSIP: 36241LA48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     161895 | PA      | $165125.59     | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2051#RA5998                                                                    | CUSIP: 3133KMUX1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13732280 | PA      | $12304262.57   | 0.03%             | 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        |      50556 | PA      | $2874.76       | 0.00%             | 2034-05-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 6/29 #C28186                                                                           | CUSIP: 31293SCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        237 | PA      | $242.94        | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AT7263                                                                  | CUSIP: 3138WVB91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42792 | PA      | $39500.65      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H27 FA TSFR1M+38 12/60                                                                   | CUSIP: 38375BJK9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     191762 | PA      | $191487.67     | 0.00%             | 2060-12-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2042#AQ9061                                                                    | CUSIP: 3138MRB75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65634 | PA      | $64296.56      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 11/01/2041#SC0210                                                                  | CUSIP: 3132D9GT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6167581 | PA      | $5559173.48    | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 07/01/2040#FA2096                                                                    | CUSIP: 3140W2KJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2920587 | PA      | $2958757.67    | 0.01%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+66.448 09/20/2061                                             | CUSIP: 38375BNA6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     402963 | PA      | $403314.04     | 0.00%             | 2061-09-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720055                                                                           | CUSIP: 3620A55Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8123 | PA      | $8139.83       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 3 LP                                                         | PK ALIFT LOAN FUNDING 3 LP 5.842% 09/15/2039 144A                                                 | CUSIP: 69291VAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4805499 | PA      | $4912009.24    | 0.01%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/39 #710497                                                                          | CUSIP: 36297FKJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33784 | PA      | $32976.60      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 01/01/2056 #TBA                                                                      | CUSIP: 01F060618<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -413875000 | PA      | $-424884737.20 | -0.98%            | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XIX LTD                                                           | SIXTH STREET CLO XIX LTD A1R TSFR3M+128 07/17/2038 144A                                           | CUSIP: 83012KAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18120000 | PA      | $18163415.52   | 0.04%             | 2038-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 C TSFR1M+283.988 12/09/2040 144A                                          | CUSIP: 12434GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2203875 | PA      | $2207965.95    | 0.01%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 5YR NOTE (CBT) FUT MAR26 FVH6                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       5903 | NC      | $-1577429.17   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2052#FS1174                                                                  | CUSIP: 3140XGJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1265886 | PA      | $1169983.00    | 0.00%             | 2052-03-01      | Fixed         | 0.04%                 | 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 DFX 5.3503% 07/05/2033 144A                            | CUSIP: 46645WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5907000 | PA      | $3362294.53    | 0.01%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  3 | 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        |      84249 | PA      | $76376.30      | 0.00%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2131 BG 6% 3/29                                                                               | CUSIP: 3133TK2P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      93957 | PA      | $96130.63      | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.8% 02/15/2029                                                                           | CUSIP: 55336VAS9<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    5370000 | PA      | $5450205.14    | 0.01%             | 2029-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AB6904                                                                  | CUSIP: 31417DU68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     819582 | PA      | $760404.79     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/42 #Q06088                                                                           | CUSIP: 3132GRCZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     195357 | PA      | $191560.91     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #323317                                                                           | CUSIP: 31374TDW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        689 | PA      | $723.74        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.424%/VAR 07/21/2034                                                              | CUSIP: 61747YFG5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   47424000 | PA      | $49335960.21   | 0.11%             | 2034-07-21      | Variable      | 0.05%                 | 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        |     564747 | PA      | $76345.54      | 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        |   12828832 | PA      | $11005852.20   | 0.03%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2047#BJ0275                                                                  | CUSIP: 3140H1JV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10662 | PA      | $10600.28      | 0.00%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT3658                                                                  | CUSIP: 3138WRB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20926 | PA      | $19202.83      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2046#AT7536                                                                    | CUSIP: 36194GLR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     265694 | PA      | $254928.14     | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 06/15/2041#366975                                                                  | CUSIP: 36204DT82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     927268 | PA      | $927950.13     | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/31 #545304                                                                          | CUSIP: 31385HX98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18980 | PA      | $19936.93      | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/29 #523195                                                                          | CUSIP: 31384GGC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         55 | PA      | $56.54         | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/39 #698329                                                                           | CUSIP: 36296QY29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      35383 | PA      | $35454.21      | 0.00%             | 2039-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #723745                                                                           | CUSIP: 3620AABN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40788 | PA      | $40806.54      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q20360                                                                  | CUSIP: 3132JMMH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23355 | PA      | $22726.23      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2019-82 PI 4% 06/25/2049                                           | CUSIP: 3136B7X97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    5091065 | PA      | $842932.20     | 0.00%             | 2049-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                                      | GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4 STEP 09/25/2061 144A                                | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1039895 | PA      | $1027774.48    | 0.00%             | 2061-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8538                                                                    | CUSIP: 31419KPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148270 | PA      | $144950.17     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #449451                                                                           | CUSIP: 36208FH45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.29          | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+65 09/25/2052                                              | CUSIP: 3137H8WP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2520627 | PA      | $2508412.81    | 0.01%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AE9268                                                                  | CUSIP: 31419LJN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23477 | PA      | $22979.54      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.875% 09/26/2045                                                                     | CUSIP: 68389XDP7<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   14137000 | PA      | $12767461.58   | 0.03%             | 2045-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A A 3.967% 04/15/2039 144A                                | CUSIP: 14855MAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10439363 | PA      | $10230575.31   | 0.02%             | 2039-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 4.375% 03/15/2029                                                      | CUSIP: 571748BG6<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |   19688000 | PA      | $19884369.88   | 0.05%             | 2029-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2049#CA3129                                                                    | CUSIP: 3140QAPP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2106674 | PA      | $2026375.43    | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 5.3% 08/15/2052                                                                  | CUSIP: 969457CA6<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    7294000 | PA      | $6727810.40    | 0.02%             | 2052-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 12/25/2043                                                      | CUSIP: 3136BALK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1359936 | PA      | $1295361.77    | 0.00%             | 2043-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 10/20/2042#AC0073                                                                      | CUSIP: 36178YCJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     725747 | PA      | $702817.88     | 0.00%             | 2042-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #420260                                                                           | CUSIP: 31379HZZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.82         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2043#AC9441                                                                    | CUSIP: 36179KP24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95312 | PA      | $92243.47      | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY873248 04/17/65 B                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     450000 | NC      | $75146.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 01/01/2056 #TBA                                                                      | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -42875000 | PA      | $-37894129.79  | -0.09%            | 2056-01-01      | Fixed         | 0.03%                 | 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        |      10221 | PA      | $9893.78       | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #458395                                                                          | CUSIP: 36208RGC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        460 | PA      | $467.54        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #449183                                                                          | CUSIP: 36208E6U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         36 | PA      | $36.81         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #723333                                                                           | CUSIP: 3620A9SW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18572 | PA      | $18611.54      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BK3836                                                                    | CUSIP: 3140HHHN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605223 | PA      | $585937.31     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/45#AY7636                                                                       | CUSIP: 3138YMPW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54156 | PA      | $50256.98      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 09/20/2051#MA7590                                                                      | CUSIP: 36179WNF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16717 | PA      | $15043.88      | 0.00%             | 2051-09-20      | Fixed         | 0.03%                 | 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        |     219123 | PA      | $208357.91     | 0.00%             | 2040-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2044#AW3253                                                                  | CUSIP: 3138XSTK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115650 | PA      | $116047.71     | 0.00%             | 2044-04-01      | 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        |      13923 | PA      | $13934.07      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 03/01/2051#RA4919                                                                    | CUSIP: 3133KLPC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35870 | PA      | $32094.60      | 0.00%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #464955                                                                           | CUSIP: 36208YQG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $65.81         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33442                                                                  | CUSIP: 3132QPZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98588 | PA      | $90058.58      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.75% 10/15/2031                                                                        | CUSIP: 682680CD3<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   20697000 | PA      | $20806972.27   | 0.05%             | 2031-10-15      | Fixed         | 0.05%                 | 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        |   27240973 | PA      | $22433450.59   | 0.05%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 04/01/2041#AH9677                                                                  | CUSIP: 3138ABXF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32017 | PA      | $32649.37      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 06/01/2055#CC0577                                                                    | CUSIP: 3140Y6UB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5258698 | PA      | $5501990.14    | 0.01%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| KINDER MORGAN ENERGY PARTNERS LP                                                   | KINDER MORGAN ENERGY PTNRS LP 6.55% 09/15/2040                                                    | CUSIP: 494550BF2<br>LEI: 549300PDHUGWPWGOT525 | Long             | DBT              | CORP              | US        |    1645000 | PA      | $1782638.86    | 0.00%             | 2040-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/31 #596248                                                                           | CUSIP: 31387WL54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $477.87        | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AS0203                                                                  | CUSIP: 3138W9GM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     650159 | PA      | $600151.62     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | 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        |       7926 | PA      | $8553.92       | 0.00%             | 2037-03-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2047#Q48095                                                                  | CUSIP: 3132WM7H1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1379247 | PA      | $1375422.07    | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15789                                                                  | CUSIP: 3132J62X1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144767 | PA      | $134849.63     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 5/35 #812274                                                                           | CUSIP: 31406KMX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1745 | PA      | $1834.15       | 0.00%             | 2035-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 4/30 #479294                                                                           | CUSIP: 36209RNK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        684 | PA      | $702.19        | 0.00%             | 2030-04-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/29 #520975                                                                          | CUSIP: 31384DXC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $174.46        | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7846                                                                  | CUSIP: 31417EWG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     546231 | PA      | $505831.59     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/44#AW6267                                                                       | CUSIP: 3138XV6D7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68395 | PA      | $69653.97      | 0.00%             | 2044-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605529                                                                          | CUSIP: 36200NVW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2517 | PA      | $2658.97       | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605731                                                                          | CUSIP: 36200N4Q1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        259 | PA      | $272.84        | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.784% 03/14/2032 144A                                                | CUSIP: 202712BS3<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   10165000 | PA      | $9677974.52    | 0.02%             | 2032-03-14      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#BA2698                                                                  | CUSIP: 3140E67L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203580 | PA      | $197753.33     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 3.869%/VAR 01/12/2029 144A                                                           | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    9005000 | PA      | $8954182.98    | 0.02%             | 2029-01-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.64% 4/36 #1J0058                                                                       | CUSIP: 3128LUB39<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22804 | PA      | $23580.70      | 0.00%             | 2036-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTPAC BANKING CORP                                                               | WESTPAC BANKING CORP 4.11%/VAR 07/24/2034                                                         | CUSIP: 961214EF6<br>LEI: EN5TNI6CI43VEPAMHL14 | Long             | DBT              | CORP              | AU        |   17722000 | PA      | $17437393.72   | 0.04%             | 2034-07-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2049#FS4660                                                                  | CUSIP: 3140XLFA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10123209 | PA      | $9482821.19    | 0.02%             | 2049-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.75% 04/01/2040                                                                     | CUSIP: 20030NDH1<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    2448000 | PA      | $2017681.94    | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | 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        |    4029850 | PA      | $4053132.97    | 0.01%             | 2028-01-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE4597                                                                  | CUSIP: 36180XDA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32206 | PA      | $30630.74      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                          | CUSIP: 312946FC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      66503 | PA      | $65422.28      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 10/20/2040#004828                                                                  | CUSIP: 36202FLH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     465341 | PA      | $457240.35     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B                                     | HYUNDAI AUTO LEASE SECURITIZATION TRUST 2024-B 5.41% 05/17/2027 144A                              | CUSIP: 44934FAD7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7253973 | PA      | $7290976.63    | 0.02%             | 2027-05-17      | 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        |      12512 | PA      | $12856.01      | 0.00%             | 2036-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #556007                                                                          | CUSIP: 36213JU86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1793 | PA      | $1856.65       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 07/20/2039#004488                                                                  | CUSIP: 36202E6Z7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7271 | PA      | $7234.11       | 0.00%             | 2039-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21524                                                                  | CUSIP: 3132JNVR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4399 | PA      | $4364.62       | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/39 #782604                                                                           | CUSIP: 36241K3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5629 | PA      | $5799.80       | 0.00%             | 2039-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                            | ACHV ABS TRUST 2024-3AL 5.01% 12/26/2031 144A                                                     | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2028920 | PA      | $2048731.61    | 0.00%             | 2031-12-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511255                                                                           | CUSIP: 31383R5Q1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        309 | PA      | $315.37        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 3.5% 07/01/2027                                                                    | CUSIP: 58013MFP4<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    7113000 | PA      | $7074448.18    | 0.02%             | 2027-07-01      | 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        |      82270 | PA      | $80109.00      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | 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        |     109583 | PA      | $103644.34     | 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        |      24119 | PA      | $23001.80      | 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        |    8455574 | PA      | $7528717.91    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR2880                                                                  | CUSIP: 3138W0FW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41812 | PA      | $38946.69      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5% 08/01/2053#RA9615                                                                    | CUSIP: 3133KRVG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5431699 | PA      | $5467664.40    | 0.01%             | 2053-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2051#CB2420                                                                    | CUSIP: 3140QMVN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4272456 | PA      | $3829498.94    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #644809                                                                           | CUSIP: 31390FKW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3351 | PA      | $3522.02       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #719237                                                                           | CUSIP: 3620A5BE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12009 | PA      | $12250.87      | 0.00%             | 2040-07-15      | 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 VAR 11/25/2030                                                     | CUSIP: 3137HNWV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8700000 | PA      | $8730290.79    | 0.02%             | 2030-11-25      | Variable      | 0.04%                 | 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        |     179908 | PA      | $141145.45     | 0.00%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #389127                                                                           | CUSIP: 36205FHC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        349 | PA      | $354.52        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-11 LTD                                                         | CARLYLE US CLO 2021-11 LTD A1R TSFR3M+141 07/25/2037 144A                                         | CUSIP: 143122AJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   38098000 | PA      | $38195988.06   | 0.09%             | 2037-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #781324                                                                           | CUSIP: 36225BPH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4105 | PA      | $4231.14       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2039#930922                                                                  | CUSIP: 31412PG70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        671 | PA      | $672.26        | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | 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        |         42 | PA      | $42.32         | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9394                                                                  | CUSIP: 3138WKNL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187064 | PA      | $186148.63     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2050#SD0265                                                                    | CUSIP: 3132DMJJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9758873 | PA      | $8789794.12    | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 5/42 #AO0693                                                                           | CUSIP: 3138LQXX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95547 | PA      | $91040.95      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 11/01/2044#AL7307                                                                  | CUSIP: 3138EQDM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2365685 | PA      | $2406801.06    | 0.01%             | 2044-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2042#G07492                                                                  | CUSIP: 3128M9UR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5339 | PA      | $5352.84       | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2043#Q16049                                                                  | CUSIP: 3132J7EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60927 | PA      | $59685.65      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2046#AS7000                                                                    | CUSIP: 3138WGX66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1120511 | PA      | $1024998.88    | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/41 #737901                                                                           | CUSIP: 3620ARX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72558 | PA      | $69080.18      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | 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        |      37424 | PA      | $36485.75      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/42#G07240                                                                      | CUSIP: 3128M9LV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     187568 | PA      | $174057.20     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 01/01/2056 #TBA                                                                        | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  304750000 | PA      | $310541499.48  | 0.72%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323968                                                                          | CUSIP: 31374TZ93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $169.80        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | 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        |    2162667 | PA      | $2183068.87    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AL6554                                                                       | CUSIP: 3138EPH80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     828979 | PA      | $804033.76     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVI LTD / MAGNETITE XXVI LLC                                            | MAGNETITE XXVI LTD / MAGNETITE XXVI LLC AR2 TSFR3M+115 01/25/2038 144A                            | CUSIP: 55954YAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27555000 | PA      | $27533066.22   | 0.06%             | 2038-01-25      | 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 427 LI 3.5% 02/15/2034                                             | CUSIP: 3137BGB32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     312077 | PA      | $8177.90       | 0.00%             | 2034-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 9/35 #638082                                                                           | CUSIP: 36291T2P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        299 | PA      | $308.86        | 0.00%             | 2035-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2046#BC4760                                                                  | CUSIP: 3140F0JE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242108 | PA      | $227775.98     | 0.00%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #254058                                                                           | CUSIP: 31371KE72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $96.55         | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94341                                                                    | CUSIP: 3132LQWA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     230372 | PA      | $227528.16     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 8/53 #RA9560                                                                       | CUSIP: 3133KRTR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3902253 | PA      | $4014006.19    | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#BJ7280                                                                  | CUSIP: 3140H9CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42951 | PA      | $42700.11      | 0.00%             | 2048-01-01      | 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        |     921145 | PA      | $921920.84     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C01385                                                                           | CUSIP: 31292HRE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5649 | PA      | $5924.38       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 11/25/2047                                                    | CUSIP: 3136BLRR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    9530184 | PA      | $8724340.17    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 07/01/2054#FS8627                                                                  | CUSIP: 3140XQSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3195566 | PA      | $3364350.56    | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8934                                                                  | CUSIP: 3138MQ4U4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20961 | PA      | $19440.76      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2030                                                              | CUSIP: 15089QAX2<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   18931000 | PA      | $19947152.28   | 0.05%             | 2030-11-15      | Variable      | 0.07%                 | 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        |    7903514 | PA      | $7118676.57    | 0.02%             | 2050-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD                                                                  | CEDAR FUNDING LTD AR2 TSFR3M+136 10/20/2037 144A                                                  | CUSIP: 15033XAU0<br>LEI: 549300ZKTUZSV15HAV29 | Long             | ABS-CBDO         | CORP              | KY        |   21787000 | PA      | $21827044.51   | 0.05%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 04/43#AB9891                                                                         | CUSIP: 36178W7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     116511 | PA      | $110242.61     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 08/15/2043#AD8363                                                                  | CUSIP: 36180MJG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18967 | PA      | $17835.85      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #533981                                                                           | CUSIP: 36212HFW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         48 | PA      | $50.01         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AU1687                                                                    | CUSIP: 3138X02V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28860 | PA      | $28071.15      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                               | VERISK ANALYTICS INC 4.5% 08/15/2030                                                              | CUSIP: 92345YAM8<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |    9982000 | PA      | $10057521.62   | 0.02%             | 2030-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565952                                                                           | CUSIP: 36213VWM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1016 | PA      | $1048.17       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 1/1/43 #AR1183                                                                     | CUSIP: 3138NXJ57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     169555 | PA      | $157046.84     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3415 PC 5% 12/37                                                                              | CUSIP: 31397R3R5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      79225 | PA      | $80564.68      | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT3345                                                                  | CUSIP: 3138WQWF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15353 | PA      | $14114.26      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HALLIBURTON CO                                                                     | HALLIBURTON CO 4.85% 11/15/2035                                                                   | CUSIP: 406216BJ9<br>LEI: ENYF8GB5SMQZ25S06U51 | Long             | DBT              | CORP              | US        |    7402000 | PA      | $7303294.11    | 0.02%             | 2035-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/41 #A96807                                                                           | CUSIP: 312945R42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1224146 | PA      | $1201407.89    | 0.00%             | 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        |    1813612 | PA      | $1604750.00    | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #396096                                                                           | CUSIP: 31378D7H7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        631 | PA      | $644.14        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723418                                                                          | CUSIP: 3620A9VK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4230 | PA      | $4237.36       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/36 #901643                                                                          | CUSIP: 31410YWC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1536 | PA      | $1635.80       | 0.00%             | 2036-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+206.198 21 10/15/2036 144A                           | CUSIP: 05609PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25035000 | PA      | $24972585.24   | 0.06%             | 2036-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 5.125% 05/15/2029                                                           | CUSIP: 23311VAH0<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   15661000 | PA      | $16019474.81   | 0.04%             | 2029-05-15      | 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        |      51866 | PA      | $50212.76      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2025-SPOT                                             | BX COMMERCIAL MORTGAGE TRUST 2025-SPOT TSFR1M+144.34 04/15/2040 144A                              | CUSIP: 12433FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57177384 | PA      | $57213097.38   | 0.13%             | 2040-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-66 SA SOFR30A+3891.312 7/37                                                              | CUSIP: 31396WYX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      44722 | PA      | $59853.52      | 0.00%             | 2037-07-25      | Variable      | 0.16%                 | 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        |    7120899 | PA      | $7272833.45    | 0.02%             | 2054-12-20      | Fixed         | 0.06%                 | 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        |   14200000 | NC      | $-162936.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2020-IV                                                            | BARINGS CLO LTD 2020-IV AR TSFR3M+137 10/20/2037 144A                                             | CUSIP: 06762BAS9<br>LEI: 549300Q89L7I93JSRH83 | Long             | ABS-CBDO         | CORP              | KY        |   28775000 | PA      | $28833873.65   | 0.07%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.625% 02/15/2053                                                     | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  193384000 | PA      | $156565500.34  | 0.36%             | 2053-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #781176                                                                          | CUSIP: 36225BJV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37 | PA      | $37.69         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-7 FC SOFR30A+86.448 1/32                                                                 | CUSIP: 31392B2Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3415 | PA      | $3418.39       | 0.00%             | 2032-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.00% 5/32 #003238                                                                        | CUSIP: 36202DS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43501 | PA      | $45016.98      | 0.00%             | 2032-05-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#798467                                                                  | CUSIP: 36177TMR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      91999 | PA      | $88993.98      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/34 #607116                                                                           | CUSIP: 36201YN93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        370 | PA      | $378.81        | 0.00%             | 2034-03-15      | 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        |        991 | PA      | $995.26        | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783261                                                                           | CUSIP: 36241LTS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     786974 | PA      | $787986.68     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511366                                                                           | CUSIP: 31383SCB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $167.41        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | 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        |     329102 | PA      | $323454.66     | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE8075                                                                          | CUSIP: 31419J6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1439 | PA      | $1410.00       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/40 #732376                                                                           | CUSIP: 3620AKT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1685 | PA      | $1712.04       | 0.00%             | 2040-01-15      | Fixed         | 0.05%                 | 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        |      16027 | PA      | $16027.11      | 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        |   48130000 | NC      | $1596825.86    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRAPEZA CDO XII LTD / TRAPEZA CDO XII INC                                          | TRAP 2007-12A B TSFR3M+82.161 4/42                                                                | CUSIP: 89413GAG3<br>LEI: 5493000R4ICCD2N68609 | Long             | ABS-CBDO         | CORP              | KY        |    3641000 | PA      | $2880129.31    | 0.01%             | 2042-04-06      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 3.4% 01/15/2028                                                                | CUSIP: 756109BH6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    7083000 | PA      | $7004478.92    | 0.02%             | 2028-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV4.0% MAC 03/18/36                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   13000000 | NC      | $-55118.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 05/01/2041#1B8124                                                                   | CUSIP: 3128UGMY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23032 | PA      | $24042.82      | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #563100                                                                          | CUSIP: 31386GRV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $65.89         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AA9055                                                                           | CUSIP: 31416TBZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1976 | PA      | $1980.92       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 01/20/2050#BR8999                                                                      | CUSIP: 3617M77L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74581 | PA      | $67184.83      | 0.00%             | 2050-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.75% 04/01/2028                                                               | CUSIP: 925650AJ2<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    6730000 | PA      | $6800838.30    | 0.02%             | 2028-04-01      | Fixed         | 0.05%                 | 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        |     188907 | PA      | $194809.39     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #728451                                                                          | CUSIP: 3620AFH42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39144 | PA      | $39933.35      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AB9376                                                                  | CUSIP: 31417GM29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1122283 | PA      | $1068273.65    | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AB8925                                                                  | CUSIP: 31417F4K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9586 | PA      | $8866.24       | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/41 #783307                                                                           | CUSIP: 36241LU87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      88550 | PA      | $86042.33      | 0.00%             | 2041-04-15      | 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        |      13754 | PA      | $13381.83      | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/39#G05497                                                                       | CUSIP: 3128M7NN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9492 | PA      | $9521.28       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 01/20/2032#MA4170                                                                    | CUSIP: 36179ST31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2656394 | PA      | $2600210.16    | 0.01%             | 2032-01-20      | Fixed         | 0.03%                 | 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        |      40772 | PA      | $3759.84       | 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        |      25726 | PA      | $24939.13      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #MA0583                                                                          | CUSIP: 31417YUH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3190 | PA      | $3125.38       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464694                                                                           | CUSIP: 36208YGB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         43 | PA      | $43.15         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2041#AB2091                                                                    | CUSIP: 31416XKD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363909 | PA      | $356174.33     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9239                                                                  | CUSIP: 31417GHR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68492 | PA      | $63317.53      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR0532                                                                  | CUSIP: 3138NWSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23976 | PA      | $22220.71      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/31 #253907                                                                           | CUSIP: 31371KAG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        170 | PA      | $178.96        | 0.00%             | 2031-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/27 #780618                                                                           | CUSIP: 36225AVK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $42.57         | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #748482                                                                           | CUSIP: 3620C4RB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53045 | PA      | $54117.19      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | 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        |    6839211 | PA      | $7129918.43    | 0.02%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 02/01/2041#A96961                                                                  | CUSIP: 312945WW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48364 | PA      | $49386.83      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | 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        |     204187 | PA      | $199141.71     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #469082                                                                           | CUSIP: 36209ECT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         86 | PA      | $87.54         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | 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        |      23318 | PA      | $22612.74      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.259% 05/01/2027                                                                       | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    7761000 | PA      | $7962912.66    | 0.02%             | 2027-05-01      | 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 3.303% 11/25/2027                                                  | CUSIP: 3137FCJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13300000 | PA      | $13178121.46   | 0.03%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2049#SD7509                                                                    | CUSIP: 3132DVKW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8657794 | PA      | $7814288.86    | 0.02%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 01/01/2056 #TBA                                                                        | CUSIP: 21H020618<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  165375000 | PA      | $136872271.46  | 0.32%             | 2056-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.25% 11/25/2047                                                   | CUSIP: 3136BLHG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   10490927 | PA      | $9497299.08    | 0.02%             | 2047-11-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 05/01/2038#ZA2505                                                                  | CUSIP: 31329KYA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     495203 | PA      | $483375.63     | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 1/36 #850408                                                                           | CUSIP: 31408FYD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        493 | PA      | $519.66        | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2034#752919                                                                  | CUSIP: 31403MPC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3907 | PA      | $3925.03       | 0.00%             | 2034-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/29 #500286                                                                           | CUSIP: 31383DXP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1543 | PA      | $1621.56       | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 03/01/2041#MA4287                                                                    | CUSIP: 31418DXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15665 | PA      | $13784.44      | 0.00%             | 2041-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #527248                                                                          | CUSIP: 31384LWH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        158 | PA      | $166.02        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 06/25/2049                                                    | CUSIP: 3136BKND0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   10050526 | PA      | $8953541.32    | 0.02%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #401093                                                                          | CUSIP: 31378KRN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        529 | PA      | $540.09        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/45#AS5764                                                                       | CUSIP: 3138WFMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     813008 | PA      | $768408.71     | 0.00%             | 2045-09-01      | 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        |    1930060 | PA      | $1869321.21    | 0.00%             | 2036-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 01/43 #Q16224                                                                           | CUSIP: 3132J7LE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17769 | PA      | $16901.74      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 1/41 #AB2068                                                                           | CUSIP: 31416XJN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17315 | PA      | $16644.61      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #719574                                                                           | CUSIP: 3620A5MX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11667 | PA      | $11900.01      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 10/01/2030#                                                                        | CUSIP: 31298B7F2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $82.47         | 0.00%             | 2030-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/31 #622219                                                                          | CUSIP: 31389DG43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1370 | PA      | $1439.79       | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #553437                                                                           | CUSIP: 36213FZA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        576 | PA      | $594.85        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT SECURITIZATION                                                 | CASTLELAKE AIRCRAFT SECURITIZATION 2018-1 A 4.125% 06/15/2043 144A                                | CUSIP: 14856CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3537481 | PA      | $3502109.81    | 0.01%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #401788                                                                          | CUSIP: 31378LJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         68 | PA      | $69.59         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | 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        |    3843739 | PA      | $3754165.23    | 0.01%             | 2053-02-13      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #570131                                                                          | CUSIP: 36200RLL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1430 | PA      | $1482.41       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/27 #250989                                                                           | CUSIP: 31371FXS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          5 | PA      | $5.30          | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 12/01/2026#                                                                          | CUSIP: 31335GQF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $42.95         | 0.00%             | 2026-12-01      | Fixed         | 0.08%                 | 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        |    4186483 | PA      | $3896791.08    | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #843567                                                                          | CUSIP: 31407XFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3712 | PA      | $3909.99       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5% 01/30/2029                                                                     | CUSIP: 126650DW7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   15279000 | PA      | $15602899.83   | 0.04%             | 2029-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #733155                                                                           | CUSIP: 3620ALQG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15982 | PA      | $16304.91      | 0.00%             | 2040-05-15      | 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 2.5% 06/25/2049                                                    | CUSIP: 3137H5J24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2108885 | PA      | $1876599.31    | 0.00%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 3.25% 01/15/2031                                                               | CUSIP: 756109AX2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4502000 | PA      | $4286029.65    | 0.01%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #556226                                                                           | CUSIP: 36213J4K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1492 | PA      | $1543.90       | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #473582                                                                           | CUSIP: 36209KCT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        274 | PA      | $278.29        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA                                           | INT COMMERCIAL MORTGAGE TRUST 2025-PLAZA VAR 11/05/2037 144A                                      | CUSIP: 44989YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16592000 | PA      | $16654648.07   | 0.04%             | 2037-11-05      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 09/20/2052#MA8266                                                                    | CUSIP: 36179XFF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25505068 | PA      | $23484681.62   | 0.05%             | 2052-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.5% 3/43 #AL3429                                                                            | CUSIP: 3138EKY33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1693412 | PA      | $1694722.83    | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 11/33 #616068                                                                          | CUSIP: 36290SMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        260 | PA      | $266.59        | 0.00%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #544721                                                                           | CUSIP: 36212VD22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        297 | PA      | $306.64        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 06/20/2039#004461                                                                  | CUSIP: 36202E5W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36373 | PA      | $35777.02      | 0.00%             | 2039-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/43#AL7261                                                                    | CUSIP: 3138EQB76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     965545 | PA      | $923514.76     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.125% 05/15/2032                                                              | CUSIP: 925650AD5<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   10549000 | PA      | $10621981.15   | 0.02%             | 2032-05-15      | Fixed         | 0.05%                 | 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        |    2868954 | PA      | $2705019.01    | 0.01%             | 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        |      28869 | PA      | $28057.47      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #417739                                                                          | CUSIP: 31379FBG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $180.26        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.5% 09/01/2041                                                             | CUSIP: 88732JBB3<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    8397000 | PA      | $7369657.87    | 0.02%             | 2041-09-01      | Fixed         | 0.06%                 | 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        |    4722435 | PA      | $4723895.68    | 0.01%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2034#J40154                                                                    | CUSIP: 31307YE30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138779 | PA      | $135200.31     | 0.00%             | 2034-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AE3713                                                                          | CUSIP: 31419EDT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8948 | PA      | $8957.24       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC B TSFR1M+141.448 04/15/2034 144A                            | CUSIP: 05608BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15742000 | PA      | $15614009.67   | 0.04%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2042#RB0806                                                                  | CUSIP: 3133KT3P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79909 | PA      | $71802.52      | 0.00%             | 2042-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.11% 4/38 #1B3803                                                                       | CUSIP: 3128JPDH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18653 | PA      | $19450.43      | 0.00%             | 2038-04-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                                 | TEACHERS INS and ANNUITY ASSN AMER 4.9% 09/15/2044 144A                                           | CUSIP: 878091BD8<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   29277000 | PA      | $26571917.04   | 0.06%             | 2044-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-17 BH 3% 05/25/2047                                             | CUSIP: 3136BMRP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    4731636 | PA      | $4535062.63    | 0.01%             | 2047-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #779843                                                                          | CUSIP: 36176YEQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      62585 | PA      | $60722.35      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BCRED BSL STATIC CLO 2025-1 LTD / LLC                                              | BCRED BSL STATIC CLO 2025-1 A AR LTD / LLC AR TSFR3M+125 07/15/2035 144A                          | CUSIP: 05556KAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28623000 | PA      | $28629640.54   | 0.07%             | 2035-07-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/41 #772088                                                                          | CUSIP: 36176PRH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     107001 | PA      | $101422.70     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 3/42 #Q07242                                                                           | CUSIP: 3132GSLX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208795 | PA      | $203961.59     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2049#BN5400                                                                  | CUSIP: 3140JNAA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362372 | PA      | $376939.45     | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 19 LTD / AIMCO CLO 19 LLC                                                | AIMCO CLO 19 LTD / AIMCO CLO 19 LLC A TSFR3M+135 10/20/2037 144A                                  | CUSIP: 00140HAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   10259000 | PA      | $10284257.66   | 0.02%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4% 11/15/2052                                                         | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  129398000 | PA      | $112207273.84  | 0.26%             | 2052-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/34 #605311                                                                           | CUSIP: 36200NN49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20664 | PA      | $21863.11      | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 12/20/2052#MA8485                                                                    | CUSIP: 36179XNA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18772 | PA      | $16256.69      | 0.00%             | 2052-12-20      | Fixed         | 0.03%                 | 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        |      59683 | PA      | $59776.99      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 1/31 #435013                                                                           | CUSIP: 36207LGW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2638 | PA      | $2743.54       | 0.00%             | 2031-01-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP TRUST                                                            | KITE RLTY GROUP TRUST 4.75% 09/15/2030                                                            | CUSIP: 76131VAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   42235000 | PA      | $42701355.07   | 0.10%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.627% 6/1/41#1B8372                                                                     | CUSIP: 3128UGVQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25372 | PA      | $26489.86      | 0.00%             | 2041-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| HORIZON AIRCRAFT FINANCE LTD                                                       | HORIZON AIRCRAFT FINANCE LTD 2019-1 A 3.721% 07/15/2039 144A                                      | CUSIP: 44040HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4389141 | PA      | $4314328.64    | 0.01%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VORNADO REALTY L P                                                                 | VORNADO REALTY LP 2.15% 06/01/2026                                                                | CUSIP: 929043AK3<br>LEI: 549300BMOJ05INE4YK86 | Long             | DBT              | CORP              | US        |    7918000 | PA      | $7830721.87    | 0.02%             | 2026-06-01      | 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+67 08/25/2052                                              | CUSIP: 3137H8P62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3252415 | PA      | $3210603.35    | 0.01%             | 2052-08-25      | Variable      | 0.05%                 | 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        |   11233504 | PA      | $10693081.84   | 0.02%             | 2037-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 6.75% 10/01/2037                                                    | CUSIP: 38141GFD1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   30816000 | PA      | $34402262.54   | 0.08%             | 2037-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-H03 FA TSFR1M+66.448 3/60                                                                | CUSIP: 38376XNT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     316660 | PA      | $316954.18     | 0.00%             | 2060-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2038#AV3539                                                                    | CUSIP: 3138XE4Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     247878 | PA      | $243179.56     | 0.00%             | 2038-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 5.25% 06/15/2037                                                               | CUSIP: 15135UAP4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |   13846000 | PA      | $13443462.44   | 0.03%             | 2037-06-15      | Fixed         | 0.05%                 | 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        |   15300000 | PA      | $15357347.46   | 0.04%             | 2040-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| TOLEDO HOSPITAL/THE                                                                | TOLEDO HOSPITAL/THE 5.325% 11/15/2028                                                             | CUSIP: 889184AC1<br>LEI: 5493009DCR7NWV6K4T34 | Long             | DBT              | CORP              | US        |    9969000 | PA      | $10108019.70   | 0.02%             | 2028-11-15      | Fixed         | 0.05%                 | 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        |   61295233 | PA      | $50776719.33   | 0.12%             | 2052-02-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #397256                                                                          | CUSIP: 31378FH99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        303 | PA      | $309.37        | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHLMC REMI 30YR 6% 03/01/2055#RJ3645                                                              | CUSIP: 3142GUBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5297524 | PA      | $5522333.09    | 0.01%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #773473                                                                           | CUSIP: 36176RCJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46542 | PA      | $45231.21      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | 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        |    2000000 | NC      | $308791.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #474760                                                                           | CUSIP: 36209LMH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1879 | PA      | $1933.81       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 3.55% 03/01/2038                                                                        | CUSIP: 097023BY0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    3337000 | PA      | $2808918.21    | 0.01%             | 2038-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2033#688077                                                                  | CUSIP: 31400HM26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14363 | PA      | $14426.53      | 0.00%             | 2033-02-01      | Fixed         | 0.04%                 | 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        |     108744 | PA      | $100588.83     | 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        |    2109240 | PA      | $1957795.33    | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| 3M CO                                                                              | 3M CO 3.05% 04/15/2030                                                                            | CUSIP: 88579YBN0<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | DBT              | CORP              | US        |    1519000 | PA      | $1451774.53    | 0.00%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/33 #A16699                                                                          | CUSIP: 31296RNQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18696 | PA      | $19052.18      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4.5% 07/25/2027                                                    | CUSIP: 3136A7HT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        309 | PA      | $1.39          | 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        |     267253 | PA      | $246159.55     | 0.00%             | 2046-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 01/33#J38270                                                                       | CUSIP: 31307VFK7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48868 | PA      | $47111.91      | 0.00%             | 2033-01-01      | 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 5182 A 2.5% 10/25/2048                                             | CUSIP: 3137H5BQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   16540115 | PA      | $14833962.56   | 0.03%             | 2048-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #466901                                                                           | CUSIP: 36209BU22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        183 | PA      | $184.47        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | 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        |     130618 | PA      | $130928.28     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#MB0249                                                                  | CUSIP: 3138MTH34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34491 | PA      | $31915.85      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2042#AO6386                                                                  | CUSIP: 3138LXCY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18332 | PA      | $17509.37      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2046#G60393                                                                  | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     140582 | PA      | $132962.05     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #830810                                                                           | CUSIP: 31407HAK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1220 | PA      | $1278.71       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | 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        |      20000 | NC      | $3339.83       | 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        |    8492830 | PA      | $7644164.41    | 0.02%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 10/01/2034#C91793                                                                  | CUSIP: 3128P77E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2458878 | PA      | $2414657.23    | 0.01%             | 2034-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778882                                                                           | CUSIP: 36176XCT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     234154 | PA      | $221443.68     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #406641                                                                           | CUSIP: 31378RWA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $23.84         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 08/31/2031                                                                        | CUSIP: 91282CLJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  660000000 | PA      | $657808595.40  | 1.52%             | 2031-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AQ9994                                                                  | CUSIP: 3138MSC80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259798 | PA      | $240886.08     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AI9692                                                                           | CUSIP: 3138APXW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27828 | PA      | $27130.34      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNCL 2011-39 ZA 6% 11/32                                                                          | CUSIP: 31397SVY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     168262 | PA      | $174232.40     | 0.00%             | 2032-11-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 11/01/2051#FM9539                                                                    | CUSIP: 3140XDS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17239855 | PA      | $14175792.81   | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.55% 06/01/2034  | CUSIP: 161175CR3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14327000 | PA      | $15068501.19   | 0.03%             | 2034-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AB1898                                                                          | CUSIP: 31416XDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56332 | PA      | $56429.20      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.972%/VAR 02/04/2033                                                 | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $16003826.83   | 0.04%             | 2033-02-04      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2021                                                    | BINOM SECURITIZATION TRUST 2022 A1 VAR 02/25/2061 144A                                            | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12024883 | PA      | $11330346.67   | 0.03%             | 2061-02-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #830991                                                                           | CUSIP: 31407HF84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1324 | PA      | $1408.93       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21255                                                                  | CUSIP: 3132JNMC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     146765 | PA      | $142755.49     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2049#BJ8459                                                                    | CUSIP: 3140HAMH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     261128 | PA      | $231933.33     | 0.00%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR 21-BMR E TSFR1M+186.448 6 03/15/2036 144A                                    | CUSIP: 53218CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3992100 | PA      | $3964623.97    | 0.01%             | 2038-03-15      | Variable      | 0.06%                 | 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        |    7839293 | PA      | $7026536.42    | 0.02%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #782918                                                                           | CUSIP: 36241LG34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     371272 | PA      | $378753.16     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 4.2% 04/01/2050                                                                    | CUSIP: 58013MFR0<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    4263000 | PA      | $3435147.48    | 0.01%             | 2050-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 08/01/2037#MA3128                                                                  | CUSIP: 31418CPN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7732 | PA      | $7554.87       | 0.00%             | 2037-09-01      | Fixed         | 0.04%                 | 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        |     816943 | PA      | $736549.63     | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | 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        |    4179566 | PA      | $4165721.20    | 0.01%             | 2034-08-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/29 #491644                                                                           | CUSIP: 36210GER1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         59 | PA      | $61.42         | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/42 #AK1411                                                                           | CUSIP: 3138E5R91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5451 | PA      | $5424.99       | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| J P MORGAN CHASE COML MTG SECS TR 2019-BROOK                                       | J P MORGAN CHASE COML MTG SECS TR 2019-BROOK TSFR1M+136.448 09/15/2029 144A                       | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5526232 | PA      | $5365624.41    | 0.01%             | 2029-09-15      | Variable      | 0.05%                 | 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        |     770806 | PA      | $772480.12     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #443711                                                                           | CUSIP: 36207V3U8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        238 | PA      | $241.07        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #464920                                                                           | CUSIP: 36208YPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        567 | PA      | $574.17        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | 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        |   12677235 | PA      | $11492656.00   | 0.03%             | 2036-01-01      | Fixed         | 0.01%                 | 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 2.5% 07/25/2048                            | CUSIP: 3137H3QP0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    2771084 | PA      | $2481609.74    | 0.01%             | 2048-07-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #724223                                                                           | CUSIP: 3620AASL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     361339 | PA      | $362032.62     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#741529                                                                  | CUSIP: 31402XY26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14324 | PA      | $14390.68      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293LSS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         68 | PA      | $70.12         | 0.00%             | 2029-03-01      | 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 3.6% 01/25/2028                                                    | CUSIP: 3137F4D41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31067795 | PA      | $30924401.37   | 0.07%             | 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        |    7697069 | PA      | $7687620.08    | 0.02%             | 2036-02-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 2/41 #AH3127                                                                           | CUSIP: 3138A4PM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1192 | PA      | $1194.32       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723224                                                                          | CUSIP: 3620A9PH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40030 | PA      | $40831.41      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2884                                                                  | CUSIP: 3138EKF26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     110531 | PA      | $102405.05     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 12/40 #C03633                                                                          | CUSIP: 31292LBA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13221 | PA      | $12978.00      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2051#RA5267                                                                    | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2048115 | PA      | $1830651.46    | 0.00%             | 2051-05-01      | 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        |      10971 | PA      | $10644.36      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2041#750185                                                                  | CUSIP: 3620C6NA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28572 | PA      | $27707.75      | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2031#ZK8400                                                                  | CUSIP: 3131XCKM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     261732 | PA      | $253489.07     | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #550866                                                                           | CUSIP: 36213C6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $66.80         | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN B TSFR1M+169.152 04/15/2029 144A                                                     | CUSIP: 05612HAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6891892 | PA      | $6904668.76    | 0.02%             | 2041-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2041#AH0064                                                                  | CUSIP: 3138A1CA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15349 | PA      | $15361.74      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 25-3A A1 0% 09/18/2040 144A                                      | CUSIP: 96328GCP0<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    3900000 | PA      | $3910829.13    | 0.01%             | 2040-09-18      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2041#AC9301                                                                  | CUSIP: 31417WKP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18551 | PA      | $18917.60      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2031#CA3178                                                                    | CUSIP: 3140QAQ86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57259 | PA      | $56482.05      | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2043#AV9123                                                                  | CUSIP: 3138XMD56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11798 | PA      | $11773.60      | 0.00%             | 2043-12-01      | Fixed         | 0.04%                 | 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        |      79762 | PA      | $76076.93      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/39 #A90393                                                                          | CUSIP: 312938NJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3810 | PA      | $3889.98       | 0.00%             | 2039-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2032#                                                                          | CUSIP: 31287NDD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5821 | PA      | $6039.66       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07351                                                                           | CUSIP: 3132GSQC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33316 | PA      | $32734.20      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 12/40 #A95796                                                                          | CUSIP: 312944NM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68983 | PA      | $67704.52      | 0.00%             | 2040-12-01      | 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        |    4174778 | PA      | $3842359.06    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD                                          | NEUBERGER BERMAN LOAN ADVISERS CLO 25 LTD AR2 TSFR3M+140 07/18/2038 144A                          | CUSIP: 64131JAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28786000 | PA      | $28857619.57   | 0.07%             | 2038-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.15%/VAR 04/23/2031                                                       | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   80251000 | PA      | $82835333.39   | 0.19%             | 2031-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 4.9% 12/15/2030                                                    | CUSIP: 015271AU3<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   17745000 | PA      | $17981849.97   | 0.04%             | 2030-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC                                                                  | CBRE SERVICES INC 2.5% 04/01/2031                                                                 | CUSIP: 12505BAE0<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |   23518000 | PA      | $21331258.73   | 0.05%             | 2031-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 06/01/2055#CC0594                                                                  | CUSIP: 3140Y6UU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3451030 | PA      | $3658382.86    | 0.01%             | 2055-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 2.75% 09/01/2031                                                             | CUSIP: 875484AL1<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   18732000 | PA      | $16950721.48   | 0.04%             | 2031-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02345                                                                  | CUSIP: 3132GFTA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27873 | PA      | $28427.07      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2049#QA4865                                                                    | CUSIP: 31346YMN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     255784 | PA      | $229265.43     | 0.00%             | 2049-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.05% 7/34 #801635                                                                       | CUSIP: 31405WSY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1823 | PA      | $1863.57       | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                            | SANTANDER HLDGS USA INC 6.499%/VAR 03/09/2029                                                     | CUSIP: 80282KBF2<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   35670000 | PA      | $37169550.75   | 0.09%             | 2029-03-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 05/01/2051#CB0506                                                                  | CUSIP: 3140QKR42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14053597 | PA      | $12105707.68   | 0.03%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-104 GI SOFR30A+656.552 11/36                                                             | CUSIP: 31396LMA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     111578 | PA      | $9458.87       | 0.00%             | 2036-11-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#A96413                                                                    | CUSIP: 312945DS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1389962 | PA      | $1363859.86    | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #569233                                                                           | CUSIP: 36200QLN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         24 | PA      | $24.66         | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2044#AV4489                                                                  | CUSIP: 3138XF7B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131498 | PA      | $127980.23     | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2033#FM4036                                                                  | CUSIP: 3140X7PW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9387558 | PA      | $9075909.29    | 0.02%             | 2033-12-01      | Fixed         | 0.03%                 | 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        |    1096387 | PA      | $1147025.71    | 0.00%             | 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        |    1644093 | PA      | $1396860.91    | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460837                                                                           | CUSIP: 36208T4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         61 | PA      | $62.31         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AS0407                                                                  | CUSIP: 3138W9NZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100126 | PA      | $92075.15      | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2044#AL7195                                                                  | CUSIP: 3138EP7H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     953502 | PA      | $882123.91     | 0.00%             | 2044-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22682                                                                  | CUSIP: 3132JP6T4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38200 | PA      | $37142.21      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | 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        |     669648 | PA      | $688348.27     | 0.00%             | 2036-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/40#AE3576                                                                         | CUSIP: 31419D6N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     155218 | PA      | $151758.14     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH4872                                                                  | CUSIP: 3138A6MW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9732 | PA      | $9527.28       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #501998                                                                           | CUSIP: 31383FUX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2502 | PA      | $2614.67       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE5066                                                                          | CUSIP: 31419FTY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21415 | PA      | $21022.64      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 01/01/2055#MA5586                                                                  | CUSIP: 31418FF44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2108451 | PA      | $2138523.94    | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/40 #711483                                                                           | CUSIP: 36297GM80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36939 | PA      | $35934.45      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/01/2051#                                                                        | CUSIP: 3133B1GE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1415677 | PA      | $1316389.47    | 0.00%             | 2051-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/45#G08659                                                                    | CUSIP: 3128MJWV8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4590 | PA      | $4336.01       | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2041#AH7450                                                                  | CUSIP: 3138A9H49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34355 | PA      | $35007.67      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | 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        |     253807 | PA      | $241699.82     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 3% 01/15/2030                                                         | CUSIP: 92277GAU1<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   35454000 | PA      | $33755004.26   | 0.08%             | 2030-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                                       | ENBRIDGE INC 4.25% 12/01/2026                                                                     | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    8321000 | PA      | $8336879.38    | 0.02%             | 2026-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 01/01/2056 #TBA                                                                    | CUSIP: 01F062614<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -50100000 | PA      | $-52055072.34  | -0.12%            | 2056-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 12/15/2042#AA5897                                                                  | CUSIP: 36178DRS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     502784 | PA      | $461280.24     | 0.00%             | 2042-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2045#AZ7335                                                                    | CUSIP: 3140E0EH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     632054 | PA      | $612058.57     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/1/42 #AQ7097                                                                    | CUSIP: 3138MN3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124928 | PA      | $119448.20     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TDU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        130 | PA      | $133.71        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7425                                                                  | CUSIP: 31417EHB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64457 | PA      | $59764.88      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NIKE INC                                                                           | NIKE INC 2.75% 03/27/2027                                                                         | CUSIP: 654106AJ2<br>LEI: 787RXPR0UX0O0XUXPZ81 | Long             | DBT              | CORP              | US        |    6632000 | PA      | $6557345.63    | 0.02%             | 2027-03-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #447756                                                                           | CUSIP: 36208DMD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        312 | PA      | $316.24        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q17646                                                                  | CUSIP: 3132J85G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     935714 | PA      | $893397.33     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #723740                                                                           | CUSIP: 3620AABH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53377 | PA      | $53378.53      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 10/15/2041#775540                                                                    | CUSIP: 36176TLV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84639 | PA      | $81968.80      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE NATL ASSN MCLEAN VA                                                    | CAPITAL ONE NATL ASN MCLEAN VA 4.682%/VAR 08/09/2028                                              | CUSIP: 25466AAN1<br>LEI: 207ALC1P1YM0OVDV0K75 | Long             | DBT              | CORP              | US        |   23162000 | PA      | $24065016.20   | 0.06%             | 2028-08-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6% 11/35 #AD0687                                                                             | CUSIP: 31418MXR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     533604 | PA      | $557938.86     | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.874 10/28/30                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   44240000 | NC      | $1189781.27    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.88% 1/35 #848084                                                                       | CUSIP: 3128JR6V3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1848 | PA      | $1884.88       | 0.00%             | 2035-01-01      | Variable      | 0.06%                 | 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        |      24430 | PA      | $24916.60      | 0.00%             | 2039-11-15      | 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        |     136255 | PA      | $136289.88     | 0.00%             | 2061-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #471314                                                                           | CUSIP: 36209GSB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1295 | PA      | $1341.89       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2037#G02671                                                                  | CUSIP: 3128M4JQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3092 | PA      | $3108.49       | 0.00%             | 2037-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #449039                                                                           | CUSIP: 36208EZC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133 | PA      | $134.72        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.664%/VAR 04/17/2036                                                              | CUSIP: 61747YGA7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   21369000 | PA      | $22430296.94   | 0.05%             | 2036-04-17      | Variable      | 0.06%                 | 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        |     900000 | NC      | $-10326.96     | -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        |      25311 | PA      | $24418.58      | 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        |      20795 | PA      | $20135.55      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT FUNDING 14-R LTD                                                        | OHA CREDIT FUNDING 14-R LTD A TSFR3M+123 04/20/2038 144A                                          | CUSIP: 67706QAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18959000 | PA      | $18966924.86   | 0.04%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #582134                                                                           | CUSIP: 36201FV38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1434 | PA      | $1489.62       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 09/01/2039#MA3773                                                                    | CUSIP: 31418DFP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53980 | PA      | $53204.03      | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569840                                                                           | CUSIP: 36200RBH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        367 | PA      | $379.09        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #394197                                                                           | CUSIP: 31378B3E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $152.60        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #313711                                                                           | CUSIP: 31374GN45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         67 | PA      | $68.16         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #783532                                                                           | CUSIP: 36241L4R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      81500 | PA      | $77117.06      | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 4.478%/VAR 04/04/2031                                                      | CUSIP: 95000U2L6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   60800000 | PA      | $61201767.62   | 0.14%             | 2031-04-04      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                           | OAK HILL CREDIT PARTNERS A1 TSFR3M+150 04/20/2037 144A                                            | CUSIP: 67706JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |   41264000 | PA      | $41373679.71   | 0.10%             | 2037-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0988                                                                  | CUSIP: 3138NXC21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30280 | PA      | $27943.81      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #545170                                                                           | CUSIP: 36212VT33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        373 | PA      | $386.77        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 17-186 HK 3% 11/16/2045                                            | CUSIP: 38380T6K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2508413 | PA      | $2347187.09    | 0.01%             | 2045-11-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2042 #AB5652                                                                 | CUSIP: 31417CH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52868 | PA      | $48846.38      | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                        | CUSIP: 3128FQ4A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        263 | PA      | $268.88        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #498693                                                                           | CUSIP: 31383B7E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1714 | PA      | $1789.94       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 5% 03/01/2038#RC2855                                                                    | CUSIP: 3133L9E41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1867933 | PA      | $1901685.62    | 0.00%             | 2038-03-01      | Fixed         | 0.05%                 | 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        |    1384333 | PA      | $1237348.41    | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.224% 4/41#1B8179                                                                       | CUSIP: 3128UGPP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1855 | PA      | $1935.02       | 0.00%             | 2041-04-01      | 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        |     107084 | PA      | $104095.67     | 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        |     320875 | PA      | $303484.10     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #443834                                                                          | CUSIP: 36207WBB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        316 | PA      | $320.40        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2049#CA2963                                                                  | CUSIP: 3140QAJH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32743 | PA      | $32500.41      | 0.00%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6233                                                                           | CUSIP: 3138A74T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55069 | PA      | $53920.40      | 0.00%             | 2041-03-01      | 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        |   23159607 | PA      | $23869212.35   | 0.05%             | 2054-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2044#Q26605                                                                  | CUSIP: 3132M7AE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45297 | PA      | $44170.15      | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2048#BJ9174                                                                  | CUSIP: 3140HBFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     402694 | PA      | $419794.61     | 0.00%             | 2048-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2052#CB5259                                                                  | CUSIP: 3140QQZZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4981203 | PA      | $4911673.91    | 0.01%             | 2052-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2017-GS6                                                            | GS MTG SECS TR 2017-GS6 3.164% 05/10/2050                                                         | CUSIP: 36253PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2679224 | PA      | $2642854.91    | 0.01%             | 2050-05-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.468%/VAR 01/23/2035                                                 | CUSIP: 06051GMA4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $52085969.00   | 0.12%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                               | EXTENDED STAY AMERICA TRUST 2025-ESH B TSFR1M+160 10/15/2042 144A                                 | CUSIP: 30227TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10025000 | PA      | $10040654.04   | 0.02%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2040#AE6222                                                                  | CUSIP: 31419G4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9582 | PA      | $9382.04       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q01871                                                                  | CUSIP: 3132GFCG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      68004 | PA      | $69442.49      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 08/01/2054#CB9061                                                                    | CUSIP: 3140QVB78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25430872 | PA      | $26210069.29   | 0.06%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ7222                                                                  | CUSIP: 3140E0AY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     331799 | PA      | $321340.78     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 2/27 #399107                                                                           | CUSIP: 36205SKU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        550 | PA      | $552.74        | 0.00%             | 2027-02-15      | 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        |     819850 | PA      | $836369.45     | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/31 #637890                                                                          | CUSIP: 31389WUP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9169 | PA      | $9658.33       | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 02/01/2056 #TBA                                                                      | CUSIP: 01F020620<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  170450000 | PA      | $137684976.03  | 0.32%             | 2056-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/34 #781813                                                                          | CUSIP: 36241KAN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3040 | PA      | $3090.59       | 0.00%             | 2034-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 02/01/2042#FS1810                                                                  | CUSIP: 3140XHAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2991419 | PA      | $2695557.78    | 0.01%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY873245 04/17/65 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    8097934 | NC      | $36011.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MAGNETITE XXIII LTD                                                                | MAGNETITE XXIII LTD AR TSFR3M+139.161 01/25/2035 144A                                             | CUSIP: 55954NAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   23616000 | PA      | $23634089.86   | 0.05%             | 2035-01-25      | Variable      | 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        |     451535 | PA      | $443785.28     | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2043#AD2150                                                                  | CUSIP: 36180DL70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     247467 | PA      | $233422.25     | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | 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        |    8108208 | PA      | $8126942.85    | 0.02%             | 2054-12-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #593193                                                                           | CUSIP: 36201T7E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        118 | PA      | $119.11        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXIX LTD / MAGNETITE XXIX LLC                                            | MAGNETITE XXIX LTD / MAGNETITE XXIX LLC AR TSFR3M+135 07/15/2037 144A                             | CUSIP: 55955KAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28521000 | PA      | $28587197.24   | 0.07%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 6.375% 05/04/2028 144A                                                | CUSIP: 05401AAS0<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   37945000 | PA      | $39537613.88   | 0.09%             | 2028-05-04      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2053#FS5067                                                                    | CUSIP: 3140XLTZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2082877 | PA      | $2172569.07    | 0.01%             | 2053-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 9/42 #AA5658                                                                           | CUSIP: 36178DJB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36362 | PA      | $34245.35      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XVIII LTD                                                         | SIXTH STREET CLO XVIII LTD 2021-18A A1R TSFR3M+125 10/17/2038 144A                                | CUSIP: 83012HAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27844000 | PA      | $27879445.41   | 0.06%             | 2038-10-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722701                                                                          | CUSIP: 3620A83J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41308 | PA      | $41361.48      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #423082                                                                           | CUSIP: 36206V6T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        308 | PA      | $311.44        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.65% 05/01/2042#AO3781                                                                 | CUSIP: 3138LUFX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19346 | PA      | $18583.81      | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 01/01/2055#QX2328                                                                  | CUSIP: 31425WSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     520218 | PA      | $528938.12     | 0.00%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 9/35 #A37119                                                                           | CUSIP: 31297S4C6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      40640 | PA      | $41465.45      | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/38 #G04334                                                                           | CUSIP: 3128M6EF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174531 | PA      | $178137.27     | 0.00%             | 2038-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/38 #A78486                                                                           | CUSIP: 3128LCNB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3416 | PA      | $3487.44       | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2021-1 3.474% 01/15/2046 144A                                   | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     660562 | PA      | $654961.00     | 0.00%             | 2046-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #582029                                                                           | CUSIP: 36201FSS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        829 | PA      | $852.42        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AUTONATION FINANCE TRUST 2025-1                                                    | AUTONATION FINANCE TRUST 2025-1 4.72% 04/10/2028 144A                                             | CUSIP: 05330QAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6583748 | PA      | $6598116.56    | 0.02%             | 2028-04-10      | 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        |     522805 | PA      | $488417.39     | 0.00%             | 2046-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+274.6 04/15/2024 144A                                                    | CUSIP: 05609WAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2648800 | PA      | $2653684.13    | 0.01%             | 2037-04-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/41 #768137                                                                           | CUSIP: 36176KEJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      55368 | PA      | $53756.01      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB3769                                                                  | CUSIP: 36178QFJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17282 | PA      | $16422.96      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/29 #478716                                                                           | CUSIP: 36209QYM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79 | PA      | $80.62         | 0.00%             | 2029-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2048#ZM5477                                                                  | CUSIP: 3131Y0CN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24441 | PA      | $23108.48      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #458872                                                                           | CUSIP: 36208RW91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        104 | PA      | $105.16        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #460857                                                                           | CUSIP: 36208T5S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1563 | PA      | $1587.46       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.869% 5/36 #995608                                                                      | CUSIP: 31416CAH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10598 | PA      | $10920.20      | 0.00%             | 2036-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #727692                                                                          | CUSIP: 3620AENH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5712 | PA      | $5988.33       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33623                                                                  | CUSIP: 3132QQAZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34265 | PA      | $32795.38      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2041#Q03517                                                                  | CUSIP: 3132GJSE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30325 | PA      | $30394.53      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VERISK ANALYTICS INC                                                               | VERISK ANALYTICS INC 5.125% 02/15/2036                                                            | CUSIP: 92345YAN6<br>LEI: 549300I1YSWNIRKBWP67 | Long             | DBT              | CORP              | US        |   22439000 | PA      | $22541445.03   | 0.05%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY FINANCIAL                                                                | SYNCHRONY FINANCIAL 3.95% 12/01/2027                                                              | CUSIP: 87165BAM5<br>LEI: 549300RS7EWPM9MA6C78 | Long             | DBT              | CORP              | US        |   30327000 | PA      | $30182483.66   | 0.07%             | 2027-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 11/27 #412362                                                                          | CUSIP: 36206JB78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         98 | PA      | $99.72         | 0.00%             | 2027-11-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| SWISS RE FINANCE LUXEMBOURG                                                        | SWISS RE FINANCE LUXEMBOURG 5%/VAR 04/02/2049 144A                                                | CUSIP: 87089NAA8<br>LEI: 549300CLQZ6TM98LW631 | Long             | DBT              | CORP              | LU        |    3800000 | PA      | $3825451.68    | 0.01%             | 2049-04-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XLI LTD                                                                  | MAGNETITE XLI LTD A TSFR3M+129 01/25/2038 144A                                                    | CUSIP: 55956AAA3<br>LEI: 529900IDXPZZY6034K03 | Long             | ABS-CBDO         | CORP              | KY        |   18369000 | PA      | $18401660.08   | 0.04%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97945                                                                           | CUSIP: 312946ZJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1334315 | PA      | $1337198.39    | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2043#666409                                                                  | CUSIP: 36295CKW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14016 | PA      | $13190.49      | 0.00%             | 2043-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02067                                                                  | CUSIP: 3132GFJL2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67214 | PA      | $68631.79      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #554247                                                                           | CUSIP: 36213GWG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1977 | PA      | $2047.16       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 08/20/2031#MA3850                                                                    | CUSIP: 36179SH34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     275513 | PA      | $269998.29     | 0.00%             | 2031-08-20      | Fixed         | 0.03%                 | 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        |     115062 | PA      | $112765.93     | 0.00%             | 2043-06-01      | 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        |     275000 | NC      | $-3155.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/31 #604935                                                                          | CUSIP: 31388HBC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        248 | PA      | $261.72        | 0.00%             | 2031-10-01      | Fixed         | 0.07%                 | 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        |    7611885 | PA      | $7939664.70    | 0.02%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 7/32 #G01433                                                                           | CUSIP: 31283HSW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        579 | PA      | $607.16        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #643105                                                                           | CUSIP: 31390DNW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        710 | PA      | $752.69        | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5.25% 02/01/2028                                                               | CUSIP: 24703DBJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   28212000 | PA      | $28847648.24   | 0.07%             | 2028-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #759152                                                                           | CUSIP: 36230UEZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      28817 | PA      | $27987.63      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 10/20/2049#MA6218                                                                      | CUSIP: 36179U4B5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      75847 | PA      | $68396.24      | 0.00%             | 2049-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #719262                                                                           | CUSIP: 3620A5B73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     164893 | PA      | $168220.05     | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513653                                                                           | CUSIP: 36211HTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        120 | PA      | $122.99        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2039#AV6645                                                                    | CUSIP: 3138XJL39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223497 | PA      | $219102.30     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | 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        |      13758 | PA      | $13046.83      | 0.00%             | 2036-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2032#                                                                          | CUSIP: 31283HUA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1549 | PA      | $1611.21       | 0.00%             | 2032-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3123 LO 0% 3/36                                                                               | CUSIP: 31396JPR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      96645 | PA      | $82015.29      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34623                                                                    | CUSIP: 31307RD44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36346 | PA      | $35638.38      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #459593                                                                           | CUSIP: 36208SRN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1013 | PA      | $1029.38       | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2043#AR6445                                                                  | CUSIP: 3138W4ET4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3082 | PA      | $3073.91       | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 05/31/2030                                                                        | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  514100000 | PA      | $515365169.25  | 1.19%             | 2030-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2051#                                                                        | CUSIP: 3133AMTD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     553445 | PA      | $515493.80     | 0.00%             | 2051-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 2.65% 08/15/2030                                                                          | CUSIP: 55336VBQ2<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $8335620.45    | 0.02%             | 2030-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #779846                                                                          | CUSIP: 36176YET0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39447 | PA      | $38342.28      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/40 #711495                                                                           | CUSIP: 36297GNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     854273 | PA      | $830898.47     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2056 Z 6% 5/28                                                                                | CUSIP: 3133TDZM1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      24518 | PA      | $24957.65      | 0.00%             | 2028-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 2.55% 12/01/2033                                                                     | CUSIP: 00206RMM1<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   53719000 | PA      | $45847568.36   | 0.11%             | 2033-12-01      | Fixed         | 0.03%                 | 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        |    3466614 | PA      | $3479066.12    | 0.01%             | 2026-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 09/20/2051#MA7589                                                                    | CUSIP: 36179WNE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   48995106 | PA      | $42277867.28   | 0.10%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 4.65% 08/15/2032                                                                 | CUSIP: 969457BZ2<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   32200000 | PA      | $32247450.56   | 0.07%             | 2032-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.93% 05/01/2060                                                                        | CUSIP: 097023CX1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   12640000 | PA      | $12394229.74   | 0.03%             | 2060-05-01      | Fixed         | 0.06%                 | 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        |    1035044 | PA      | $903730.17     | 0.00%             | 2042-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GGAM MASTER TR INTERNATIONA LTD / LLC                                              | GGAM MASTER TR INTERNATIONA LTD / LLC 5.923% 09/30/2060 144A                                      | CUSIP: 36173XAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   64650000 | PA      | $65092994.73   | 0.15%             | 2060-09-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/27 #780499                                                                           | CUSIP: 36225ARU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         15 | PA      | $15.04         | 0.00%             | 2027-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.183% 11/25/2027                                                     | CUSIP: 06051GGC7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   22749000 | PA      | $22803616.03   | 0.05%             | 2027-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/27 #357002                                                                           | CUSIP: 31376JRX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $56.46         | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 11/20/2054#MB0024                                                                    | CUSIP: 3618N5A25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45440034 | PA      | $44346424.60   | 0.10%             | 2054-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/28 #486467                                                                           | CUSIP: 36210AMQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $41.25         | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737035                                                                           | CUSIP: 3620AQY80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5888 | PA      | $5897.16       | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/44#Q28370                                                                    | CUSIP: 3132M86F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     132162 | PA      | $128585.69     | 0.00%             | 2044-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #717997                                                                          | CUSIP: 3620A3UW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24506 | PA      | $25000.36      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/29 #527286                                                                          | CUSIP: 31384LXP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1374 | PA      | $1444.30       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-81 PC 5.5% 9/35                                                                          | CUSIP: 31394FCS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      69636 | PA      | $71442.98      | 0.00%             | 2035-09-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #735701                                                                           | CUSIP: 3620APKN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15828 | PA      | $16148.33      | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #705923                                                                           | CUSIP: 36297AG80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20281 | PA      | $19644.78      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD                                                                  | MAGNETITE CLO LTD A1 TSFR3M+115 04/15/2038 144A                                                   | CUSIP: 55956CAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20150000 | PA      | $20149516.40   | 0.05%             | 2038-04-15      | Variable      | 0.05%                 | 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        |      72946 | PA      | $67475.69      | 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        |    1113715 | PA      | $1096835.51    | 0.00%             | 2031-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #447984                                                                           | CUSIP: 36208DUH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        550 | PA      | $558.19        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                              | AMRIZE FINANCE US LLC 4.7% 04/07/2028                                                             | CUSIP: 43475RAQ9<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |   26383000 | PA      | $26687857.41   | 0.06%             | 2028-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 2/35 #A47133                                                                           | CUSIP: 3128K74S4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27073 | PA      | $27538.10      | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297R6J1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $607.09        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #722705                                                                          | CUSIP: 3620A83N1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2853 | PA      | $2910.35       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.743% 05/01/2026                                                       | CUSIP: 18551PAC3<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   60730000 | PA      | $60562878.93   | 0.14%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297RYJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3060 | PA      | $3122.36       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #563407                                                                           | CUSIP: 36213S3Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1949 | PA      | $2018.65       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | 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        |      56383 | PA      | $57520.23      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #698214                                                                           | CUSIP: 36296QVF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5824 | PA      | $5940.38       | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 03/18/28                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -814499000 | NC      | $-876522.80    | -0.00%            |  |  |  | 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        |     937923 | PA      | $848682.83     | 0.00%             | 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        |      35560 | PA      | $34706.29      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #394970                                                                           | CUSIP: 31378CW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         21 | PA      | $21.55         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8701                                                                  | CUSIP: 31417FU30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16156 | PA      | $14956.38      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | 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        |   40690000 | PA      | $40689979.66   | 0.09%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 12/31#ZK8422                                                                       | CUSIP: 3131XCLB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1877815 | PA      | $1818748.61    | 0.00%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 07/15/2040#745191                                                                  | CUSIP: 3620C02Y3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        651 | PA      | $651.46        | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/32 #659161                                                                           | CUSIP: 31390XJE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13545 | PA      | $14378.21      | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | 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        |    1052894 | PA      | $955030.47     | 0.00%             | 2041-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-39 FD SOFR30A+111.448 3/32                                                               | CUSIP: 31392DPW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       6882 | PA      | $6941.80       | 0.00%             | 2032-03-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #458387                                                                           | CUSIP: 36208RF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        582 | PA      | $590.47        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/38 #782360                                                                           | CUSIP: 36241KTR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        403 | PA      | $414.77        | 0.00%             | 2038-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #474137                                                                           | CUSIP: 36209KV62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $54.24         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.375% 10/15/2028                                                               | CUSIP: 125523AH3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   29050000 | PA      | $29314067.70   | 0.07%             | 2028-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ2387                                                                          | CUSIP: 3138ATUM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17695 | PA      | $17323.05      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 5.75% 08/15/2042                                                                       | CUSIP: 91529YAJ5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   27888000 | PA      | $27650928.57   | 0.06%             | 2042-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H21 FA TSFR1M+71.448 10/61                                                               | CUSIP: 38375BNE8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     161371 | PA      | $161660.28     | 0.00%             | 2061-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/42#G60517                                                                       | CUSIP: 31335ASE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1397708 | PA      | $1401000.02    | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/1/42 #Q13148                                                                      | CUSIP: 3132HPP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121705 | PA      | $112868.51     | 0.00%             | 2042-11-01      | 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        |       6226 | PA      | $6594.81       | 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        |         27 | PA      | $27.51         | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 10/01/2031#G15963                                                                  | CUSIP: 3128MEZ46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     283477 | PA      | $275221.80     | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | 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        |      58944 | PA      | $57480.70      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/35 #745092                                                                           | CUSIP: 31403CXV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3740 | PA      | $3928.28       | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #444009                                                                          | CUSIP: 36207WGS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        481 | PA      | $489.73        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | 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        |     112016 | PA      | $103615.51     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 4.025 04/23/30                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    9280000 | NC      | $283179.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #460654                                                                          | CUSIP: 36208TWP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        261 | PA      | $264.78        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | 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        |    3556213 | PA      | $3320135.48    | 0.01%             | 2052-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 04/01/2027#                                                                          | CUSIP: 3128FMF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        498 | PA      | $501.72        | 0.00%             | 2027-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/29 #507427                                                                           | CUSIP: 31383MVU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1669 | PA      | $1728.14       | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888544                                                                           | CUSIP: 31410GER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28396 | PA      | $29758.06      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BE3663                                                                  | CUSIP: 3140FPB99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2642743 | PA      | $2632282.62    | 0.01%             | 2047-06-01      | 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        |     496831 | PA      | $495581.13     | 0.00%             | 2036-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/40 #746823                                                                          | CUSIP: 3620C2VQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26803 | PA      | $26149.21      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                               | EXTENDED STAY AMERICA TRUST 2025-ESH C TSFR1M+185 10/15/2042 144A                                 | CUSIP: 30227TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4895000 | PA      | $4902643.54    | 0.01%             | 2042-10-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 03/20/2043#AD8884                                                                    | CUSIP: 36180M2R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     277648 | PA      | $262914.10     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.24% 6/33 #847147                                                                       | CUSIP: 3128HD5G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44713 | PA      | $45498.57      | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 2/36 #745575                                                                           | CUSIP: 31403DJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        563 | PA      | $597.29        | 0.00%             | 2036-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3% 01/01/2056 #TBA                                                                      | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   42875000 | PA      | $37894129.79   | 0.09%             | 2056-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q12211                                                                          | CUSIP: 3132HNN47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54534 | PA      | $52081.22      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 10/01/2042#AQ0861                                                                  | CUSIP: 3138MF5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3328 | PA      | $3102.25       | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #422973                                                                           | CUSIP: 36206V2E6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        386 | PA      | $393.65        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | 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        |      95656 | PA      | $95778.07      | 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        |      33416 | PA      | $32518.32      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #416823                                                                           | CUSIP: 31379EAY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        258 | PA      | $271.37        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #569213                                                                           | CUSIP: 36200QK29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        646 | PA      | $670.07        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | 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        |      63826 | PA      | $6299.37       | 0.00%             | 2036-12-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #717956                                                                           | CUSIP: 3620A3TM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9078 | PA      | $9260.23       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/01/2041#                                                                          | CUSIP: 3132GK4R4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18353 | PA      | $18122.65      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                           | LIBERTY MUTUAL GROUP INC 3.951% 10/15/2050 144A                                                   | CUSIP: 53079EBJ2<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    4626000 | PA      | $3420833.79    | 0.01%             | 2050-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6241                                                                    | CUSIP: 3133KM5A9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24739324 | PA      | $20326909.31   | 0.05%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #495202                                                                           | CUSIP: 36210LDF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        217 | PA      | $221.67        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | 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        |      28393 | PA      | $27603.98      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2045#AK8698                                                                  | CUSIP: 36183SUX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166782 | PA      | $151378.29     | 0.00%             | 2045-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/40 #A91937                                                                           | CUSIP: 312940EJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     249757 | PA      | $255033.71     | 0.00%             | 2040-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+63.448 52 10/20/2062                                          | CUSIP: 38375BXV9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       4287 | PA      | $4289.24       | 0.00%             | 2062-10-20      | Variable      | 0.05%                 | 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        |    2660655 | PA      | $2557577.56    | 0.01%             | 2052-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #436026                                                                          | CUSIP: 36207MLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        104 | PA      | $104.87        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/32 #545513                                                                           | CUSIP: 31385JAN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $356.02        | 0.00%             | 2032-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TDP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.82         | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #456183                                                                           | CUSIP: 36208NXL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $47.37         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/34 #626497                                                                           | CUSIP: 36291E7J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2005 | PA      | $2054.86       | 0.00%             | 2034-03-15      | Fixed         | 0.06%                 | 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        |    4428573 | PA      | $3974882.47    | 0.01%             | 2041-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #565049                                                                           | CUSIP: 36213UWJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        698 | PA      | $721.35        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 08/15/2055                                                      | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  180900000 | PA      | $177847312.50  | 0.41%             | 2055-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.8% 03/15/2030                                                     | CUSIP: 38141GXH2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   67720000 | PA      | $66650430.32   | 0.15%             | 2030-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| Phillips Edison Grocery Center Operating Partnership I LP                          | Phillips Edison Grocery Center Operating Partnership I LP 5.75% 07/15/2034                        | CUSIP: 71845JAB4<br>LEI: 549300WUPIVS6ZE0ZI51 | Long             | DBT              | CORP              | US        |    6358000 | PA      | $6647639.71    | 0.02%             | 2034-07-15      | Fixed         | 0.06%                 | 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        |      12217 | PA      | $12485.58      | 0.00%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.5% 04/01/2063   | CUSIP: 161175CL6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11421000 | PA      | $8999203.10    | 0.02%             | 2063-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.299%/VAR 07/24/2029                                                       | CUSIP: 46647PDU7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $15458256.75   | 0.04%             | 2029-07-24      | Variable      | 0.05%                 | 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        |       2181 | PA      | $2332.08       | 0.00%             | 2037-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #371593                                                                           | CUSIP: 31377AXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        245 | PA      | $248.53        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                        | CUSIP: 31298APJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $327.50        | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                              | SPGN 2022-TFLM B TSFR1M+200 02/15/2039 144A                                                       | CUSIP: 78473HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9333000 | PA      | $9329851.05    | 0.02%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/47#AS9616                                                                       | CUSIP: 3138WKVJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23744 | PA      | $23717.12      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC B TSFR1M+101.328 21 10/15/2036 144A                         | CUSIP: 05609PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5541000 | PA      | $5523733.14    | 0.01%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SYSCO CORP                                                                         | SYSCO CORP 3.25% 07/15/2027                                                                       | CUSIP: 871829BF3<br>LEI: 5RGWIFLMGH3YS7KWI652 | Long             | DBT              | CORP              | US        |   11011000 | PA      | $10902654.84   | 0.03%             | 2027-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING                                                                      | CEDAR FUNDING A TSFR3M+155 04/23/2037 144A                                                        | CUSIP: 15033BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   60600000 | PA      | $60726048.00   | 0.14%             | 2037-04-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 07/01/2041#AI6050                                                                   | CUSIP: 3138AKWL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5268 | PA      | $5498.89       | 0.00%             | 2041-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/26 #358466                                                                           | CUSIP: 31376LFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $115.08        | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#CB2662                                                                    | CUSIP: 3140QM5Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1195739 | PA      | $1065415.60    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | 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        |   19628503 | PA      | $16182840.70   | 0.04%             | 2050-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q11868                                                                  | CUSIP: 3132HNCD9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26760 | PA      | $26361.72      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 11/01/2035#QN4156                                                                  | CUSIP: 3133GATM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8591332 | PA      | $7788545.93    | 0.02%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 10/35 #003771                                                                       | CUSIP: 36202EFL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2399 | PA      | $2405.97       | 0.00%             | 2035-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #704931                                                                           | CUSIP: 36296YEC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11946 | PA      | $11964.95      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | 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        |   34290000 | NC      | $1037350.68    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8869                                                                          | CUSIP: 31419K2B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22526 | PA      | $22103.21      | 0.00%             | 2040-11-01      | 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        |    1704379 | PA      | $1337159.77    | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2424 FM SOFR30A+111.448 3/32                                                                  | CUSIP: 31339WJT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3881 | PA      | $3909.98       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #503025                                                                           | CUSIP: 36210UYW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $64.83         | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 06/25/2049                                                    | CUSIP: 3137H4HQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2751840 | PA      | $2448283.59    | 0.01%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/42#AB5501                                                                       | CUSIP: 31417CDF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3881 | PA      | $3711.62       | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2423 FA SOFR30A+101.448 3/32                                                                  | CUSIP: 31339WBA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       3991 | PA      | $4008.23       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE6775                                                                          | CUSIP: 31419HQ54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     327673 | PA      | $321498.21     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX TRUST 2025-ROIC B TSFR1M+149.33 03/15/2030 144A                                                | CUSIP: 05593VAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13136765 | PA      | $13087517.52   | 0.03%             | 2030-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #474770                                                                           | CUSIP: 36209LMT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        858 | PA      | $872.11        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #432896                                                                           | CUSIP: 36207H3D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        120 | PA      | $122.65        | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | 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        |   14616113 | PA      | $14772268.18   | 0.03%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #399249                                                                           | CUSIP: 36205SQA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         77 | PA      | $77.62         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.036% 11/15/2033 144A                                        | CUSIP: 19828TAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   14358000 | PA      | $15369629.07   | 0.04%             | 2033-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #741817                                                                          | CUSIP: 3620AWDW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     122961 | PA      | $116505.47     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #724220                                                                           | CUSIP: 3620AASH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     284461 | PA      | $285046.99     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REGIONS BANK OF ALABAMA                                                            | REGIONS BANK OF ALABAMA 6.45% 06/26/2037                                                          | CUSIP: 75913MAA7<br>LEI: EQTWLK1G7ODGC2MGLV11 | Long             | DBT              | CORP              | US        |   30566000 | PA      | $33049188.26   | 0.08%             | 2037-06-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2040#AD9214                                                                  | CUSIP: 31418XGY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45093 | PA      | $45984.44      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778862                                                                           | CUSIP: 36176XB73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     418954 | PA      | $397484.73     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FIVE CORNERS FND TR II                                                             | FIVE CORNERS FND TR II 2.85% 05/15/2030 144A                                                      | CUSIP: 33834DAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   48444000 | PA      | $45606290.48   | 0.11%             | 2030-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #250799                                                                           | CUSIP: 31371FRU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.57         | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.2% 09/26/2035                                                                       | CUSIP: 68389XDM4<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   22924000 | PA      | $21963042.88   | 0.05%             | 2035-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2039#AW9574                                                                    | CUSIP: 3138XZT84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57189 | PA      | $56369.06      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34164                                                                  | CUSIP: 3132QQTW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4144255 | PA      | $3923936.99    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#FM9585                                                                  | CUSIP: 3140XDUK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1231265 | PA      | $1108907.97    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2051#                                                                        | CUSIP: 31418D3K6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     275441 | PA      | $256553.03     | 0.00%             | 2051-08-01      | 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        |    1554925 | PA      | $1466556.15    | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.625% 02/15/2035                                                                       | CUSIP: 91282CMM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  473050000 | PA      | $491306797.09  | 1.13%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q31974                                                                  | CUSIP: 3132QNFQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     251343 | PA      | $238572.45     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                                                     | SYNCHRONY BANK 5.625% 08/23/2027                                                                  | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |   26739000 | PA      | $27269503.63   | 0.06%             | 2027-08-23      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 09/01/2041#AI9813                                                                   | CUSIP: 3138AP3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9343 | PA      | $9763.57       | 0.00%             | 2041-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    2450000 | NC      | $-28112.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 5.927% 08/15/2030 144A                                        | CUSIP: 19828TAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5327000 | PA      | $5635200.51    | 0.01%             | 2030-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/33 #623639                                                                          | CUSIP: 36291BZC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1352 | PA      | $1375.40       | 0.00%             | 2033-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.05% 07/01/2030                                                 | CUSIP: 11120VAJ2<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   22047000 | PA      | $21735496.83   | 0.05%             | 2030-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #710849                                                                           | CUSIP: 36297FWJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     225566 | PA      | $230075.73     | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0540                                                                          | CUSIP: 3138A1S69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4750 | PA      | $4644.77       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |      32535 | PA      | $32612.05      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.0% 08/01/2029#890625                                                                  | CUSIP: 31410LPJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41236 | PA      | $40680.88      | 0.00%             | 2029-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/36 #AH8017                                                                           | CUSIP: 3138A94B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31483 | PA      | $31110.78      | 0.00%             | 2036-03-01      | Fixed         | 0.04%                 | 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        |    2917431 | PA      | $2788379.62    | 0.01%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 3.5% 11/15/2030                                                                  | CUSIP: 969457BX7<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |   45537000 | PA      | $43683013.87   | 0.10%             | 2030-11-15      | 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        |    6379718 | PA      | $5684393.51    | 0.01%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 5.25% 08/19/2035                                                  | CUSIP: 62954HBH0<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   35555000 | PA      | $36080347.17   | 0.08%             | 2035-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #759125                                                                           | CUSIP: 36230UD63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7838 | PA      | $7615.63       | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.4% 10/25/2030                                                    | CUSIP: 3137HB2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5900000 | PA      | $5981097.86    | 0.01%             | 2030-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A23334                                                                           | CUSIP: 31297AV35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4025 | PA      | $4104.09       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 03/20/2052#                                                                          | CUSIP: 36179WY93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14999991 | PA      | $12945831.84   | 0.03%             | 2052-03-20      | Fixed         | 0.03%                 | 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        |     214602 | PA      | $198507.35     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #255844                                                                           | CUSIP: 31371MER4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78353 | PA      | $82283.22      | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 5.339% 01/15/2027 144A                                                      | CUSIP: 04685A3R0<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   56732000 | PA      | $57422503.89   | 0.13%             | 2027-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #432429                                                                           | CUSIP: 36207HLJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $30.29         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT K141 A2 2.25% 02/25/2032                                           | CUSIP: 3137H6ZM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6100000 | PA      | $5477146.69    | 0.01%             | 2032-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1812                                                                  | CUSIP: 3138NYAN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95447 | PA      | $88875.47      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |    1769825 | PA      | $1674459.49    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 5/42 #766751                                                                           | CUSIP: 36176HTG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     317075 | PA      | $300897.47     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 05/01/2046#V82275                                                                    | CUSIP: 3132L7Q44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4285963 | PA      | $3913221.75    | 0.01%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #416634                                                                           | CUSIP: 31379DY78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.17         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ALTDE 2025-1 TR                                                                    | ALTDE 2025-1 TR 5.9% 08/15/2050 144A                                                              | CUSIP: 00166NAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   23266651 | PA      | $23794191.83   | 0.05%             | 2050-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 3/31 #003053                                                                         | CUSIP: 36202DMA6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2084 | PA      | $2160.65       | 0.00%             | 2031-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #574467                                                                           | CUSIP: 36200WFG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        150 | PA      | $155.84        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #567102                                                                           | CUSIP: 36213XAB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        483 | PA      | $500.01        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2050#CA6998                                                                    | CUSIP: 3140QEX49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99473 | PA      | $89066.58      | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.25% 10/22/2026                                                      | CUSIP: 06051GFL8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   20189000 | PA      | $20236440.11   | 0.05%             | 2026-10-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2045#BA3904                                                                  | CUSIP: 3140E8KS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58840 | PA      | $55872.36      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/40 #AD7419                                                                           | CUSIP: 31418VG55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9227 | PA      | $9241.17       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | 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        |       4938 | PA      | $5057.08       | 0.00%             | 2029-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #710924                                                                          | CUSIP: 36297FYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82119 | PA      | $83772.19      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 4 LTD / OHA CR FDG 4 LLC                                                | OHA CR FDG 4 LTD / OHA CR FDG 4 LLC AR2 TSFR3M+129 01/22/2038 144A                                | CUSIP: 67098DBC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   33564000 | PA      | $33622199.98   | 0.08%             | 2038-01-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9417                                                                  | CUSIP: 3138WKPB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152123 | PA      | $151235.67     | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #446423                                                                           | CUSIP: 36207Y4G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $27.39         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | 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        |     183844 | PA      | $178950.26     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AA4740                                                                          | CUSIP: 31416NHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34068 | PA      | $33417.28      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2043#Q22499                                                                  | CUSIP: 3132JPX49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     266853 | PA      | $259739.32     | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 02/01/2041#MA4269                                                                  | CUSIP: 31418DW73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3706861 | PA      | $3344664.32    | 0.01%             | 2041-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.3% 11/20/2026                                                                     | CUSIP: 172967JC6<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   52072000 | PA      | $52199880.50   | 0.12%             | 2026-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AB2343                                                                           | CUSIP: 31416XS92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33956 | PA      | $33127.22      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468054                                                                           | CUSIP: 36209C5P7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9878 | PA      | $10010.60      | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.544% 11/15/2053 144A                                        | CUSIP: 19828TAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7728000 | PA      | $8228885.45    | 0.02%             | 2053-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 2% 07/25/2044                                                          | CUSIP: 3136BBWG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     941666 | PA      | $883079.61     | 0.00%             | 2044-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/29 #512465                                                                           | CUSIP: 31383TJJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2898 | PA      | $3046.30       | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 08/01/2038#K94337                                                                    | CUSIP: 3132LQV61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     306627 | PA      | $302842.16     | 0.00%             | 2038-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR7187                                                                  | CUSIP: 3138W46Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14010 | PA      | $12991.79      | 0.00%             | 2043-03-01      | 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 5210 TA 3.5% 11/25/2046                                            | CUSIP: 3137H6WW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2953050 | PA      | $2832671.66    | 0.01%             | 2046-11-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #624486                                                                           | CUSIP: 31389FXP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1634 | PA      | $1717.65       | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 3.625% 04/15/2032                                                        | CUSIP: 02666TAE7<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |   14296000 | PA      | $13502979.01   | 0.03%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 08/15/2042#AB2238                                                                  | CUSIP: 36178MPX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13211 | PA      | $12461.52      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2043#AL3657                                                                  | CUSIP: 3138ELB36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15621 | PA      | $14924.30      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #549588                                                                           | CUSIP: 36213BRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        635 | PA      | $657.44        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#RA2457                                                                    | CUSIP: 3133KHWS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14083053 | PA      | $12680172.65   | 0.03%             | 2050-04-01      | 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        |   14419075 | PA      | $13000745.96   | 0.03%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                               | SABRA HEALTH CARE LP 3.9% 10/15/2029                                                              | CUSIP: 78572XAG6<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |   10094000 | PA      | $9889858.04    | 0.02%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2041#AL7018                                                                  | CUSIP: 3138EPYQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     506911 | PA      | $509197.65     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                  | HEALTHPEAK OP LLC 3.25% 07/15/2026                                                                | CUSIP: 40414LAQ2<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    2733000 | PA      | $2719706.47    | 0.01%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 8/34 #629115                                                                           | CUSIP: 36291H3Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        471 | PA      | $491.25        | 0.00%             | 2034-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #436017                                                                          | CUSIP: 36207MK62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        134 | PA      | $135.15        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/30 #515294                                                                           | CUSIP: 36211KNK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1763 | PA      | $1803.72       | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TOLL BROTHERS FINANCE CORP                                                         | TOLL BROS FIN CORP 4.875% 03/15/2027                                                              | CUSIP: 88947EAS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   16319000 | PA      | $16445523.33   | 0.04%             | 2027-03-15      | Fixed         | 0.05%                 | 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        |    1134111 | PA      | $1089022.63    | 0.00%             | 2045-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 11/41 #005232                                                                       | CUSIP: 36202FY59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1124485 | PA      | $1068037.13    | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #698480                                                                           | CUSIP: 36296Q6R5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9507 | PA      | $9523.77       | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NISSAN MASTER OWNER TR RECEIVABLE                                                  | NISSAN MASTER OWNER TR RECEIVABLE 5.05% 02/15/2029 144A                                           | CUSIP: 65479VAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18500000 | PA      | $18721448.70   | 0.04%             | 2029-02-15      | Fixed         | 0.05%                 | 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        |    1940754 | PA      | $1731041.16    | 0.00%             | 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        |    9766196 | PA      | $9871753.36    | 0.02%             | 2029-11-20      | Fixed         | 0.05%                 | 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        |     772457 | PA      | $682713.28     | 0.00%             | 2041-04-01      | Fixed         | 0.02%                 | 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        |   45111439 | PA      | $1669303.70    | 0.00%             | 2054-06-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2046#Q43328                                                                  | CUSIP: 3132WGVW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14168 | PA      | $13434.11      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2042#AO7372                                                                  | CUSIP: 3138LYFN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60322 | PA      | $57587.92      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/42 #AK1110                                                                           | CUSIP: 3138E5GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241964 | PA      | $235894.08     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/28 #484261                                                                           | CUSIP: 36209W5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        896 | PA      | $920.01        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34979                                                                  | CUSIP: 3132QRQ94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73135 | PA      | $68314.19      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 12/40#V82128                                                                       | CUSIP: 3132L7LH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     407125 | PA      | $386532.30     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 1.875% 11/15/2051                                                     | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  120053000 | PA      | $66357420.52   | 0.15%             | 2051-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 02/01/2034#J40197                                                                    | CUSIP: 31307YGE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18040 | PA      | $17537.92      | 0.00%             | 2034-02-01      | 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        |    5776125 | PA      | $5928906.72    | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2046#BC1130                                                                    | CUSIP: 3140EVHG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1994193 | PA      | $1935008.20    | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.028% 07/30/2054 144A                                                      | CUSIP: 864300AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   49746510 | PA      | $50434250.53   | 0.12%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 6.645%/VAR 04/25/2035                                                  | CUSIP: 174610BG9<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   12127000 | PA      | $13334500.91   | 0.03%             | 2035-04-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                                           | DAIMLER TRUCKS FINANCE NORTH AMERICA LLC 2% 12/14/2026 144A                                       | CUSIP: 233853AF7<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $29465379.60   | 0.07%             | 2026-12-14      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5% 09/15/2032                                                                     | CUSIP: 126650EJ5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |   12070000 | PA      | $12319494.62   | 0.03%             | 2032-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 5.15% 03/02/2028                                                                        | CUSIP: 031162DP2<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   20069000 | PA      | $20538416.72   | 0.05%             | 2028-03-02      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 8/40 #004771                                                                        | CUSIP: 36202FJQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9763 | PA      | $9769.71       | 0.00%             | 2040-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PINE STREET TRUST II                                                               | PINE STR TR II 5.568% 02/15/2049 144A                                                             | CUSIP: 72284LAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   29500000 | PA      | $27568139.99   | 0.06%             | 2049-02-15      | Fixed         | 0.06%                 | 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        |   14726633 | PA      | $13241234.56   | 0.03%             | 2049-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 05/15/2054                                                     | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  192000000 | PA      | $184912500.48  | 0.43%             | 2054-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AUTOZONE INC                                                                       | AUTOZONE INC 4% 04/15/2030                                                                        | CUSIP: 053332AZ5<br>LEI: GA3JGKJ41LJKXDN23E90 | Long             | DBT              | CORP              | US        |   22128000 | PA      | $21881197.12   | 0.05%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                        | CUSIP: 31283G6U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.49         | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 03/01/2040#FM2646                                                                  | CUSIP: 3140X55G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1153488 | PA      | $1046513.71    | 0.00%             | 2040-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 2/39 #782562                                                                           | CUSIP: 36241KZ35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7176 | PA      | $7319.45       | 0.00%             | 2039-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GEQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41676 | PA      | $41860.71      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/40 #734104                                                                          | CUSIP: 3620AMRZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5815 | PA      | $5519.07       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC D TSFR1M+201.448 04/15/2034 144A                            | CUSIP: 05608BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10925000 | PA      | $10779034.35   | 0.02%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/46#BC1443                                                                      | CUSIP: 3140EVS99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3131732 | PA      | $3047594.42    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.344% 7/35 #834917                                                                      | CUSIP: 31407MSE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2068 | PA      | $2106.54       | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | 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        |    1863990 | PA      | $1898148.34    | 0.00%             | 2054-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2046#BC0210                                                                    | CUSIP: 3140EUGU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12988 | PA      | $12606.84      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 03/01/2036#FM6804                                                                  | CUSIP: 3140XAR20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22849 | PA      | $20714.22      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AJ0165                                                                           | CUSIP: 3138ARFF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65256 | PA      | $63840.23      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #453200                                                                           | CUSIP: 36208KNR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        195 | PA      | $197.50        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #464768                                                                           | CUSIP: 36208YJM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $121.82        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #516134                                                                           | CUSIP: 31383XLP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         60 | PA      | $62.90         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 07/31/2031                                                                       | CUSIP: 91282CLD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   75000000 | PA      | $76224607.50   | 0.18%             | 2031-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2016-H21 DF TSFR1M+76.448 05/20/2061                                 | CUSIP: 38375BWC2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |        791 | PA      | $791.81        | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8046                                                                  | CUSIP: 3138WH5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31088 | PA      | $30110.38      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2028                                                              | CUSIP: 15089QAW4<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   11633000 | PA      | $12169808.62   | 0.03%             | 2028-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2033#                                                                          | CUSIP: 31283HWZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10178 | PA      | $10586.65      | 0.00%             | 2033-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 6.1% 07/15/2027                                                                | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    9944000 | PA      | $10215744.06   | 0.02%             | 2027-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #780995                                                                          | CUSIP: 36225BC89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $14.34         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 4.95% 09/01/2032                                                                          | CUSIP: 55336VBU3<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   30925000 | PA      | $31133920.95   | 0.07%             | 2032-09-01      | Fixed         | 0.05%                 | 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        |    2159944 | PA      | $2016557.86    | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#796303                                                                  | CUSIP: 36177RAD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2332 | PA      | $2199.21       | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 08/01/2045#AZ4663                                                                  | CUSIP: 3138YWFD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     200787 | PA      | $194204.04     | 0.00%             | 2045-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #729562                                                                           | CUSIP: 3620AGQP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25134 | PA      | $25642.86      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #719217                                                                           | CUSIP: 3620A5AS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42557 | PA      | $43415.10      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2041#                                                                        | CUSIP: 312945X52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17527 | PA      | $17575.66      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2032#                                                                          | CUSIP: 31288AFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7699 | PA      | $7980.87       | 0.00%             | 2032-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                             | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.4% 11/15/2028                                            | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4752000 | PA      | $4795245.58    | 0.01%             | 2028-11-15      | 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 3.244% 08/25/2027                                                  | CUSIP: 3137FBBX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6000000 | PA      | $5947808.40    | 0.01%             | 2027-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #395367                                                                           | CUSIP: 31378DFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $33.01         | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AK9948                                                                           | CUSIP: 3138EFBS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58359 | PA      | $56858.56      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2043#AV1877                                                                  | CUSIP: 3138XDCP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64819 | PA      | $62984.97      | 0.00%             | 2043-12-01      | 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        |      62473 | PA      | $60764.33      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 11/41 #AB3867                                                                          | CUSIP: 31417AJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3710 | PA      | $3555.10       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #593188                                                                           | CUSIP: 36201T6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        520 | PA      | $539.63        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #711189                                                                           | CUSIP: 36297GC24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50931 | PA      | $51016.36      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/41 #748080                                                                           | CUSIP: 3620C4CR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6055 | PA      | $5920.73       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #476127                                                                          | CUSIP: 36209M4L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        557 | PA      | $568.10        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FUNDING LLC                                                           | JERSEY MIKES FDG LLC 5.61% 08/16/2055 144A                                                        | CUSIP: 476681AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17556000 | PA      | $17893833.62   | 0.04%             | 2055-08-16      | Fixed         | 0.06%                 | 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        |   76570000 | PA      | $75032618.35   | 0.17%             | 2044-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 02/01/2055#QX5758                                                                  | CUSIP: 31426BMG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     539044 | PA      | $546732.78     | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | 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        |   12762242 | PA      | $10925540.94   | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.62% 3/36 #866091                                                                       | CUSIP: 31409BF85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21381 | PA      | $21933.12      | 0.00%             | 2036-03-01      | Variable      | 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        |     549958 | PA      | $551222.70     | 0.00%             | 2041-03-01      | 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+105 04/25/2055                                             | CUSIP: 3137HKUC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    6538820 | PA      | $6536717.43    | 0.02%             | 2055-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/40 #724698                                                                           | CUSIP: 3620ABDB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38335 | PA      | $37393.12      | 0.00%             | 2040-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 01/01/2056 #TBA                                                                      | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -369650000 | PA      | $-298636760.29 | -0.69%            | 2056-01-01      | Fixed         | 0.02%                 | 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        |    1135259 | PA      | $1106861.00    | 0.00%             | 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        |     153267 | PA      | $18917.36      | 0.00%             | 2033-12-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#                                                                        | CUSIP: 312941SD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44656 | PA      | $44742.42      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2048#ZM6138                                                                  | CUSIP: 3131Y0ZB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     317045 | PA      | $314997.40     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.80% 7/34 #849923                                                                       | CUSIP: 31408FG86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7032 | PA      | $7190.14       | 0.00%             | 2034-07-01      | Variable      | 0.06%                 | 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        |    3208172 | PA      | $3252473.39    | 0.01%             | 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        |     116941 | PA      | $110612.57     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2% 01/01/2056 #TBA                                                                      | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  411850000 | PA      | $332729743.61  | 0.77%             | 2056-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2023-C21                                                      | BBCMS MORTGAGE TRUST 2023-C21 A3 CSTR 09/15/2056                                                  | CUSIP: 05553WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17797000 | PA      | $19006722.60   | 0.04%             | 2056-09-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2050#                                                                        | CUSIP: 3133KKHL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     334952 | PA      | $312507.46     | 0.00%             | 2050-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #560191                                                                           | CUSIP: 36213PKC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        513 | PA      | $530.79        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745237                                                                           | CUSIP: 3620C04W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3681 | PA      | $3685.69       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #511373                                                                           | CUSIP: 31383SCJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        269 | PA      | $271.01        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 03/01/2045#AY9025                                                                       | CUSIP: 3138YPA36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150585 | PA      | $145942.37     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3121 KO 0 3/36                                                                                | CUSIP: 31396JG74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      23330 | PA      | $20791.15      | 0.00%             | 2036-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK1385                                                                           | CUSIP: 3138E5RF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53707 | PA      | $52538.29      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2015-H13 HA 2.5% 08/64                                                                        | CUSIP: 38376RCQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       6541 | PA      | $6189.74       | 0.00%             | 2064-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413578                                                                           | CUSIP: 31379AM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        320 | PA      | $326.67        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HORIZON 2018                                                                       | HORIZON 2018-1 A 4.458% 12/15/2038 144A                                                           | CUSIP: 440405AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7909000 | PA      | $7832506.08    | 0.02%             | 2038-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.419%/VAR 12/20/2028                                                 | CUSIP: 06051GHD4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   23187000 | PA      | $22895354.84   | 0.05%             | 2028-12-20      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/26 #190273                                                                           | CUSIP: 31368HJS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $46.41         | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.75% 08/15/2032                                                                        | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  813762000 | PA      | $758546978.83  | 1.75%             | 2032-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2038#AB8124                                                                  | CUSIP: 31417FA24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16922 | PA      | $16998.69      | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/26 #416180                                                                           | CUSIP: 36206NJZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $2.78          | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2055#RJ4672                                                                  | CUSIP: 3142GVFN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4506503 | PA      | $4419659.17    | 0.01%             | 2055-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 12/01/2029#J30136                                                                  | CUSIP: 31307LEH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11034 | PA      | $10980.22      | 0.00%             | 2029-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/40 #737674                                                                          | CUSIP: 3620ARQ38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      47755 | PA      | $48717.68      | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 09/01/2054#DC3245                                                                  | CUSIP: 3140AQTB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     267025 | PA      | $271381.55     | 0.00%             | 2054-09-01      | Fixed         | 0.06%                 | 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        |     306917 | PA      | $297781.99     | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 10/01/2035#836427                                                                  | CUSIP: 31407PHC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7999 | PA      | $8149.67       | 0.00%             | 2035-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 5.67% 06/08/2032                                                            | CUSIP: 46817MAS6<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |   27163000 | PA      | $28217865.05   | 0.07%             | 2032-06-08      | Fixed         | 0.06%                 | 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        |     131488 | PA      | $127683.09     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 10/39 #680489                                                                          | CUSIP: 36295T7A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5252 | PA      | $5508.32       | 0.00%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97976                                                                           | CUSIP: 3129462H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7954 | PA      | $7962.96       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #704665                                                                           | CUSIP: 36296XZ64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      82148 | PA      | $83795.94      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | 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        |   25262573 | PA      | $19582760.74   | 0.05%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2026#                                                                        | CUSIP: 31292GQ41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $29.26         | 0.00%             | 2026-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 09/01/2043#AU0080                                                                  | CUSIP: 3138WZCS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13981 | PA      | $13591.23      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #772031                                                                           | CUSIP: 36176PPQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6706 | PA      | $6507.27       | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2039#AL7550                                                                  | CUSIP: 3138EQL83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     599295 | PA      | $609652.15     | 0.00%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/28 #475895                                                                           | CUSIP: 36209MUU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1484 | PA      | $1520.53       | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #579720                                                                           | CUSIP: 36201DAV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        330 | PA      | $341.74        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-2 LTD                                                         | EATON VANCE CLO 2020-2 LTD AR2 TSFR3M+138 10/15/2037 144A                                         | CUSIP: 27829PAU0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32919000 | PA      | $32965514.55   | 0.08%             | 2037-10-15      | Variable      | 0.05%                 | 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        |      62369 | PA      | $56389.82      | 0.00%             | 2049-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.376%/VAR 04/27/2028                                                 | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   40000000 | PA      | $40159577.20   | 0.09%             | 2028-04-27      | Variable      | 0.04%                 | 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        |    2365434 | PA      | $2351482.08    | 0.01%             | 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        |    1877913 | PA      | $1837834.27    | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BH3647                                                                  | CUSIP: 3140GSBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24606 | PA      | $24577.86      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #648070                                                                           | CUSIP: 31390J6F3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1048 | PA      | $1113.18       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2040#AH0530                                                                    | CUSIP: 3138A1SU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        635 | PA      | $622.45        | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.692%/VAR 09/13/2034                                                                | CUSIP: 06738ECL7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   45000000 | PA      | $49814787.15   | 0.11%             | 2034-09-13      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H010 FA TSFR1M+44.448 5/60                                                               | CUSIP: 38375BBV3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     153592 | PA      | $153335.27     | 0.00%             | 2060-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.99% 07/15/2060 144A                                                     | CUSIP: 12530MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24539080 | PA      | $20574234.77   | 0.05%             | 2060-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2049#BN6036                                                                    | CUSIP: 3140JNV64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111918 | PA      | $107651.91     | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 5/42 #AO2138                                                                           | CUSIP: 3138LSLU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3597 | PA      | $3443.11       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 2.375% 07/15/2031                                                        | CUSIP: 02666TAC1<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    3169000 | PA      | $2832779.46    | 0.01%             | 2031-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2041#                                                                          | CUSIP: 3132GEHF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16704 | PA      | $16358.97      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 04/20/2048#BG3507                                                                      | CUSIP: 3617GM3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     856401 | PA      | $820090.68     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/26 #313264                                                                           | CUSIP: 31374F5Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $26.86         | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2041#                                                                        | CUSIP: 3132GD2M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30071 | PA      | $30136.80      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #552576                                                                           | CUSIP: 36213E2H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        837 | PA      | $860.75        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 3/41 #783267                                                                           | CUSIP: 36241LTY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     427887 | PA      | $415973.59     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.805% 05/01/2050                                                                       | CUSIP: 097023CW3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   34788000 | PA      | $34217281.64   | 0.08%             | 2050-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/31 #781247                                                                           | CUSIP: 36225BL48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        276 | PA      | $287.02        | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#AS8226                                                                  | CUSIP: 3138WJD88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2007288 | PA      | $1944177.81    | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/26 #323242                                                                          | CUSIP: 31374TBK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.42          | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/40 #G05937                                                                           | CUSIP: 3128M74W3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3262 | PA      | $3270.69       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2044#AS2238                                                                  | CUSIP: 3138WBPY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98317 | PA      | $90085.62      | 0.00%             | 2044-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.419% 04/15/2033                                                                    | CUSIP: 11135FCU3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    5516000 | PA      | $5105966.87    | 0.01%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2051#FM6540                                                                  | CUSIP: 3140XAHS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24201945 | PA      | $21036529.34   | 0.05%             | 2051-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2045#AZ5987                                                                  | CUSIP: 3138YXUM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523252 | PA      | $480268.11     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BERKSHIRE HATHAWAY ENERGY COMPANY                                                  | BERKSHIRE HATHAWAY ENERGY COMPANY 3.7% 07/15/2030                                                 | CUSIP: 084659AV3<br>LEI: 549300JD0S5IZJE9LY15 | Long             | DBT              | CORP              | US        |    4149000 | PA      | $4079244.40    | 0.01%             | 2030-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 09/01/2053#QH0277                                                                  | CUSIP: 3133CCJW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     519717 | PA      | $548791.57     | 0.00%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2035#310165                                                                  | CUSIP: 31374CQS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285156 | PA      | $290326.87     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 05/38#MA3360                                                                       | CUSIP: 31418CWW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108533 | PA      | $105940.39     | 0.00%             | 2038-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745138                                                                           | CUSIP: 3620C0ZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74466 | PA      | $74579.95      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                    | AASET 2019-2 B TR 4.458% 10/16/2039 144A                                                          | CUSIP: 00038RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     906251 | PA      | $894413.73     | 0.00%             | 2039-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2052#FS6606                                                                    | CUSIP: 3140XNKU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64479 | PA      | $52204.77      | 0.00%             | 2052-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L         | BLACKBIRD CAP II AIRCRAFT LEASE LTD / BLACKBIRD CAP II AIRCRAFT LEASE US L 2.443% 07/15/2046 144A | CUSIP: 09229CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   24368595 | PA      | $23142530.88   | 0.05%             | 2046-07-15      | Fixed         | 0.02%                 | 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        |     992673 | PA      | $962065.00     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY873248 04/17/65 B                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     580000 | NC      | $96855.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTERN-SOUTHERN GLOBAL FUNDING                                                    | WESTERN-SOUTHERN GLOBAL FUNDING 4.9% 05/01/2030 144A                                              | CUSIP: 95954A2A0<br>LEI: 635400PFYEGVSGK4VB37 | Long             | DBT              | CORP              | US        |    6523000 | PA      | $6675613.54    | 0.02%             | 2030-05-01      | Fixed         | 0.05%                 | 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        |      57459 | PA      | $53061.89      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 03/15/2043#AD2295                                                                  | CUSIP: 36180DRQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7673 | PA      | $7235.53       | 0.00%             | 2043-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552552                                                                          | CUSIP: 36213EZR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78829 | PA      | $76443.97      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR4132                                                                  | CUSIP: 3138W1SW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17223 | PA      | $15841.91      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/36 #A51069                                                                           | CUSIP: 3128KDFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2336 | PA      | $2384.44       | 0.00%             | 2036-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 03/01/2055#CC0116                                                                    | CUSIP: 3140Y6DW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14773537 | PA      | $15424714.52   | 0.04%             | 2055-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2040#V81886                                                                  | CUSIP: 3132L7CX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     547395 | PA      | $526408.79     | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | 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        |    7041767 | PA      | $7125513.24    | 0.02%             | 2036-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 06/01/2041#Q01604                                                                  | CUSIP: 3132GEX96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     108578 | PA      | $110868.16     | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CSX CORP                                                                           | CSX CORP 3.8% 04/15/2050                                                                          | CUSIP: 126408HS5<br>LEI: 549300JVQR4N1MMP3Q88 | Long             | DBT              | CORP              | US        |    5875000 | PA      | $4466333.27    | 0.01%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #563578                                                                           | CUSIP: 36213TCP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        792 | PA      | $821.02        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 04/01/2032#                                                                          | CUSIP: 31283HRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $120.25        | 0.00%             | 2032-04-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BNK34                                                                    | BANK 2021-BNK34 A4 2.156% 06/15/2063                                                              | CUSIP: 06541JAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4492707.50    | 0.01%             | 2063-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2040#                                                                          | CUSIP: 312941NQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1084 | PA      | $1107.17       | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS LIMITED                                                   | SBLOFI SWAP CY562346 11/18/64 S                                                                   | CUSIP: N/A<br>LEI: XKZZ2JZF41MRHTR1V493       | N/A              | DCR              | CORP              | GB        |    1449630 | NC      | $712.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2412 FK SOFR30A+91.448 1/32                                                                   | CUSIP: 31339DTC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2954 | PA      | $2963.49       | 0.00%             | 2032-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2042#AK2717                                                                    | CUSIP: 3138E7AT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10622 | PA      | $10360.32      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/45#AZ3341                                                                         | CUSIP: 3138YUWB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     320673 | PA      | $311013.93     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 4.375% 04/15/2040                                                                | CUSIP: 87264AAX3<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    5513000 | PA      | $4945440.67    | 0.01%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.2% 03/15/2040                                                         | CUSIP: 674599DJ1<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |    7169000 | PA      | $7279796.90    | 0.02%             | 2040-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #477527                                                                          | CUSIP: 36209PPL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        278 | PA      | $283.92        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | 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        |     222452 | PA      | $20272.81      | 0.00%             | 2036-11-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 3/41 #004977                                                                        | CUSIP: 36202FQ66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198380 | PA      | $193381.74     | 0.00%             | 2041-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2040#                                                                          | CUSIP: 312944FW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5434 | PA      | $5335.15       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2023-B                                              | WORLD OMNI AUTO RECEIVABLES TR 2023-B 4.66% 05/15/2028                                            | CUSIP: 98164QAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8143322 | PA      | $8161619.76    | 0.02%             | 2028-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #844435                                                                          | CUSIP: 31407YEG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        682 | PA      | $718.69        | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NAVIGATOR AIRCRAFT ABS LTD                                                         | NAVIGATOR AIRCRAFT ABS LTD 1 A 0% 10/15/2050 144A                                                 | CUSIP: 63943GAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   42319015 | PA      | $41934847.54   | 0.10%             | 2050-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02763                                                                           | CUSIP: 3132GGB87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35737 | PA      | $35787.41      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/39 #A88585                                                                           | CUSIP: 312935RE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     130279 | PA      | $130911.04     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 11/46#MA4126                                                                           | CUSIP: 36179SSP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5154305 | PA      | $4701159.36    | 0.01%             | 2046-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 01/01/2054#SD4622                                                                  | CUSIP: 3132DSD33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5515342 | PA      | $5814582.28    | 0.01%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.717%/VAR 09/14/2033                                                       | CUSIP: 46647PDK9<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   75200000 | PA      | $79500993.31   | 0.18%             | 2033-09-14      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2018-GS10                                                           | GS MTG SECS TR 2018-GS10 AAB 4.106% 07/10/2051                                                    | CUSIP: 36250SAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     703527 | PA      | $702147.95     | 0.00%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #722964                                                                           | CUSIP: 3620A9FD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5466 | PA      | $5575.75       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.3% 11/01/2028                                                      | CUSIP: 866677AF4<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |    7110000 | PA      | $6765612.08    | 0.02%             | 2028-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #441655                                                                           | CUSIP: 36207TTL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        293 | PA      | $294.95        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.283 6/1/41                                                                             | CUSIP: 3128UGXF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2019 | PA      | $2107.97       | 0.00%             | 2041-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.125% 09/01/2026                                                            | CUSIP: 875484AJ6<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   16602000 | PA      | $16478698.77   | 0.04%             | 2026-09-01      | Fixed         | 0.03%                 | 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        |    5473853 | PA      | $5513400.00    | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DRYDEN 108 CLO LTD / DRYDEN 108 CLO LLC                                            | DRYDEN 108 CLO LTD / DRYDEN 108 CLO LLC A1R TSFR3M+136 07/18/2037 144A                            | CUSIP: 26253MAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   51421000 | PA      | $51500342.60   | 0.12%             | 2037-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#FS0208                                                                  | CUSIP: 3140XFGS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     687384 | PA      | $592538.88     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #773363                                                                           | CUSIP: 36176Q5Y6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18837 | PA      | $17846.38      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2039#AW1156                                                                    | CUSIP: 3138XQJA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108663 | PA      | $106704.02     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ5748                                                                          | CUSIP: 3138AXL66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38097 | PA      | $37268.35      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 2.045% 11/20/2051 144A                                                          | CUSIP: 233046AN1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   11553600 | PA      | $11333226.63   | 0.03%             | 2051-11-20      | Fixed         | 0.02%                 | 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        |    7575724 | PA      | $6745312.50    | 0.02%             | 2052-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                              | UBER TECHNOLOGIES INC 4.8% 09/15/2035                                                             | CUSIP: 90353TAU4<br>LEI: 549300B2FTG34FILDR98 | Long             | DBT              | CORP              | US        |   15783000 | PA      | $15699650.77   | 0.04%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/51#MA4468                                                                       | CUSIP: 31418D6E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     252551 | PA      | $235154.21     | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404971                                                                          | CUSIP: 31378P2C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         44 | PA      | $44.53         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 8/41 #005139                                                                        | CUSIP: 36202FV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      22009 | PA      | $21430.94      | 0.00%             | 2041-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5% 01/01/2056 #TBA                                                                      | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   22000000 | PA      | $21945000.00   | 0.05%             | 2056-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2041#                                                                        | CUSIP: 3132GDGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126815 | PA      | $127046.41     | 0.00%             | 2041-04-01      | 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        |   19889000 | PA      | $19875224.88   | 0.05%             | 2031-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2045#Q33769                                                                  | CUSIP: 3132QQFK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     443803 | PA      | $445068.35     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | 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        |   25127025 | PA      | $26532718.60   | 0.06%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 04/20/2048#BG7744                                                                      | CUSIP: 3617GSS91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     972470 | PA      | $931238.69     | 0.00%             | 2048-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#CB5128                                                                    | CUSIP: 3140QQVW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5313996 | PA      | $5387376.10    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2029#                                                                          | CUSIP: 31293HR88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        306 | PA      | $314.25        | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG L LTD / MADISON PK FDG L LLC                                        | MADISON PK FDG L LTD / MADISON PK FDG L LLC A TSFR3M+140.161 04/19/2034 144A                      | CUSIP: 55821FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   30470000 | PA      | $30485661.58   | 0.07%             | 2034-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#BH0886                                                                  | CUSIP: 3140GN6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78884 | PA      | $78497.93      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | 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        |     137240 | PA      | $143048.73     | 0.00%             | 2039-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2049#MA3593                                                                  | CUSIP: 31418C7F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87137 | PA      | $86438.24      | 0.00%             | 2049-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ6625                                                                  | CUSIP: 3138MNLF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15441 | PA      | $14219.56      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-6                                                  | VERUS SECURITIZATION TRUST 2025-6 A1 STEP 07/25/2070 144A                                         | CUSIP: 92540YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6513473 | PA      | $6571863.38    | 0.02%             | 2070-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 8/42 #AO9892                                                                           | CUSIP: 3138M17E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214145 | PA      | $205116.69     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #738885                                                                          | CUSIP: 3620AS2S7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     212867 | PA      | $206704.25     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 01/01/2056 #TBA                                                                      | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  451700000 | PA      | $463715942.72  | 1.07%             | 2056-01-01      | Fixed         | 0.06%                 | 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        |      21299 | PA      | $21640.55      | 0.00%             | 2029-04-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.889% 3/33 #847126                                                                      | CUSIP: 3128HD4K2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $326.65        | 0.00%             | 2033-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AE0545                                                                  | CUSIP: 36180STA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5143 | PA      | $4724.15       | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2033#ZS8703                                                                  | CUSIP: 3132A9U47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     633538 | PA      | $609290.44     | 0.00%             | 2033-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #Q03090                                                                           | CUSIP: 3132GJC31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     653659 | PA      | $655123.49     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 06/01/2043#Q19747                                                                  | CUSIP: 3132JBHZ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64719 | PA      | $62995.11      | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 3.858% 12/05/2049 144A                                     | CUSIP: 72703PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   21625640 | PA      | $20717947.01   | 0.05%             | 2049-12-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2550                                                                  | CUSIP: 3140QMZQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1276874 | PA      | $1100691.90    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 7/35 #832414                                                                           | CUSIP: 31407JYK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17161 | PA      | $17487.07      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21845                                                                  | CUSIP: 3132JPBN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     149833 | PA      | $145862.84     | 0.00%             | 2043-09-01      | 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        |       3258 | PA      | $3469.36       | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/29 #323688                                                                           | CUSIP: 31374TRH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        346 | PA      | $351.42        | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 3.705%/VAR 04/24/2028                                                 | CUSIP: 06051GGL7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   58915000 | PA      | $58647660.82   | 0.14%             | 2028-04-24      | Variable      | 0.04%                 | 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        |   28918418 | PA      | $24910201.15   | 0.06%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #527605                                                                           | CUSIP: 36212ADJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8966 | PA      | $9275.55       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #480476                                                                           | CUSIP: 36209SXD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $393.98        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 06/01/2044#AW4764                                                                  | CUSIP: 3138XUJJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     201957 | PA      | $196273.49     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2041#AJ7242                                                                  | CUSIP: 3138E0BL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     310006 | PA      | $309987.89     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | 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        |    3315128 | PA      | $3313070.86    | 0.01%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#BU9788                                                                    | CUSIP: 3140MB2W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16907 | PA      | $15053.65      | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/29 #488767                                                                          | CUSIP: 36210C6C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        379 | PA      | $388.82        | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#Q49393                                                                  | CUSIP: 3132WPNK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     838940 | PA      | $836613.09     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/41 #783501                                                                           | CUSIP: 36241L3J3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     704389 | PA      | $718538.56     | 0.00%             | 2041-09-15      | 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 1.5% 11/25/2044                                                    | CUSIP: 3137F8N25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2397834 | PA      | $2190983.47    | 0.01%             | 2044-11-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 4.5% 07/25/2048                                                                        | CUSIP: 3136BM7C6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    9012534 | PA      | $8997225.87    | 0.02%             | 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        |      86402 | PA      | $84446.24      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/35 #830779                                                                           | CUSIP: 31407G6Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6141 | PA      | $6532.68       | 0.00%             | 2035-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #509683                                                                           | CUSIP: 31383QFY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $148.54        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/47#BM1277                                                                         | CUSIP: 3140J5M30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2591248 | PA      | $2512723.70    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.963%/VAR 01/25/2033                                                       | CUSIP: 46647PCU8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $16059404.73   | 0.04%             | 2033-01-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 1.5% 01/01/2051#QB7783                                                                  | CUSIP: 3133AEUG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1201658 | PA      | $938247.33     | 0.00%             | 2051-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2048#Q54192                                                                    | CUSIP: 3132XWUS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     161600 | PA      | $156636.97     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #458859                                                                           | CUSIP: 36208RWU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        228 | PA      | $229.20        | 0.00%             | 2028-02-15      | 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        |     124080 | PA      | $114774.32     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/33 #594354                                                                           | CUSIP: 36201VH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1867 | PA      | $1914.03       | 0.00%             | 2033-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 08/31/2030                                                                       | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  251500000 | PA      | $250605995.47  | 0.58%             | 2030-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2041#AH7495                                                                  | CUSIP: 3138A9KH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20369 | PA      | $19882.09      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/01/2042#AB5542                                                                  | CUSIP: 31417CEQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     232382 | PA      | $215815.20     | 0.00%             | 2042-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2052#RA7510                                                                  | CUSIP: 3133KPKX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     212599 | PA      | $196492.87     | 0.00%             | 2052-06-01      | 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        |    2750762 | PA      | $2602539.12    | 0.01%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ6832                                                                  | CUSIP: 3138MNSW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22920 | PA      | $21513.66      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #710839                                                                           | CUSIP: 36297FV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106934 | PA      | $107124.23     | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #417218                                                                           | CUSIP: 31379EPB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $21.48         | 0.00%             | 2028-03-01      | 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        |   32000000 | NC      | $-367180.80    | -0.00%            |  |  |  | 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        |      13247 | PA      | $1892.42       | 0.00%             | 2034-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #569702                                                                           | CUSIP: 36200Q3K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4058 | PA      | $4199.16       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6783                                                                           | CUSIP: 3138A8RD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6996 | PA      | $6854.12       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #520104                                                                           | CUSIP: 36211QX97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        903 | PA      | $926.61        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 05/01/2034#C91764                                                                  | CUSIP: 3128P75Z2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     680462 | PA      | $670325.98     | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#CA0983                                                                  | CUSIP: 3140Q8CV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67185 | PA      | $66792.76      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5831                                                                    | CUSIP: 36196HPQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     395735 | PA      | $379081.34     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 12/01/2052#RA8306                                                                    | CUSIP: 3133KQGP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1372733 | PA      | $1432703.07    | 0.00%             | 2052-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A23124                                                                           | CUSIP: 31297APH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        829 | PA      | $843.67        | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #755971                                                                          | CUSIP: 31403R2C1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $107.13        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #576026                                                                           | CUSIP: 36200X4K2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        235 | PA      | $243.24        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #466842                                                                           | CUSIP: 36209BS74<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        155 | PA      | $157.98        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2044#AV7161                                                                  | CUSIP: 3138XJ5X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     418292 | PA      | $407068.40     | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #692706                                                                           | CUSIP: 36296JR31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56335 | PA      | $56451.35      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #436199                                                                           | CUSIP: 36207MRU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $33.13         | 0.00%             | 2028-02-15      | 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        |     796962 | PA      | $807418.66     | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 06/01/2030#J31990                                                                  | CUSIP: 31307NF74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27814 | PA      | $27651.01      | 0.00%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 3/28 #251570                                                                           | CUSIP: 31371GMT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        237 | PA      | $243.64        | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | 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        |      10550 | PA      | $11224.64      | 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        |     975789 | PA      | $955674.97     | 0.00%             | 2042-04-01      | 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 2.745% 01/25/2026                                                  | CUSIP: 3137BNGT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4505956 | PA      | $4494249.96    | 0.01%             | 2026-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#CB1638                                                                  | CUSIP: 3140QLZC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29349 | PA      | $27327.25      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH2365                                                                           | CUSIP: 3138A3TX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12831 | PA      | $12577.14      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2042#890500                                                                  | CUSIP: 31410LKM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34941 | PA      | $34188.83      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #843693                                                                          | CUSIP: 31407XKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8405 | PA      | $8843.31       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | 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        |     204466 | PA      | $193448.18     | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 3/41 #AH8776                                                                           | CUSIP: 3138AAXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1819 | PA      | $1826.88       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #781584                                                                           | CUSIP: 36225BXM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        380 | PA      | $393.23        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | 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        |      14305 | PA      | $12612.06      | 0.00%             | 2040-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 07/31/2030                                                                           | CUSIP: 91282CHR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1606800000 | PA      | $1627198824.11 | 3.75%             | 2030-07-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34547                                                                  | CUSIP: 3132QRBR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      73770 | PA      | $67214.48      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.25% 03/15/2026                                                       | CUSIP: 22003BAL0<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    7272000 | PA      | $7239816.96    | 0.02%             | 2026-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #252646                                                                           | CUSIP: 31371HTB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $100.73        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #738119                                                                           | CUSIP: 3620ASAU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11477 | PA      | $11708.10      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#RA6010                                                                  | CUSIP: 3133KMVB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2776336 | PA      | $2594633.88    | 0.01%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2018-C46                                                   | WELLS FARGO COML MTG TR 2018-C46 A4 4.152% 08/15/2051                                             | CUSIP: 95001QAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1115000 | PA      | $1113959.93    | 0.00%             | 2051-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 5.4% 03/15/2033                                                                 | CUSIP: 125523CS7<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $31241566.50   | 0.07%             | 2033-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| WILLIAMS COS INC                                                                   | WILLIAMS COS INC 2.6% 03/15/2031                                                                  | CUSIP: 969457BY5<br>LEI: D71FAKCBLFS2O0RBPG08 | Long             | DBT              | CORP              | US        |    5542000 | PA      | $5059411.56    | 0.01%             | 2031-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO 31 LTD                                                                | FLATIRON CLO 31 LTD A1 TSFR3M+120 01/18/2039 144A                                                 | CUSIP: 33883WAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27473000 | PA      | $27473000.00   | 0.06%             | 2039-01-18      | Variable      | 0.05%                 | 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        |      92475 | PA      | $75692.51      | 0.00%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 01/01/2033#J38387                                                                    | CUSIP: 31307VJ80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     496017 | PA      | $483535.89     | 0.00%             | 2033-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/33 #693335                                                                           | CUSIP: 31400PHL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2138 | PA      | $2277.49       | 0.00%             | 2033-02-01      | Fixed         | 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        |     176319 | PA      | $168384.12     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #464767                                                                           | CUSIP: 36208YJL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        297 | PA      | $304.46        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2045#G61807                                                                    | CUSIP: 31335CAG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     765459 | PA      | $750045.09     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/32 #545759                                                                           | CUSIP: 31385JJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9522 | PA      | $9955.41       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.30% 8/36 #888199                                                                       | CUSIP: 31410FX42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76317 | PA      | $78145.36      | 0.00%             | 2036-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#RA6987                                                                  | CUSIP: 3133KNXQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8238779 | PA      | $7681810.92    | 0.02%             | 2052-03-01      | Fixed         | 0.04%                 | 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        |    4302524 | PA      | $4490113.70    | 0.01%             | 2054-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB8881                                                                       | CUSIP: 31417F2P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     241728 | PA      | $223827.32     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 3.75% 05/15/2030                                                               | CUSIP: 29278NAQ6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   27891000 | PA      | $27142617.25   | 0.06%             | 2030-05-15      | Fixed         | 0.04%                 | 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        |   17216743 | PA      | $17400683.15   | 0.04%             | 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        |     315041 | PA      | $326185.47     | 0.00%             | 2035-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LN FDG 2025-2 LTD / PALMER SQUARE LN FDG 2025-2 LLC                  | PALMER SQUARE LN FDG LTD 2025-2A A1 TSFR3M+94 07/15/2033 144A                                     | CUSIP: 69704AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28000000 | PA      | $28005852.00   | 0.06%             | 2033-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #567034                                                                           | CUSIP: 31386L4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12482 | PA      | $12762.50      | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 05/01/2041#SC0167                                                                  | CUSIP: 3132D9FG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3425978 | PA      | $3088834.60    | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HAVN TR 2025-MOB                                                                   | HAVN TR 2025-MOB A TSFR1M+175 10/15/2027 144A                                                     | CUSIP: 40408XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4800000 | PA      | $4799997.60    | 0.01%             | 2035-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 10/39 #AC0435                                                                          | CUSIP: 31417JPV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27616 | PA      | $27643.31      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2045#AZ9193                                                                  | CUSIP: 3140E2GB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24371 | PA      | $23036.34      | 0.00%             | 2045-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 12/01/2032#SB0030                                                                    | CUSIP: 3132CWA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     462370 | PA      | $452956.83     | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 02/01/2032#ZK8527                                                                  | CUSIP: 3131XCPL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27026 | PA      | $26153.14      | 0.00%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #483639                                                                           | CUSIP: 36209WHQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         62 | PA      | $63.27         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3119 PO 0 2/36                                                                                | CUSIP: 31396HSG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     176159 | PA      | $147415.51     | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 11/01/2032#ZS8675                                                                  | CUSIP: 3132A9T80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57944 | PA      | $55848.91      | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735366                                                                           | CUSIP: 3620AN6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20689 | PA      | $20735.38      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2025-ROIC                                                                 | BX TRUST 2025-ROIC C TSFR1M+169 03/15/2030 144A                                                   | CUSIP: 05593VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17104291 | PA      | $17040185.49   | 0.04%             | 2030-03-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.75% 08/15/2028                                                          | CUSIP: 958254AK0<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    5504000 | PA      | $5568848.07    | 0.01%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.65% 7/37 #942609                                                                       | CUSIP: 31413DVA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61813 | PA      | $64255.63      | 0.00%             | 2037-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AL2537                                                                           | CUSIP: 3138EJZB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     355457 | PA      | $339448.03     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.876% 07/16/2030 144A                                                           | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |   14868000 | PA      | $15141759.43   | 0.03%             | 2030-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #444382                                                                           | CUSIP: 36207WUF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         70 | PA      | $70.95         | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/01/2045#Q34759                                                                  | CUSIP: 3132QRJD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208904 | PA      | $191103.73     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 1/28 #459649                                                                           | CUSIP: 36208STE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        494 | PA      | $502.94        | 0.00%             | 2028-01-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AT3998                                                                  | CUSIP: 3138WRNQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19897 | PA      | $18863.44      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H17 FA TSFR1M+64.448 6/61                                                                | CUSIP: 38375BML3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     140457 | PA      | $140546.95     | 0.00%             | 2061-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP PAY 4.03 04/25/30                                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   32000000 | NC      | $1075531.20    | 0.00%             |  |  |  | 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        |     273929 | PA      | $274787.44     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18481                                                                  | CUSIP: 3132J92P2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     124709 | PA      | $121455.70     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLUEBERRY PARK CLO LTD                                                             | BLUEBERRY PARK CLO LTD A TSFR3M+135 10/20/2037 144A                                               | CUSIP: 09609QAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   32753000 | PA      | $32806387.39   | 0.08%             | 2037-10-20      | Variable      | 0.05%                 | 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        |     214988 | PA      | $208319.15     | 0.00%             | 2031-10-01      | 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+110 FB 11/25/2054                                          | CUSIP: 3137HHF97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    6116021 | PA      | $6140797.96    | 0.01%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #251115                                                                           | CUSIP: 31371F3Y6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $4.46          | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 10/40#004832                                                                         | CUSIP: 36202FLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5581 | PA      | $5310.90       | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2048#BJ1581                                                                    | CUSIP: 3140H2XK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55320 | PA      | $53418.78      | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #782495                                                                          | CUSIP: 36241KXY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1930 | PA      | $1986.69       | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | 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        |      32791 | PA      | $33633.58      | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 3.526%/VAR 03/24/2028                                                      | CUSIP: 95000U2V4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   42125000 | PA      | $41851145.38   | 0.10%             | 2028-03-24      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/44 #AG9361                                                                           | CUSIP: 36182EMJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165065 | PA      | $154660.52     | 0.00%             | 2044-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HUDSON PACIFIC PROPERTIES LP                                                       | HUDSON PACIFIC PROPERTIES LP 4.65% 04/01/2029                                                     | CUSIP: 44409MAB2<br>LEI: 5493007NTUGLGZ8T3526 | Long             | DBT              | CORP              | US        |   37205000 | PA      | $34390999.83   | 0.08%             | 2029-04-01      | Fixed         | 0.05%                 | 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        |    5689524 | PA      | $5313038.71    | 0.01%             | 2035-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 08/01/2039#FM1353                                                                  | CUSIP: 3140X4QF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3731752 | PA      | $3764793.18    | 0.01%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                         | HPS CORPORATE LENDING FUND 5.45% 01/14/2028                                                       | CUSIP: 40440VAH8<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |   77521000 | PA      | $78348223.49   | 0.18%             | 2028-01-14      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/42 #AJ8222                                                                           | CUSIP: 3138E1D46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84466 | PA      | $82304.62      | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2012-149 DA 1.75% 01/25/2043                                       | CUSIP: 3136AA4A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     154354 | PA      | $144290.41     | 0.00%             | 2043-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #469552                                                                           | CUSIP: 36209ETH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        461 | PA      | $464.15        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 03/01/2051#SD8134                                                                    | CUSIP: 3132DWBB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6110442 | PA      | $4984325.19    | 0.01%             | 2051-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #252805                                                                          | CUSIP: 31371HYA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        201 | PA      | $211.56        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | 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        |    4756429 | PA      | $5034411.76    | 0.01%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 11/31 #003161                                                                        | CUSIP: 36202DQN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1653 | PA      | $1720.52       | 0.00%             | 2031-11-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2050#FS1578                                                                    | CUSIP: 3140XGXG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11101678 | PA      | $10699339.51   | 0.02%             | 2050-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.95% 01/28/2060                                                              | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   18760000 | PA      | $15225616.00   | 0.04%             | 2060-01-28      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/32 #781548                                                                          | CUSIP: 36225BWH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        413 | PA      | $426.07        | 0.00%             | 2032-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#MA2775                                                                  | CUSIP: 31418CCM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57114 | PA      | $55341.19      | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/40 #737311                                                                           | CUSIP: 3620ARDQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     165205 | PA      | $168543.19     | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | 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        |     300000 | NC      | $50097.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/41 #Q00753                                                                           | CUSIP: 3132GDZS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90895 | PA      | $91086.57      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/28 #506236                                                                           | CUSIP: 31383LLR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2911 | PA      | $2959.15       | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2045#Q30829                                                                  | CUSIP: 3132QL4P5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51481 | PA      | $51659.70      | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #581908                                                                           | CUSIP: 36201FNZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10375 | PA      | $10720.98      | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | 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        |    8138539 | PA      | $7291339.95    | 0.02%             | 2060-12-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD0745                                                                  | CUSIP: 36180BZJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      41870 | PA      | $38503.19      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #563581                                                                           | CUSIP: 36213TCS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3702 | PA      | $3830.93       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7272                                                                  | CUSIP: 31417ECJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15508 | PA      | $14365.37      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 2/41 #A97040                                                                           | CUSIP: 312945ZD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1318273 | PA      | $1292871.66    | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 9/34 #574764                                                                           | CUSIP: 36200WQR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8446 | PA      | $8936.11       | 0.00%             | 2034-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #622547                                                                           | CUSIP: 31389DTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3618 | PA      | $3802.59       | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2116                                                                  | CUSIP: 3138MHK69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24787 | PA      | $22904.90      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 12/20/2054#MB0092                                                                    | CUSIP: 3618N5C64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6863077 | PA      | $6937830.02    | 0.02%             | 2054-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BMP 2024-MF23 C TSFR1M+194.113 06/15/2041 144A                                                    | CUSIP: 05593JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7810000 | PA      | $7819646.91    | 0.02%             | 2041-06-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.586%/VAR 04/26/2033                                                       | CUSIP: 46647PDC7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   70000000 | PA      | $70368914.70   | 0.16%             | 2033-04-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                         | ARES STRATEGIC INCOME FUND 5.45% 09/09/2028 144A                                                  | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |   24383000 | PA      | $24586810.43   | 0.06%             | 2028-09-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-H4                                             | MORGAN STANLEY CAPITAL I TRUST 2018-H4 4.31% 12/15/2051                                           | CUSIP: 61691RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11843000 | PA      | $11772432.30   | 0.03%             | 2051-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.95 04/29/30                                                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   21650000 | NC      | $761844.02     | 0.00%             |  |  |  | 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        |   15376422 | PA      | $15303802.61   | 0.04%             | 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        |     276851 | PA      | $271333.13     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/41 #AL0913                                                                           | CUSIP: 3138EHAP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325861 | PA      | $344189.59     | 0.00%             | 2041-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WESTF 2025-A                                                                       | WESTF 2025-A 5.582% 06/15/2050 144A                                                               | CUSIP: 97063RAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   23236067 | PA      | $23613034.73   | 0.05%             | 2050-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH3394                                                                           | CUSIP: 3138A4XY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8899 | PA      | $8720.40       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6302                                                                    | CUSIP: 3133KNAB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15695289 | PA      | $12851792.21   | 0.03%             | 2051-11-01      | Fixed         | 0.02%                 | 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        |    2695363 | PA      | $2852888.94    | 0.01%             | 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        |     634271 | PA      | $635888.47     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#740830                                                                  | CUSIP: 3620AVA77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72222 | PA      | $67916.32      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/01/2038#AU4761                                                                    | CUSIP: 3138X4JF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     328124 | PA      | $323172.55     | 0.00%             | 2038-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES OPERATING PARTNERSHIP LP                                          | INVITATION HOMES OPERATING PARTNERSHIP LP 4.15% 04/15/2032                                        | CUSIP: 46188BAD4<br>LEI: 549300147YMUQB3GW319 | Long             | DBT              | CORP              | US        |   21143000 | PA      | $20522018.67   | 0.05%             | 2032-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2025-46 LTD / LLC                                                          | OCP CLO 2025-46 LTD / LLC A TSFR3M+120 10/15/2038 144A                                            | CUSIP: 671023AA7<br>LEI: 213800J27YESIODUZS34 | Long             | ABS-CBDO         | CORP              | KY        |   19380000 | PA      | $19377461.22   | 0.04%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #581769                                                                           | CUSIP: 36201FJN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2885 | PA      | $2996.21       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.103%/VAR 04/22/2031                                                       | CUSIP: 46647PEY8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   29723000 | PA      | $30688297.52   | 0.07%             | 2031-04-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/28 #251822                                                                           | CUSIP: 31371GVP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1235 | PA      | $1270.75       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 4.55% 10/01/2029                                                   | CUSIP: 105340AP8<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   27295000 | PA      | $26050749.24   | 0.06%             | 2029-10-01      | Fixed         | 0.05%                 | 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        |      65024 | PA      | $63251.40      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC C TSFR1M+171.448 04/15/2034 144A                            | CUSIP: 05608BAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10407000 | PA      | $10310287.75   | 0.02%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #726916                                                                          | CUSIP: 3620ADSD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36919 | PA      | $36969.82      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | 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        |      73113 | PA      | $73246.35      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #743877                                                                           | CUSIP: 3620AYM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5964 | PA      | $5967.63       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2015-H13 FL TSFR1M+39.448 05/63                                                               | CUSIP: 38376RCN4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       6496 | PA      | $6476.92       | 0.00%             | 2063-05-20      | Variable      | 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        |       8234 | PA      | $884.26        | 0.00%             | 2033-03-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 4/42 #AK4826                                                                           | CUSIP: 3138E9LG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     359524 | PA      | $343604.34     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.497% 08/15/2043 144A                                        | CUSIP: 19828TAE6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4293000 | PA      | $4535148.73    | 0.01%             | 2043-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33347                                                                  | CUSIP: 3132QPWH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76097 | PA      | $72120.38      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2051#                                                                        | CUSIP: 3133KMLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     674209 | PA      | $627977.58     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #455273                                                                           | CUSIP: 36208MXA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        137 | PA      | $139.39        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/27 #256630                                                                           | CUSIP: 31371NA70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        683 | PA      | $686.84        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                                           | LIBERTY MUTUAL GROUP INC 4.569% 02/01/2029 144A                                                   | CUSIP: 53079EBG8<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |   19896000 | PA      | $19986985.40   | 0.05%             | 2029-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9089                                                                  | CUSIP: 3138W7C36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     366900 | PA      | $339567.78     | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HEALTHPEAK OP LLC                                                                  | HEALTHPEAK OP LLC 3.5% 07/15/2029                                                                 | CUSIP: 40414LAR0<br>LEI: PZ9HF5U52KPF0MH0QN75 | Long             | DBT              | CORP              | US        |    3125000 | PA      | $3037370.56    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 2/29 #C22365                                                                           | CUSIP: 31293KTW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $81.33         | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2040#V81750                                                                  | CUSIP: 3132L65K3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     955448 | PA      | $919221.07     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MYLAN INC                                                                          | MYLAN INC 4.55% 04/15/2028                                                                        | CUSIP: 628530BK2<br>LEI: 30ZMPDNA1RHIBH89C294 | Long             | DBT              | CORP              | US        |    6911000 | PA      | $6918296.91    | 0.02%             | 2028-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                        | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                | CUSIP: 00255JAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20552951 | PA      | $21118876.14   | 0.05%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/40 #AB1611                                                                          | CUSIP: 31416WYH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24653 | PA      | $23685.41      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | 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        |   12419455 | PA      | $12448761.18   | 0.03%             | 2028-02-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+121.308 21 10/15/2036 144A                           | CUSIP: 05609PAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7417000 | PA      | $7384641.85    | 0.02%             | 2036-10-15      | Variable      | 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        |      15295 | PA      | $13466.56      | 0.00%             | 2041-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/41 #748278                                                                          | CUSIP: 3620C4JX9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7183 | PA      | $6968.27       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/41 #759100                                                                           | CUSIP: 36230UDD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15801 | PA      | $14991.87      | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BAE SYSTEMS PLC                                                                    | BAE SYSTEMS PLC 3.4% 04/15/2030 144A                                                              | CUSIP: 05523RAD9<br>LEI: 8SVCSVKSGDWMW2QHOH83 | Long             | DBT              | CORP              | GB        |    9575000 | PA      | $9255486.65    | 0.02%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5175 CB 2.5% 04/25/2050                                            | CUSIP: 3137H4N30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   12304538 | PA      | $10842732.97   | 0.02%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #674064                                                                           | CUSIP: 36295LZ53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93433 | PA      | $95311.51      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #781277                                                                          | CUSIP: 36225BM21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         90 | PA      | $91.73         | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34156                                                                  | CUSIP: 3132QQTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     685794 | PA      | $627483.86     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.75% 01/15/2028                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   28933000 | PA      | $29159588.50   | 0.07%             | 2028-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2044#Q27096                                                                  | CUSIP: 3132M7RR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      95448 | PA      | $92690.02      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.65% 07/01/2026                                                          | CUSIP: 958254AF1<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    9376000 | PA      | $9377490.88    | 0.02%             | 2026-07-01      | Fixed         | 0.05%                 | 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        |    9104134 | PA      | $8156136.02    | 0.02%             | 2042-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #251410                                                                           | CUSIP: 31371GGT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        287 | PA      | $292.82        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP PAY 3.837 07/22/26                                                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   47480000 | NC      | $921326.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #456151                                                                           | CUSIP: 36208NWL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        230 | PA      | $231.40        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 02/34#G30703                                                                       | CUSIP: 3132J4AD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6802999 | PA      | $6711264.94    | 0.02%             | 2034-02-01      | Fixed         | 0.04%                 | 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        |    1770894 | PA      | $1735347.65    | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2047#CA0324                                                                  | CUSIP: 3140Q7LE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     340271 | PA      | $338286.10     | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PROJECT SILVER 2019                                                                | SILVER AIRCRAFT LEASE INVT LTD 2019-1 A 3.967% 07/15/2044 144A                                    | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14643109 | PA      | $14497409.59   | 0.03%             | 2044-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97717                                                                  | CUSIP: 312946SE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12577 | PA      | $12692.90      | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511324                                                                           | CUSIP: 31383SAZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1209 | PA      | $1263.30       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | 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 CFX 4.95% 07/05/2023 144A                              | CUSIP: 46645WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3450000 | PA      | $2346345.00    | 0.01%             | 2033-07-05      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.572%/VAR 04/22/2036                                                       | CUSIP: 46647PEX0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   35305000 | PA      | $37040555.67   | 0.09%             | 2036-04-22      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738429                                                                           | CUSIP: 3620ASLJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37852 | PA      | $38617.92      | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/01/2051#SD8146                                                                    | CUSIP: 3132DWBP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6126549 | PA      | $4993635.28    | 0.01%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 5.247%/VAR 07/26/2030                                                        | CUSIP: 14040HCV5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   40470000 | PA      | $41742994.37   | 0.10%             | 2030-07-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #158759                                                                           | CUSIP: 36216AJC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        539 | PA      | $547.54        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7376                                                                    | CUSIP: 31419JFS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76865 | PA      | $75260.00      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/32 #656362                                                                           | CUSIP: 31390UFB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3409 | PA      | $3616.63       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE3871                                                                          | CUSIP: 31419EJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1047 | PA      | $1024.63       | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2049#BN9936                                                                  | CUSIP: 3140JTBE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64378 | PA      | $66805.36      | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 08/01/2038#929854                                                                  | CUSIP: 31412NBX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        181 | PA      | $191.63        | 0.00%             | 2038-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34669                                                                    | CUSIP: 31307RFJ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47107 | PA      | $46202.38      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 2/1/43 #Q15635                                                                       | CUSIP: 3132J6V50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70146 | PA      | $64855.59      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | 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        |    1536542 | PA      | $1449217.66    | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01208                                                                           | CUSIP: 3132GEKV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51665 | PA      | $51823.05      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #834769                                                                           | CUSIP: 31407MMS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $474.15        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC                                   | MORGAN STANLEY EATON VANCE CLO 2025-21 LTD / LLC A1 TSFR3M+117 04/15/2038 144A                    | CUSIP: 617921AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   34398000 | PA      | $34345302.26   | 0.08%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 05/01/2036#880939                                                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        718 | PA      | $757.25        | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 08/01/2032#                                                                        | CUSIP: 31283HS89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8596 | PA      | $8997.66       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293S6F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        177 | PA      | $181.71        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.375% 05/15/2033                                                                       | CUSIP: 91282CHC8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  465000000 | PA      | $447035743.35  | 1.03%             | 2033-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #563290                                                                           | CUSIP: 36213SXT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21745 | PA      | $22495.25      | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #739706                                                                           | CUSIP: 3620ATYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93719 | PA      | $95610.19      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMCC COML MTG SECS TR 2016-JP4                                                    | JPMCC COML MTG SECS TR 2016-JP4 3.3928% 12/15/2049                                                | CUSIP: 46645UAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13493316 | PA      | $13396558.22   | 0.03%             | 2049-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 05/01/2048#BM3877                                                                    | CUSIP: 3140J8JX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1007526 | PA      | $975419.69     | 0.00%             | 2048-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2025-2                                                           | T-MOBILE US TRUST 2025-2 4.34% 04/22/2030 144A                                                    | CUSIP: 87268MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1800000 | PA      | $1816402.50    | 0.00%             | 2030-04-22      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2 LTD                                              | PALMER SQUARE LOAN FUNDING 2024-2 LTD A1N TSFR3M+100 01/15/2033 144A                              | CUSIP: 69703RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12981483 | PA      | $12984728.57   | 0.03%             | 2033-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 7.1% 11/15/2027                                                                     | CUSIP: 02005NBR0<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   37620000 | PA      | $39522312.11   | 0.09%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 7/39 #AL0070                                                                           | CUSIP: 3138EGCG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10004 | PA      | $10197.71      | 0.00%             | 2039-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7679                                                                    | CUSIP: 31419JQ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     204538 | PA      | $200193.14     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #748670                                                                          | CUSIP: 3620C4W71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12207 | PA      | $11885.01      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5% 01/01/2056 #TBA                                                                      | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -33300000 | PA      | $-33216750.00  | -0.08%            | 2056-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.65% 04/05/2027                                                         | CUSIP: 21871XAD1<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   33012000 | PA      | $32803063.42   | 0.08%             | 2027-04-05      | Fixed         | 0.04%                 | 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        |     341968 | PA      | $335821.39     | 0.00%             | 2030-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 01/01/2056 #TBA                                                                        | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        |  -57500000 | PA      | $-57360574.00  | -0.13%            | 2056-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931506                                                                           | CUSIP: 31412P3P4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51689 | PA      | $51800.89      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.898% 5/35 #995272                                                                      | CUSIP: 31416BT57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24458 | PA      | $25124.23      | 0.00%             | 2035-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE0949                                                                           | CUSIP: 31419BBT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7851 | PA      | $7691.68       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2047#BE8819                                                                    | CUSIP: 3140FUYR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1701009 | PA      | $1649462.28    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#BE8189                                                                  | CUSIP: 3140FUC30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27642 | PA      | $27609.93      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20882                                                                  | CUSIP: 3132JM6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21293 | PA      | $20713.22      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31296PYK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      20604 | PA      | $20977.71      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#734089                                                                  | CUSIP: 3620AMRJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1291825 | PA      | $1254629.82    | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | 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        |     129489 | PA      | $129711.83     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2024-2                                             | CITIZENS AUTO RECEIVABLES TRUST 2024-2 5.33% 08/15/2028 144A                                      | CUSIP: 17331XAD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7450823 | PA      | $7502292.15    | 0.02%             | 2028-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 09/20/2051#785619                                                                    | CUSIP: 3622ABDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12409831 | PA      | $10638635.31   | 0.02%             | 2051-09-20      | Fixed         | 0.03%                 | 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        |     600000 | NC      | $86648.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DTP COML MTG TR 2023-STE2                                                          | DTP COML MTG TR 2023-STE2 A CSTR 01/15/2041 144A                                                  | CUSIP: 23346GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7693000 | PA      | $7912158.18    | 0.02%             | 2041-01-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8539                                                                          | CUSIP: 31419KPZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3047 | PA      | $2979.33       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 03/01/2038#969711                                                                  | CUSIP: 31414LYG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35115 | PA      | $36806.68      | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/40 #741269                                                                           | CUSIP: 3620AVQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12655 | PA      | $12661.33      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #413862                                                                           | CUSIP: 31379AWX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        919 | PA      | $937.97        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H05 FA TSFR1M+61.448 12/60                                                               | CUSIP: 38375BKD3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     132589 | PA      | $132618.61     | 0.00%             | 2060-12-20      | Variable      | 0.05%                 | 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        |    5700724 | PA      | $5872889.43    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2048#G67716                                                                  | CUSIP: 3132XCSD8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1112400 | PA      | $1111748.34    | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | 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        |     651958 | PA      | $640240.37     | 0.00%             | 2034-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.00% 11/31 #003160                                                                       | CUSIP: 36202DQM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9420 | PA      | $9726.44       | 0.00%             | 2031-11-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-63 FN SOFR30A+111.448 10/32                                                              | CUSIP: 31392ED23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       8671 | PA      | $8738.94       | 0.00%             | 2032-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #719739                                                                          | CUSIP: 3620A5S42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15095 | PA      | $15841.34      | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7567                                                                  | CUSIP: 31417EMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22307 | PA      | $20672.79      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH0358                                                                           | CUSIP: 3138A1MG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7261 | PA      | $7119.56       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2010-150 ZC 4.75% 01/41                                                                       | CUSIP: 31397QAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1677560 | PA      | $1645556.37    | 0.00%             | 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        |    4757736 | PA      | $4068557.44    | 0.01%             | 2050-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/44#AW5410                                                                       | CUSIP: 3138XVAL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22063 | PA      | $22498.23      | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN 2014 SER 4314 A1 5% 03/15/2034                                                    | CUSIP: 3137B9ED3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |         34 | PA      | $0.22          | 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        |     147542 | PA      | $136477.29     | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35372                                                                             | CUSIP: 3132QR6J4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     177591 | PA      | $162195.15     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | 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        |      80200 | PA      | $80263.47      | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34103                                                                  | CUSIP: 3132QQRZ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30605 | PA      | $28113.22      | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 08/01/2050#SD7523                                                                  | CUSIP: 3132DVLC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6874659 | PA      | $5941137.06    | 0.01%             | 2050-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 10/15/2040#740554                                                                  | CUSIP: 3620AUWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3493 | PA      | $3496.47       | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                        | APOLLO AVIATION SECURITIZATION EQUITY TRUST 3.351% 01/16/2040 144A                                | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2165297 | PA      | $2150139.82    | 0.00%             | 2040-01-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM8 TRUST                                                                | OBX 2025-NQM8 Trust A1 VAR 03/25/2065 144A                                                        | CUSIP: 67449AAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17341317 | PA      | $17490869.95   | 0.04%             | 2065-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/27 #361825                                                                           | CUSIP: 31376P4J1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $30.17         | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7273                                                                  | CUSIP: 31417ECK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73463 | PA      | $68079.50      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2045#Q37045                                                                    | CUSIP: 3132QTZK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70643 | PA      | $68793.05      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR0530                                                                  | CUSIP: 3138NWSU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66841 | PA      | $61938.42      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE SECURITIZATION TRUST 2025-B                                          | WILLIS ENGINE SECURITIZATION TRUST 2025-B A 0% 12/15/2050 144A                                    | CUSIP: 970910AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14000000 | PA      | $14037032.80   | 0.03%             | 2050-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/38 #995876                                                                          | CUSIP: 31416CJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1137 | PA      | $1200.70       | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #AE0746                                                                           | CUSIP: 31419AZL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22256 | PA      | $23323.03      | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.125% 01/15/2026                                                     | CUSIP: 92277GAG2<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    7649000 | PA      | $7648148.97    | 0.02%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #454037                                                                           | CUSIP: 36208LLS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        247 | PA      | $251.28        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20707                                                                  | CUSIP: 3132JMYC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     122244 | PA      | $119024.16     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/42#AP5393                                                                       | CUSIP: 3138M87F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     114598 | PA      | $109418.26     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #353706                                                                           | CUSIP: 36203M3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        163 | PA      | $164.88        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXI LTD 2019-21A A                                                       | MAGNETITE XXI LTD 2019-21A A AR TSFR3M+128.161 04/20/2034 144A                                    | CUSIP: 55954PAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   25147000 | PA      | $25154745.28   | 0.06%             | 2034-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #590306                                                                           | CUSIP: 36201QYB3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        273 | PA      | $281.28        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH0352                                                                           | CUSIP: 3138A1MA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1671 | PA      | $1637.18       | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #412598                                                                           | CUSIP: 31378YKK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.35         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 11/15/2032                                                                       | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  825807000 | PA      | $835258617.12  | 1.92%             | 2032-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AJAXM 2021-C                                                                       | AJAXM 2021-C 6.115% 01/25/2061 144A                                                               | CUSIP: 009733AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2000051 | PA      | $1999979.51    | 0.00%             | 2061-01-25      | 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 4.36% 09/25/2032                                                   | CUSIP: 3137HNTK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12300000 | PA      | $12379041.03   | 0.03%             | 2032-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #734392                                                                           | CUSIP: 3620AM2Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56690 | PA      | $57842.28      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #710683                                                                           | CUSIP: 36297FRC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1865 | PA      | $1867.46       | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 2.894%/VAR 11/24/2032                                                                | CUSIP: 06738EBV6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   13572000 | PA      | $12366767.31   | 0.03%             | 2032-11-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GILEAD AVIATION LLC                                                                | GILEAD AVIATION LLC 0% 03/15/2050 144A                                                            | CUSIP: 37556TAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   39708609 | PA      | $40325791.94   | 0.09%             | 2050-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| HARTFORD INSURANCE GROUP INC/THE                                                   | HARTFORD INSURANCE GROUP INC/THE 2.8% 08/19/2029                                                  | CUSIP: 416515BE3<br>LEI: IU7C3FTM7Y3BQM112U94 | Long             | DBT              | CORP              | US        |    7704000 | PA      | $7365445.41    | 0.02%             | 2029-08-19      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/40 #AD0732                                                                           | CUSIP: 31418MY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     352350 | PA      | $372312.70     | 0.00%             | 2040-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #682568                                                                          | CUSIP: 36295WJM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     199680 | PA      | $194216.31     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | 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        |    7218449 | PA      | $6543946.73    | 0.02%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #520056                                                                           | CUSIP: 36211QWR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        290 | PA      | $297.41        | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/27 #395754                                                                           | CUSIP: 31378DTK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $25.36         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 6.2% 03/15/2054                                                               | CUSIP: 14448CBD5<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    2214000 | PA      | $2393851.88    | 0.01%             | 2054-03-15      | Fixed         | 0.06%                 | 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        |      69808 | PA      | $68036.54      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 2.25% 11/15/2031                                                                 | CUSIP: 87264ABX2<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   40000000 | PA      | $35428050.40   | 0.08%             | 2031-11-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2032#                                                                          | CUSIP: 31287NUQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3584 | PA      | $3719.75       | 0.00%             | 2032-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2041#                                                                          | CUSIP: 3132GEQM5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7756 | PA      | $7712.63       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/1/42 #AL3046                                                                    | CUSIP: 3138EKL45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     443531 | PA      | $411828.25     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | 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        |    5962264 | PA      | $5351171.13    | 0.01%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 04/01/2052#FS8772                                                                  | CUSIP: 3140XQXA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6123998 | PA      | $5246479.07    | 0.01%             | 2052-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#SD0803                                                                    | CUSIP: 3132DM3L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     229617 | PA      | $204591.03     | 0.00%             | 2052-01-01      | 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        |      31967 | PA      | $30947.67      | 0.00%             | 2042-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 01/31/2030                                                                        | CUSIP: 91282CMG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  461200000 | PA      | $471450889.47  | 1.09%             | 2030-01-31      | 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        |     161501 | PA      | $165126.44     | 0.00%             | 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        |    3632531 | PA      | $3468273.45    | 0.01%             | 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        |     973822 | PA      | $879236.13     | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 B TSFR1M+239.052 12/09/2040 144A                                          | CUSIP: 12434GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4987717 | PA      | $4992337.00    | 0.01%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #460810                                                                           | CUSIP: 36208T3T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $22.74         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2044#Q30272                                                                  | CUSIP: 3132QLJS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15130 | PA      | $15192.55      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 10/15/2040#705890                                                                  | CUSIP: 36297AF73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     230050 | PA      | $223608.55     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COLUMBIA PIPELINES OPERATING CO LLC                                                | COLUMBIA PIPELINES OPERATING CO LLC 6.714% 08/15/2063 144A                                        | CUSIP: 19828TAD8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4626000 | PA      | $5006084.00    | 0.01%             | 2063-08-15      | Fixed         | 0.07%                 | 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        |    9955050 | PA      | $8941603.12    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.375% 08/15/2042                                                     | CUSIP: 912810TK4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  485600000 | PA      | $410332000.00  | 0.95%             | 2042-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #445661                                                                           | CUSIP: 36207YB66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        252 | PA      | $256.27        | 0.00%             | 2027-07-15      | 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        |    4119173 | PA      | $4162709.68    | 0.01%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 12/41 #005259                                                                       | CUSIP: 36202FZY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     896307 | PA      | $872302.41     | 0.00%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #678655                                                                           | CUSIP: 36295R5Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     100548 | PA      | $100515.68     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 4/32 #C01343                                                                           | CUSIP: 31292HP40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2192 | PA      | $2293.20       | 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        |    2602761 | PA      | $2199290.64    | 0.01%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 10/29 #515956                                                                          | CUSIP: 36211LE57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        142 | PA      | $146.27        | 0.00%             | 2029-10-15      | Fixed         | 0.08%                 | 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        |    9026162 | PA      | $8621434.92    | 0.02%             | 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        |     475814 | PA      | $481935.73     | 0.00%             | 2041-08-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.268% 07/30/2054 144A                                                      | CUSIP: 864300AC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   29574270 | PA      | $30204376.44   | 0.07%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2.5% 09/25/2048                                                    | CUSIP: 3136BKUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    6655432 | PA      | $5974604.85    | 0.01%             | 2048-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 01/01/2056 #TBA                                                                        | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57500000 | PA      | $57360574.00   | 0.13%             | 2056-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2622                                                                  | CUSIP: 3140QM4G6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1014211 | PA      | $874271.13     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | 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        |    1645006 | PA      | $1397406.77    | 0.00%             | 2041-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 4.5% 03/01/2028                                                           | CUSIP: 958254AH7<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3112335.06    | 0.01%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 9/41 #783403                                                                           | CUSIP: 36241LX84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1883 | PA      | $1785.61       | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 3.2% 09/16/2040 144A                                                                | CUSIP: 00131LAK1<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   15222000 | PA      | $12062259.25   | 0.03%             | 2040-09-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #667416                                                                           | CUSIP: 36295DN96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14324 | PA      | $14612.01      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AL5059                                                                  | CUSIP: 3138EMTR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     774489 | PA      | $717003.18     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2054#FS8620                                                                  | CUSIP: 3140XQSJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4399504 | PA      | $4644391.03    | 0.01%             | 2054-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/36 #745154                                                                           | CUSIP: 31403CZT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7674 | PA      | $8063.57       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MHP 2025-MHIL2                                                                     | MHP 2025-MHIL2 A 5.85/VAR 09/15/2030 144A                                                         | CUSIP: 59317DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11300000 | PA      | $11299942.37   | 0.03%             | 2040-09-15      | Variable      | 0.05%                 | 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        |    8873866 | PA      | $9103039.34    | 0.02%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AASET 2025-1 LTD / AASET 2025-1 LLC                                                | AASET 2025-1 LTD / AASET 2025-1 LLC 5.943% 02/16/2050 144A                                        | CUSIP: 00258PAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17191593 | PA      | $17520295.82   | 0.04%             | 2050-02-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #407933                                                                          | CUSIP: 31378TEE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        855 | PA      | $874.87        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2031#V61246                                                                  | CUSIP: 3132KFL34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     770576 | PA      | $748464.94     | 0.00%             | 2031-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H07 FA TSFR1M+74.448 3/20/62                                                             | CUSIP: 38375BQA3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     113166 | PA      | $113333.73     | 0.00%             | 2062-03-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 5% 04/48#784805                                                                           | CUSIP: 3622AAGN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2706781 | PA      | $2757628.01    | 0.01%             | 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        |    2627401 | PA      | $2781776.89    | 0.01%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 5.5% 08/25/2035                                                    | CUSIP: 31394EWW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     584410 | PA      | $606551.07     | 0.00%             | 2035-08-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #555999                                                                          | CUSIP: 36213JUY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        888 | PA      | $919.96        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2                                     | EXETER SELECT AUTOMOBILE RECEIVABLES TR 2025-2 4.43% 08/15/2030                                   | CUSIP: 30185EAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2400000 | PA      | $2416151.04    | 0.01%             | 2030-08-15      | Fixed         | 0.04%                 | 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        |    6310333 | PA      | $5522175.97    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2044#AW5937                                                                  | CUSIP: 3138XVS35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5966 | PA      | $5994.38       | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#AA6309                                                                  | CUSIP: 36178EAJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     175479 | PA      | $164935.37     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #678648                                                                          | CUSIP: 36295R5H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     131394 | PA      | $131434.26     | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 08/15/2040#747723                                                                  | CUSIP: 3620C3VQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15201 | PA      | $15508.81      | 0.00%             | 2040-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #251500                                                                           | CUSIP: 31371GKM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $52.03         | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #313947                                                                           | CUSIP: 31374GWG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        164 | PA      | $172.58        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 05/15/2029                                                | CUSIP: 11120VAH6<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   24028000 | PA      | $23930309.12   | 0.06%             | 2029-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2042#AK6744                                                                    | CUSIP: 3138EBP66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86188 | PA      | $84263.78      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 10/41 #005202                                                                       | CUSIP: 36202FX76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9212 | PA      | $8748.60       | 0.00%             | 2041-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/40 #A93142                                                                           | CUSIP: 312941P35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100705 | PA      | $101013.46     | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2044#G07922                                                                  | CUSIP: 3128MAD30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3457923 | PA      | $3309020.69    | 0.01%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 08/45#AS5634                                                                            | CUSIP: 3138WFHL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3048859 | PA      | $2779663.57    | 0.01%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.53% 03/15/2061 144A                                                     | CUSIP: 12530MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   46299068 | PA      | $37381881.64   | 0.09%             | 2061-03-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #441653                                                                           | CUSIP: 36207TTJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        116 | PA      | $116.74        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #722204                                                                           | CUSIP: 3620A8KR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50756 | PA      | $50865.31      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #468613                                                                           | CUSIP: 36209DSA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1285 | PA      | $1329.95       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CF HIPPOLYTA ISSUER LLC                                                            | CF HIPPOLYTA ISSUER LLC 1.69% 07/15/2060 144A                                                     | CUSIP: 12530MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   63873745 | PA      | $53742462.23   | 0.12%             | 2060-07-15      | Fixed         | 0.02%                 | 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        |     308113 | PA      | $320065.71     | 0.00%             | 2040-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #578193                                                                           | CUSIP: 36201BKE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3027 | PA      | $3092.06       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.65% 5/35 #1B2900                                                                       | CUSIP: 3128JNDE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64859 | PA      | $66800.38      | 0.00%             | 2035-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| DUKE ENERGY CORP NEW                                                               | DUKE ENERGY CORP NEW 4.95% 09/15/2035                                                             | CUSIP: 26441CCJ2<br>LEI: I1BZKREC126H0VB1BL91 | Long             | DBT              | CORP              | US        |   36862000 | PA      | $36552723.40   | 0.08%             | 2035-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN SECURITIES LLC                                                            | MNGT SWAP CY873248 04/17/65 B                                                                     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |     550000 | NC      | $91845.38      | 0.00%             |  |  |  | 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        |       4284 | PA      | $4039.43       | 0.00%             | 2044-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 04/15/2029                                                               | CUSIP: 29278NAG8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   10158000 | PA      | $10437787.58   | 0.02%             | 2029-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 339 5 5.5% 8/33                                                                               | CUSIP: 3136FAZ78<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      37324 | PA      | $4923.60       | 0.00%             | 2033-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2% 08/15/2051                                                         | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  733544000 | PA      | $420211824.73  | 0.97%             | 2051-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2357 ZB 6.5% 9/31                                                                             | CUSIP: 3133TUUS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     102937 | PA      | $106068.58     | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720075                                                                           | CUSIP: 3620A56L8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9650 | PA      | $9668.55       | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | 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        |   83914720 | PA      | $83809885.17   | 0.19%             | 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        |   22059171 | PA      | $19001675.02   | 0.04%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                               | BOSTON PROPERTIES LP 6.75% 12/01/2027                                                             | CUSIP: 10112RBG8<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   24397000 | PA      | $25518519.36   | 0.06%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 2101 PD 6% 11/28                                                                              | CUSIP: 3133TGPD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2838 | PA      | $2892.50       | 0.00%             | 2028-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B17 MORTGAGE TRUST                                                  | BENCHMARK 2020-B17 MORTGAGE TRUST CSTR 03/15/2053                                                 | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   95909613 | PA      | $3802960.03    | 0.01%             | 2053-03-15      | Variable      | 0.01%                 | 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        |    2294365 | PA      | $2248534.35    | 0.01%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 01/01/2043#Q15247                                                                  | CUSIP: 3132J6HZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     144878 | PA      | $133541.07     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2044#Q30263                                                                  | CUSIP: 3132QLJH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90369 | PA      | $90683.15      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                               | SABRA HEALTH CARE LP 3.2% 12/01/2031                                                              | CUSIP: 78574MAA1<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |   39949000 | PA      | $36552323.09   | 0.08%             | 2031-12-01      | Fixed         | 0.03%                 | 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        |    1495786 | PA      | $1448445.80    | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #Q00114                                                                           | CUSIP: 3132GDDT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     129883 | PA      | $130041.04     | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 11/27 #780795                                                                          | CUSIP: 36225A3C2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $47.78         | 0.00%             | 2027-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #403301                                                                          | CUSIP: 31378NAA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $28.36         | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | 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        |     789684 | PA      | $784978.50     | 0.00%             | 2050-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT III AIRCRAFT LEASE LTD                                                 | THUNDERBOLT III AIRCRAFT LEASE LTD 2019-1 A 3.671% 11/15/2039 144A                                | CUSIP: 88607AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13485861 | PA      | $13385289.16   | 0.03%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 11/01/2052#FS3295                                                                    | CUSIP: 3140XJUV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5849012 | PA      | $5904190.59    | 0.01%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#Q01212                                                                  | CUSIP: 3132GEKZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22863 | PA      | $22904.37      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2043#AD5680                                                                  | CUSIP: 36180HJZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36025 | PA      | $34759.49      | 0.00%             | 2043-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #457336                                                                          | CUSIP: 36208QBD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        415 | PA      | $420.10        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                                     | CITI SWAP REC 4.03 04/25/30                                                                       | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DIR              | CORP              | US        |   32000000 | NC      | $976618.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 1.47% 09/25/2027                                                   | CUSIP: 3137F72B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13400000 | PA      | $12901631.22   | 0.03%             | 2027-09-25      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE9416                                                                          | CUSIP: 31419LPA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10598 | PA      | $10310.13      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |   14310436 | PA      | $14319248.10   | 0.03%             | 2041-03-15      | Variable      | 0.05%                 | 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        |    5856612 | PA      | $5218300.74    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE9771                                                                    | CUSIP: 31419L2D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     156237 | PA      | $153103.65     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB6821                                                                  | CUSIP: 36178TSJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9897 | PA      | $9320.62       | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #430604                                                                           | CUSIP: 36207FKR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.17         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 05/01/2053#SD6787                                                                    | CUSIP: 3132DURG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12318142 | PA      | $11802428.57   | 0.03%             | 2053-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03561                                                                           | CUSIP: 3132GJTS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148027 | PA      | $145351.24     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #485866                                                                          | CUSIP: 36209YW38<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        924 | PA      | $956.92        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781019                                                                           | CUSIP: 36225BDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $53.24         | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | 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        |      45284 | PA      | $43222.83      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #466882                                                                           | CUSIP: 36209BUF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        362 | PA      | $367.88        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #608317                                                                           | CUSIP: 31388LYN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        151 | PA      | $159.15        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 01/01/2052#RA6623                                                                  | CUSIP: 3133KNLC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5371852 | PA      | $4615539.04    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 01/01/2049#ZA6262                                                                    | CUSIP: 31329P5X7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2425634 | PA      | $2333177.99    | 0.01%             | 2049-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8995                                                                    | CUSIP: 3617M77G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42531 | PA      | $39194.89      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 7.3% 11/27/2028                                                    | CUSIP: 09261HBC0<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   42550000 | PA      | $45134001.50   | 0.10%             | 2028-11-27      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 2.956%/VAR 05/13/2031                                                       | CUSIP: 46647PBP0<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   18323000 | PA      | $17285259.67   | 0.04%             | 2031-05-13      | Variable      | 0.03%                 | 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        |   46931024 | PA      | $1315119.94    | 0.00%             | 2056-08-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| UTAH ACQUISITION SUB INC                                                           | UTAH ACQUISITION SUB INC 3.95% 06/15/2026                                                         | CUSIP: 62854AAN4<br>LEI: 254900JOFV74IJ7H9933 | Long             | DBT              | CORP              | US        |    7459000 | PA      | $7442130.80    | 0.02%             | 2026-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 04/30/2030                                                                         | CUSIP: 91282CGZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  528900000 | PA      | $525077872.42  | 1.21%             | 2030-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1458                                                                  | CUSIP: 3138NXTQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141980 | PA      | $131753.62     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2035#G01853                                                                  | CUSIP: 3128LXBW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        335 | PA      | $336.63        | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/40 #G05898                                                                           | CUSIP: 3128M73F1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96787 | PA      | $98827.35      | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/31 #C01258                                                                          | CUSIP: 31292HMF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3874 | PA      | $4021.74       | 0.00%             | 2031-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15107                                                                  | CUSIP: 3132J6DM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      62929 | PA      | $61279.40      | 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        |    1153264 | PA      | $1135658.69    | 0.00%             | 2034-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69706                                                                          | CUSIP: 3128L1YB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      90767 | PA      | $96113.19      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.6% 03/15/2046                                                         | CUSIP: 674599DL6<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   28439000 | PA      | $29413945.80   | 0.07%             | 2046-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2041#AJ0855                                                                  | CUSIP: 3138AR5R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30128 | PA      | $30125.75      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2046#AL9515                                                                  | CUSIP: 3138ERSD3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1720219 | PA      | $1618387.40    | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 06/30/2030                                                                        | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  543000000 | PA      | $544293865.83  | 1.25%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 01/01/2039#K94441                                                                    | CUSIP: 3132LQZE0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     116952 | PA      | $115507.99     | 0.00%             | 2039-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q33724                                                                  | CUSIP: 3132QQD66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242300 | PA      | $230074.76     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2047#BH2621                                                                  | CUSIP: 3140GQ4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16560 | PA      | $16463.51      | 0.00%             | 2047-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 07/15/2045#AN5744                                                                  | CUSIP: 36186NLZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     127332 | PA      | $122563.75     | 0.00%             | 2045-07-15      | 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        |     389559 | PA      | $382072.46     | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | 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        |    1066858 | PA      | $1033749.61    | 0.00%             | 2035-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 09/30/2031                                                                       | CUSIP: 91282CLM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  609000000 | PA      | $602910000.00  | 1.39%             | 2031-09-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/40 #A92350                                                                           | CUSIP: 312940TF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     138617 | PA      | $141541.77     | 0.00%             | 2040-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/31 #604620                                                                           | CUSIP: 31388GVM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $328.29        | 0.00%             | 2031-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2043#AD7475                                                                    | CUSIP: 36180KJU6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17163 | PA      | $16643.37      | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 06/01/2027#                                                                        | CUSIP: 31283GZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $91.37         | 0.00%             | 2027-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE7472                                                                          | CUSIP: 31419JJS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15132 | PA      | $14900.14      | 0.00%             | 2040-12-01      | 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        |      29680 | PA      | $28858.74      | 0.00%             | 2041-03-15      | 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 4.05% 09/25/2028                                                   | CUSIP: 3137FJXV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4200000 | PA      | $4220488.02    | 0.01%             | 2028-09-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MTG TR                                                                     | SEMT 2004-6 A3B TSFR6M+130.826 7/34                                                               | CUSIP: 81744FCU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       7742 | PA      | $7257.79       | 0.00%             | 2034-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2047#AS9990                                                                  | CUSIP: 3138WLC43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     315482 | PA      | $313937.91     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AC2222                                                                  | CUSIP: 36179BPF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26818 | PA      | $24879.22      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.228% 7/41#AI3469                                                                       | CUSIP: 3138AG2B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10756 | PA      | $11238.88      | 0.00%             | 2041-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 3.337%/VAR 01/21/2033 144A                                                | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   17500000 | PA      | $15961982.40   | 0.04%             | 2033-01-21      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720064                                                                           | CUSIP: 3620A55Z8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      69090 | PA      | $69257.49      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020-LAB X CSTR 10/10/2042 144A                                     | CUSIP: 92858TAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40100000 | PA      | $699271.82     | 0.00%             | 2042-10-10      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| AIA GROUP LTD                                                                      | AIA GROUP LTD 3.375% 04/07/2030 144A                                                              | CUSIP: 00131LAJ4<br>LEI: ZP5ILWVSYE4LJGMMVD57 | Long             | DBT              | CORP              | HK        |   30867000 | PA      | $30035653.84   | 0.07%             | 2030-04-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AC9633                                                                  | CUSIP: 36179KV27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13063 | PA      | $12334.26      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | 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        |    1808187 | PA      | $1598618.44    | 0.00%             | 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        |       1647 | PA      | $1655.87       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE4598                                                                  | CUSIP: 36180XDB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      63130 | PA      | $59278.76      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 11/01/2048#CA2656                                                                  | CUSIP: 3140Q95S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1606143 | PA      | $1673722.31    | 0.00%             | 2048-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.567% 07/16/2027 144A                                                           | CUSIP: 62954WAP0<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    5587000 | PA      | $5634140.70    | 0.01%             | 2027-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2042#AQ3314                                                                  | CUSIP: 3138MJVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99332 | PA      | $99353.05      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2040#A93375                                                                  | CUSIP: 312941XC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5292 | PA      | $5304.90       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5857                                                                    | CUSIP: 36196HQJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     381644 | PA      | $365583.82     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 07/15/2040#739708                                                                  | CUSIP: 3620ATYD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2720 | PA      | $2774.88       | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 03/01/2052#CB3174                                                                  | CUSIP: 3140QNQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7185798 | PA      | $6677335.14    | 0.02%             | 2052-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH4471                                                                           | CUSIP: 3138A56H0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39717 | PA      | $38901.45      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.3% 08/15/2031                                                                         | CUSIP: 023551AJ3<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    6610000 | PA      | $7592758.80    | 0.02%             | 2031-08-15      | 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        |    7461551 | PA      | $7019850.19    | 0.02%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0739                                                                  | CUSIP: 3138NWZD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     152561 | PA      | $141015.15     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6.5% 01/01/2056 #TBA                                                                    | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   78725000 | PA      | $81797117.17   | 0.19%             | 2056-01-01      | Fixed         | 0.07%                 | 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        |     400000 | NC      | $61758.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 06/30/2030                                                                       | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  297500000 | PA      | $299742870.35  | 0.69%             | 2030-06-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #413298                                                                           | CUSIP: 36206KDB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        375 | PA      | $378.30        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 02/15/2045#777576                                                                  | CUSIP: 36176VT94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216752 | PA      | $196874.70     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 04/01/2041#AI1360                                                                  | CUSIP: 3138AEQN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     119720 | PA      | $122088.18     | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #605721                                                                          | CUSIP: 36200N4E8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1178 | PA      | $1252.29       | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/40 #723739                                                                           | CUSIP: 3620AABG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65224 | PA      | $63377.16      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/40#V81744                                                                       | CUSIP: 3132L65D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     500560 | PA      | $481272.73     | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 10/01/2045#AL7413                                                                  | CUSIP: 3138EQGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163915 | PA      | $158921.76     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13121                                                                  | CUSIP: 3132HPPE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     235744 | PA      | $230272.16     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2055#SL0430                                                                    | CUSIP: 31427MPQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4001969 | PA      | $4180553.23    | 0.01%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 3.091%/VAR 05/14/2032 144A                                                           | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   13398000 | PA      | $12430292.20   | 0.03%             | 2032-05-14      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                               | BOSTON PROPERTIES LP 3.25% 01/30/2031                                                             | CUSIP: 10112RBD5<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   16564000 | PA      | $15534891.27   | 0.04%             | 2031-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 5.95% 09/26/2055                                                                      | CUSIP: 68389XDR3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   17723000 | PA      | $15702830.02   | 0.04%             | 2055-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 4.5% 04/15/2050                                                                  | CUSIP: 87264AAZ8<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   10830000 | PA      | $8920220.69    | 0.02%             | 2050-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #475908                                                                           | CUSIP: 36209MU93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        651 | PA      | $660.59        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 09/15/2039#713871                                                                  | CUSIP: 36297KCG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      52091 | PA      | $52193.90      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #450614                                                                          | CUSIP: 36208GSB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $114.51        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OHACP 2024-17A                                                                     | OHACP 2024-17A A TSFR3M+132 01/18/2038 144A                                                       | CUSIP: 67120MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   11276000 | PA      | $11293917.56   | 0.03%             | 2038-01-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                             | CARMAX SELECT RECEIVABLES TRUST 2024-A 5.78% 09/15/2027                                           | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1023077 | PA      | $1024978.62    | 0.00%             | 2027-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #738106                                                                           | CUSIP: 3620ASAF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31397 | PA      | $32032.80      | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | 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        |   35930000 | NC      | $189911.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #550440                                                                           | CUSIP: 36213CPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $116.53        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43#AR5355                                                                      | CUSIP: 3138W25R2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59575 | PA      | $56500.00      | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 7/40 #004923                                                                        | CUSIP: 36202FPG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     217172 | PA      | $217261.79     | 0.00%             | 2041-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2043#Q19606                                                                  | CUSIP: 3132JBDL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112138 | PA      | $109415.64     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#727029                                                                  | CUSIP: 31402EVW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2906 | PA      | $2919.48       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 8.3% 03/15/2028                                                    | CUSIP: 105340AR4<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   33242000 | PA      | $35045112.56   | 0.08%             | 2028-03-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/39 #935695                                                                          | CUSIP: 31412U7G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28682 | PA      | $28709.65      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/36 #888342                                                                           | CUSIP: 31410F5B7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150072 | PA      | $156758.06     | 0.00%             | 2036-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2171                                                                  | CUSIP: 3138MHMV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123049 | PA      | $113717.24     | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 10/1/41 #AL1697                                                                    | CUSIP: 3138EH3F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27024 | PA      | $26470.97      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                        | MERCHANTS FLEET FUNDING LLC 7.21% 05/20/2036 144A                                                 | CUSIP: 588926AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4658790 | PA      | $4679496.83    | 0.01%             | 2036-05-20      | Fixed         | 0.07%                 | 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        |        458 | PA      | $0.03          | 0.00%             | 2032-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A                                      | HAMLIN PK CLO LTD / HAMLIN PK CLO LLC 2024-1A A TSFR3M+134 10/20/2037 144A                        | CUSIP: 407907AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   28343000 | PA      | $28439337.86   | 0.07%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2045#AN5671                                                                  | CUSIP: 36186NJQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46822 | PA      | $45177.56      | 0.00%             | 2045-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #513746                                                                           | CUSIP: 36211HWF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         18 | PA      | $18.30         | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GILDAN ACTIVEWEAR INC                                                              | GILDAN ACTIVEWEAR INC 4.7% 10/07/2030 144A                                                        | CUSIP: 375916AF0<br>LEI: 549300SB3IBI34M00Z45 | Long             | DBT              | CORP              | CA        |    3451000 | PA      | $3434065.18    | 0.01%             | 2030-10-07      | Fixed         | 0.05%                 | 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        |      58671 | PA      | $61128.00      | 0.00%             | 2033-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2051#                                                                        | CUSIP: 3140L0K55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3524238 | PA      | $3282574.20    | 0.01%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3366 FD SOFR30A+36.448 5/37                                                                   | CUSIP: 31397KMB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     185986 | PA      | $183762.25     | 0.00%             | 2037-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2046#G60561                                                                  | CUSIP: 31335ATS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26867 | PA      | $25339.94      | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #482687                                                                           | CUSIP: 36209VF41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.13         | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #520559                                                                          | CUSIP: 31384DJC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2601 | PA      | $2723.25       | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8994                                                                    | CUSIP: 3617M77F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12200 | PA      | $11226.76      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #778681                                                                          | CUSIP: 36176W2N0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     209588 | PA      | $203177.91     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2348                                                                    | CUSIP: 3140QMTE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10182234 | PA      | $8372532.01    | 0.02%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/35 #AD0723                                                                          | CUSIP: 31418MYV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30738 | PA      | $32227.23      | 0.00%             | 2035-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2047#Q48759                                                                  | CUSIP: 3132WNWV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1978764 | PA      | $1973276.59    | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7382                                                                    | CUSIP: 31419JFY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51413 | PA      | $50651.48      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GESV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96868 | PA      | $97010.33      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/43#AQ1113                                                                      | CUSIP: 3138MGGX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231797 | PA      | $215620.19     | 0.00%             | 2043-01-01      | 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        |   16524493 | PA      | $14980421.38   | 0.03%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #833016                                                                           | CUSIP: 31407KN96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $167.96        | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 5/45#Q33470                                                                             | CUSIP: 3132QP2C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56641 | PA      | $51812.16      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 6/41 #005082                                                                        | CUSIP: 36202FUF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1275360 | PA      | $1275562.38    | 0.00%             | 2041-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #773365                                                                           | CUSIP: 36176Q6A7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32623 | PA      | $30908.14      | 0.00%             | 2042-03-15      | 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        |     202701 | PA      | $197788.08     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2025-1 LTD                                              | PALMER SQUARE LOAN FUNDING 2025-1 LTD A1 TSFR3M+80 02/15/2033 144A                                | CUSIP: 69704CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28776965 | PA      | $28729799.28   | 0.07%             | 2033-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/32 #643194                                                                           | CUSIP: 31390DRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2372 | PA      | $2470.78       | 0.00%             | 2032-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/29 #323704                                                                           | CUSIP: 31374TRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        164 | PA      | $172.89        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2054#DB0820                                                                  | CUSIP: 3140A94E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2124484 | PA      | $2163416.86    | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2051#                                                                        | CUSIP: 3133AFYY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     513777 | PA      | $478867.65     | 0.00%             | 2051-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/28 #416921                                                                           | CUSIP: 31379ED20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $37.54         | 0.00%             | 2028-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 12/15/2041#778657                                                                  | CUSIP: 36176WZW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17894 | PA      | $16980.27      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 11/01/2032#C73584                                                                    | CUSIP: 31288B6V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32194 | PA      | $33445.79      | 0.00%             | 2032-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #780551                                                                           | CUSIP: 36225ATG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.01          | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | 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        |     164894 | PA      | $152527.56     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 4.65% 03/20/2031                                                               | CUSIP: 15135UBA6<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |    8440000 | PA      | $8413719.53    | 0.02%             | 2031-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 2/41 #AH5581                                                                           | CUSIP: 3138A7FX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12195 | PA      | $12207.31      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 4/40 #723743                                                                           | CUSIP: 3620AABL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29036 | PA      | $28283.92      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.532% 10/01/2030 144A                                                   | CUSIP: 266233AH8<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   10574000 | PA      | $9605875.86    | 0.02%             | 2030-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #474767                                                                           | CUSIP: 36209LMQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        210 | PA      | $217.20        | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 9/33 #C01622                                                                           | CUSIP: 31292HYT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23727 | PA      | $24160.59      | 0.00%             | 2033-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2046#AS6486                                                                    | CUSIP: 3138WGF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     259351 | PA      | $252302.37     | 0.00%             | 2046-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.625% 03/15/2032                                                                         | CUSIP: 404119CK3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    4185000 | PA      | $3952858.93    | 0.01%             | 2032-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 4/1/43 #AB9017                                                                     | CUSIP: 31417GAT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47967 | PA      | $44380.40      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2041#AI5633                                                                  | CUSIP: 3138AKHK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23684 | PA      | $24150.66      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/27 #780631                                                                           | CUSIP: 36225AVY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $33.00         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C3 MTG TR                                                                 | BMO 2022-C3 MTG TR 22-C3 ASB VAR 09/15/2054                                                       | CUSIP: 05602QAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6607000 | PA      | $6847567.48    | 0.02%             | 2054-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-62 KP PO 0% 4/36                                                                         | CUSIP: 31395N6X0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      76368 | PA      | $65469.27      | 0.00%             | 2036-04-25      | Fixed         | 0.00%                 | 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        |    2769465 | PA      | $2601663.20    | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2040#                                                                          | CUSIP: 312940LA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36971 | PA      | $37746.62      | 0.00%             | 2040-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/31 #551661                                                                           | CUSIP: 36213DZ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2183 | PA      | $2271.12       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OREILLY AUTOMOTIVE INC                                                             | OREILLY AUTOMOTIVE INC 4.2% 04/01/2030                                                            | CUSIP: 67103HAJ6<br>LEI: 549300K2RLMQL149Q332 | Long             | DBT              | CORP              | US        |    4968000 | PA      | $4954311.87    | 0.01%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2031#BD6126                                                                  | CUSIP: 3140FDYY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529121 | PA      | $512480.03     | 0.00%             | 2031-09-01      | Fixed         | 0.03%                 | 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        |       6168 | PA      | $6441.27       | 0.00%             | 2029-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1280                                                                  | CUSIP: 3140QLM60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22001902 | PA      | $18814831.81   | 0.04%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 4/34 #574566                                                                           | CUSIP: 36200WJK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2109 | PA      | $2160.58       | 0.00%             | 2034-04-15      | 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 4.0% 12/15/2040                                                    | CUSIP: 3137BJGM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     302798 | PA      | $301496.84     | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2040#V81771                                                                  | CUSIP: 3132L66G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     137654 | PA      | $132393.02     | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24546                                                                  | CUSIP: 3132M4WF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     115051 | PA      | $112028.65     | 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        |    1379800 | PA      | $1314574.16    | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 02/01/2056 #TBA                                                                      | CUSIP: 21H052629<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  345850000 | PA      | $348918069.94  | 0.80%             | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 04/20/2047                                                      | CUSIP: 38380UVE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2239657 | PA      | $2113029.24    | 0.00%             | 2047-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.375% 05/01/2047 | CUSIP: 161175BL7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   83513000 | PA      | $68793383.61   | 0.16%             | 2047-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2055#DD9598                                                                  | CUSIP: 3140BAUY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360521 | PA      | $365663.20     | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | 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        |   16005012 | PA      | $14509480.88   | 0.03%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2048#MA3307                                                                  | CUSIP: 31418CU93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     280127 | PA      | $278317.57     | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | 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        |    2392846 | PA      | $2534935.80    | 0.01%             | 2055-03-01      | 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 VAR 05/25/2030                                                     | CUSIP: 3137HN4R6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5700000 | PA      | $5770286.70    | 0.01%             | 2030-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #449061                                                                          | CUSIP: 36208EZ22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        161 | PA      | $162.68        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #737111                                                                           | CUSIP: 3620AQ3U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      71670 | PA      | $71783.35      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552550                                                                          | CUSIP: 36213EZP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     140556 | PA      | $136302.87     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE2683                                                                          | CUSIP: 31419C6V0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13825 | PA      | $13572.39      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |   31513046 | PA      | $24427932.89   | 0.06%             | 2051-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2047#AS9602                                                                  | CUSIP: 3138WKU45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     131061 | PA      | $130419.54     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #303856                                                                           | CUSIP: 31373UQH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $27.28         | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | 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        |    5904453 | PA      | $6156863.08    | 0.01%             | 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        |      92259 | PA      | $85340.30      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#BC8334                                                                    | CUSIP: 3140F4HL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122288 | PA      | $118658.98     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 06/01/2032#                                                                        | CUSIP: 31287T5N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4609 | PA      | $4915.88       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | 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        |    4629378 | PA      | $4347736.71    | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/41 #G06719                                                                           | CUSIP: 3128M8YQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     788497 | PA      | $790114.25     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 7/29 #C29204                                                                           | CUSIP: 31293TGM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        203 | PA      | $208.13        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | 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        |      51927 | PA      | $50944.09      | 0.00%             | 2032-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE1526                                                                  | CUSIP: 3140FLVU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45870 | PA      | $43154.95      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #339493                                                                           | CUSIP: 31375NC66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        154 | PA      | $153.31        | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#AA6286                                                                  | CUSIP: 36178D6X4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45923 | PA      | $42181.26      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 08/01/2042#Q10217                                                                    | CUSIP: 3132HLG23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27353 | PA      | $25428.31      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 12/20/2039#004592                                                                  | CUSIP: 36202FC53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     184195 | PA      | $181082.93     | 0.00%             | 2039-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2037#AB8009                                                                  | CUSIP: 31417E3T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9691 | PA      | $9728.93       | 0.00%             | 2037-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.0% 12/20/2042#AA5872                                                                    | CUSIP: 36178DQZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     624172 | PA      | $574743.02     | 0.00%             | 2042-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #427281                                                                          | CUSIP: 36207BUE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49 | PA      | $49.76         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 04/01/2040#AL0013                                                                  | CUSIP: 3138EGAP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47348 | PA      | $50002.84      | 0.00%             | 2040-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #582105                                                                           | CUSIP: 36201FU62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1497 | PA      | $1550.39       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #711174                                                                           | CUSIP: 36297GCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      37771 | PA      | $37862.27      | 0.00%             | 2040-02-15      | 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        |        311 | PA      | $313.30        | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #446830                                                                           | CUSIP: 36208CLK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        390 | PA      | $396.03        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21835                                                                  | CUSIP: 3132JPBC5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190494 | PA      | $185732.17     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | 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        |    8828457 | PA      | $7297988.02    | 0.02%             | 2050-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293L6C3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        244 | PA      | $250.74        | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2043#AD5663                                                                  | CUSIP: 36180HJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     162459 | PA      | $157101.67     | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/31 #253895                                                                           | CUSIP: 31371J7G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         99 | PA      | $104.57        | 0.00%             | 2031-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #451506                                                                          | CUSIP: 36208HR32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         35 | PA      | $35.71         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#C03486                                                                  | CUSIP: 31292K2T3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38808 | PA      | $38906.38      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FINANCIAL CORP 5.817%/VAR 02/01/2034                                                  | CUSIP: 14040HCY9<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    9574000 | PA      | $10020419.34   | 0.02%             | 2034-02-01      | Variable      | 0.06%                 | 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        |   43244530 | PA      | $43284548.53   | 0.10%             | 2041-04-15      | Variable      | 0.05%                 | 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        |      89057 | PA      | $86562.93      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2043#AU1335                                                                  | CUSIP: 3138X0PV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96735 | PA      | $91962.85      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #552554                                                                          | CUSIP: 36213EZT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     290256 | PA      | $281898.59     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 04/01/2042#MA1028                                                                  | CUSIP: 31418AEA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47051 | PA      | $45916.78      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H14 FC TSFR1M+61.448 5/61                                                                | CUSIP: 38375BMB5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     133448 | PA      | $133476.24     | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8185                                                                    | CUSIP: 31419KCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86124 | PA      | $84182.87      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |    2306270 | PA      | $2053468.31    | 0.00%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #735744                                                                           | CUSIP: 31402RLZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4025 | PA      | $4221.31       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 12/01/2027#                                                                        | CUSIP: 31283G6V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $11.77         | 0.00%             | 2027-12-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5% 03/01/2032 144A                                                                       | CUSIP: 571676AZ8<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   21623000 | PA      | $22287782.49   | 0.05%             | 2032-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2047#Q46222                                                                  | CUSIP: 3132WK4G0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     541447 | PA      | $540114.38     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #443819                                                                           | CUSIP: 31380MAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        535 | PA      | $562.66        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513681                                                                           | CUSIP: 36211HUE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        477 | PA      | $484.34        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2041#MA4312                                                                  | CUSIP: 31418DYJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3486948 | PA      | $3145178.82    | 0.01%             | 2041-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REACH ABS TR 2025-2                                                                | REACH ABS TR 2025-2 4.93% 08/18/2032 144A                                                         | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7260854 | PA      | $7289796.27    | 0.02%             | 2032-08-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 4.35% 01/15/2029                                                                   | CUSIP: 87612GAR2<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   10769000 | PA      | $10798900.99   | 0.02%             | 2029-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.99% 5/34 #725828                                                                       | CUSIP: 31402DLH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24279 | PA      | $24540.66      | 0.00%             | 2034-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #508377                                                                           | CUSIP: 31383NXE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3386 | PA      | $3528.33       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 4.95% 06/15/2028                                                               | CUSIP: 29278NAF0<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   18799000 | PA      | $19109754.80   | 0.04%             | 2028-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 10YR NOTE FUT (CBT)MAR26 TYH6                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        494 | NC      | $-166320.82    | -0.00%            |  |  |  | No            |                  1 | 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        |    2776477 | PA      | $2720685.60    | 0.01%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 01/01/2056 #TBA                                                                    | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -95575000 | PA      | $-93278963.55  | -0.21%            | 2056-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 7/32 #545762                                                                           | CUSIP: 31385JJF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2276 | PA      | $2378.48       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP PAY 3.853 09/16/30                                                                      | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    7100000 | NC      | $272462.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 01/01/2037#932030                                                                  | CUSIP: 31412QPP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1119100 | PA      | $1177869.83    | 0.00%             | 2037-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR TSFR1M+151.448 03/15/2026 144A                                               | CUSIP: 53218CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4569600 | PA      | $4543966.37    | 0.01%             | 2038-03-15      | Variable      | 0.05%                 | 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        |   10782331 | PA      | $9407461.56    | 0.02%             | 2042-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15893                                                                  | CUSIP: 3132J67F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     114632 | PA      | $111605.94     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #829377                                                                           | CUSIP: 31407FM23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6060 | PA      | $6376.12       | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO and CO                                                                 | WELLS FARGO and CO NEW 5.605%/VAR 04/23/2036                                                      | CUSIP: 95000U3V3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |   35549000 | PA      | $37259325.31   | 0.09%             | 2036-04-23      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/30 #493530                                                                          | CUSIP: 36210JHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1796 | PA      | $1854.66       | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #451321                                                                           | CUSIP: 36208HLA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $30.08         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H01 FA TSFR1M+81.448 11/61                                                               | CUSIP: 38375BNX6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     174351 | PA      | $174759.99     | 0.00%             | 2061-11-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 07/45#AZ5847                                                                       | CUSIP: 3138YXP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     584723 | PA      | $536327.94     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 10/01/2049#QA3225                                                                    | CUSIP: 31339SSN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     123805 | PA      | $110969.64     | 0.00%             | 2049-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #486846                                                                           | CUSIP: 36210AZK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         71 | PA      | $72.10         | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #698387                                                                           | CUSIP: 36296Q2U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1454 | PA      | $1482.79       | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 12/01/2061   | CUSIP: 161175CC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   51000000 | PA      | $33355379.04   | 0.08%             | 2061-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 2.5% 02/25/2052                                                                        | CUSIP: 3136BMM70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   11025433 | PA      | $10575412.73   | 0.02%             | 2052-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AR9195                                                                  | CUSIP: 3138W7GD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22309 | PA      | $20651.10      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC                                    | MADISON PK FDG XLV LTD / MADISON PK FDG XLV LLC ARR TSFR3M+108 07/15/2034 144A                    | CUSIP: 55820BAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27800000 | PA      | $27811425.80   | 0.06%             | 2034-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 4/45#Q32729                                                                             | CUSIP: 3132QPA79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172714 | PA      | $158333.90     | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | 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        |     102437 | PA      | $100642.43     | 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        |       2137 | PA      | $2034.90       | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 9/39 #A90185                                                                           | CUSIP: 312938F24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $454.38        | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #353838                                                                           | CUSIP: 36203NBF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $74.03         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD1736                                                                  | CUSIP: 36180C4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1079459 | PA      | $1020594.10    | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030008 12/17/57 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    1400000 | NC      | $111222.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #443405                                                                           | CUSIP: 36207VR24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         67 | PA      | $67.97         | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7946                                                                  | CUSIP: 31417EZL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15822 | PA      | $14672.04      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 01/01/2056 #TBA                                                                    | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  397550000 | PA      | $403093954.02  | 0.93%             | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 04/30/2032                                                                           | CUSIP: 91282CNA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  313000000 | PA      | $315029610.94  | 0.73%             | 2032-04-30      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/29 #477011                                                                          | CUSIP: 36209N3U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $85.66         | 0.00%             | 2029-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2047#BM3114                                                                    | CUSIP: 3140J7N84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1230345 | PA      | $1122394.49    | 0.00%             | 2047-03-01      | Fixed         | 0.03%                 | 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        |    2089782 | PA      | $1976522.29    | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #625027                                                                           | CUSIP: 31389GLG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $287.58        | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #844228                                                                          | CUSIP: 31407X4M0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43800 | PA      | $45466.27      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | 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        |     114367 | PA      | $111986.92     | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 02/15/2043#AD2180                                                                  | CUSIP: 36180DM53<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      39728 | PA      | $37511.85      | 0.00%             | 2043-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF CSTR 09/25/2030                                                        | CUSIP: 3136B3DE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1416341 | PA      | $1401660.31    | 0.00%             | 2030-09-25      | Variable      | 0.04%                 | 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        |     774243 | PA      | $824150.35     | 0.00%             | 2055-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 04/20/2031#MA3572                                                                    | CUSIP: 36179R6H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     840066 | PA      | $824217.85     | 0.00%             | 2031-04-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 4.9% 09/15/2030                                                                    | CUSIP: 87612GAP6<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   14983000 | PA      | $15265948.86   | 0.04%             | 2030-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE PRIVATE CREDIT FUND                                                     | BLACKSTONE PRIVATE CREDIT FUND 2.625% 12/15/2026                                                  | CUSIP: 09261HAD9<br>LEI: 549300ORP3TTCNXSYO43 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $29472193.80   | 0.07%             | 2026-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/36 #A79236                                                                           | CUSIP: 3128LDHM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145210 | PA      | $148128.61     | 0.00%             | 2036-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #747153                                                                           | CUSIP: 3620C3BW1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33610 | PA      | $34288.58      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/40 #723616                                                                           | CUSIP: 3620A93Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1770 | PA      | $1805.54       | 0.00%             | 2040-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2055#CC0730                                                                    | CUSIP: 3140Y6Y46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18881274 | PA      | $19489294.27   | 0.04%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2042#Q06232                                                                  | CUSIP: 3132GRHH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     497362 | PA      | $486064.68     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2042#Q12215                                                                  | CUSIP: 3132HNN88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18741 | PA      | $18258.38      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #446822                                                                           | CUSIP: 36208CLB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         45 | PA      | $45.65         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | 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        |      53181 | PA      | $49192.45      | 0.00%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.21% 3/36 #1G1851                                                                       | CUSIP: 3128QSBU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43207 | PA      | $44057.49      | 0.00%             | 2036-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/36 #654552                                                                          | CUSIP: 36294NEZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3908 | PA      | $4154.18       | 0.00%             | 2036-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/40 #AE3014                                                                           | CUSIP: 31419DK42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19190 | PA      | $19243.00      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#BA3906                                                                  | CUSIP: 3140E8KU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86400 | PA      | $82154.91      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                  | STORE CAPITAL LLC 2.75% 11/18/2030                                                                | CUSIP: 862121AC4<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |    8515000 | PA      | $7752190.03    | 0.02%             | 2030-11-18      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OBX 2025-NQM14 A1                                                                  | OBX 2025-NQM14 STEP 08/25/2064 144A                                                               | CUSIP: 673924AC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2635811 | PA      | $2646814.69    | 0.01%             | 2065-07-25      | Variable      | 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        |     370000 | NC      | $61786.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.804 08/25/26                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   34790000 | NC      | $630377.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2041#AJ1879                                                                  | CUSIP: 3138ATCR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12343 | PA      | $11848.71      | 0.00%             | 2041-12-01      | 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        |    7121752 | PA      | $6398828.33    | 0.01%             | 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        |    3219049 | PA      | $3226060.51    | 0.01%             | 2054-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #456205                                                                           | CUSIP: 36208NYA5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $42.98         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #569880                                                                           | CUSIP: 36200RCR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         66 | PA      | $68.37         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2004-73 AL TSFR1M+708.552 8/34                                                                | CUSIP: 38374H2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      51918 | PA      | $4986.71       | 0.00%             | 2034-08-17      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4113                                                                          | CUSIP: 31419ESB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297142 | PA      | $291406.67     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 02/01/2028#FS3865                                                                    | CUSIP: 3140XKJK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4082699 | PA      | $4015082.13    | 0.01%             | 2028-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/40 #AB1379                                                                           | CUSIP: 31416WQ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1452 | PA      | $1455.53       | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.25% 04/01/2053  | CUSIP: 161175CK8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11329000 | PA      | $8959488.10    | 0.02%             | 2053-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/39 #710714                                                                           | CUSIP: 36297FSB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21114 | PA      | $21152.15      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15062                                                                  | CUSIP: 3132J6B86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     105092 | PA      | $97366.53      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #678637                                                                           | CUSIP: 36295R4W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17992 | PA      | $17508.02      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | 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        |        741 | PA      | $787.75        | 0.00%             | 2035-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #579718                                                                           | CUSIP: 36201DAT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        238 | PA      | $246.00        | 0.00%             | 2032-08-15      | 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        |     126885 | PA      | $127298.71     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2044#Q27067                                                                  | CUSIP: 3132M7QU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96379 | PA      | $93695.06      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/27 #250853                                                                           | CUSIP: 31371FTJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $56.95         | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE PRODUCTS OPERATING LLC                                                  | ENTERPRISE PRODS OPER LLC 3.7% 02/15/2026                                                         | CUSIP: 29379VBH5<br>LEI: 5493004LGN656HWLDA30 | Long             | DBT              | CORP              | US        |    8600000 | PA      | $8594206.44    | 0.02%             | 2026-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34030                                                                  | CUSIP: 3132QQPQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     247068 | PA      | $226788.03     | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WALT DISNEY CO/THE                                                                 | WALT DISNEY CO/THE 3.6% 01/13/2051                                                                | CUSIP: 254687FZ4<br>LEI: 549300GZKULIZ0WOW665 | Long             | DBT              | CORP              | US        |   25350000 | PA      | $18829180.97   | 0.04%             | 2051-01-13      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722700                                                                          | CUSIP: 3620A83H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29973 | PA      | $30014.09      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1150                                                                  | CUSIP: 3138NXH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29495 | PA      | $27222.47      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | 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        |     179111 | PA      | $174827.02     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/41 #Q01181                                                                           | CUSIP: 3132GEJ27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5871 | PA      | $5880.78       | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 3.95% 07/15/2030 144A                                                                    | CUSIP: 00130HCC7<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   42717000 | PA      | $41693227.29   | 0.10%             | 2030-07-15      | 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        |    3536017 | PA      | $3421835.69    | 0.01%             | 2031-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 06/01/2038#MA3388                                                                  | CUSIP: 31418CXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124417 | PA      | $121445.43     | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2034#805555                                                                  | CUSIP: 31406B5Q9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3215 | PA      | $3229.63       | 0.00%             | 2034-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 10/01/2041#AL4242                                                                  | CUSIP: 3138ELWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     660813 | PA      | $673883.34     | 0.00%             | 2041-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ4047                                                                          | CUSIP: 3138AVP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1539747 | PA      | $1506827.59    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02189                                                                  | CUSIP: 3132GFNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44403 | PA      | $45145.92      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL5                                                            | BX COML MTG TR 2024-XL5 A TSFR1M+139.165 03/15/2041 144A                                          | CUSIP: 05612GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   66781802 | PA      | $66822919.65   | 0.15%             | 2041-03-15      | Variable      | 0.05%                 | 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        |   14633493 | PA      | $12573216.98   | 0.03%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUT LIFE INS CO                                                       | NORTHWESTERN MUT LIFE INS CO 6.063% 03/30/2040 144A                                               | CUSIP: 668131AA3<br>LEI: 1DU7IM20QESYGDO4HO54 | Long             | DBT              | CORP              | US        |       2000 | PA      | $2125.38       | 0.00%             | 2040-03-30      | Fixed         | 0.06%                 | 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        |    1360874 | PA      | $1227908.04    | 0.00%             | 2041-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| NXP B V/NXP FDG LLC/NXP USA INC                                                    | NXP B V/NXP FDG LLC/NXP USA INC 4.85% 08/19/2032                                                  | CUSIP: 62954HBG2<br>LEI: N/A                  | Long             | DBT              | CORP              | NL        |   12331000 | PA      | $12395906.56   | 0.03%             | 2032-08-19      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2035#                                                                          | CUSIP: 31297TTR4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2389 | PA      | $2435.63       | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/37 #678760                                                                          | CUSIP: 36295SB54<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        511 | PA      | $533.02        | 0.00%             | 2037-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST                                                              | TMTS 2003-4HE A TSFR1M+97.448 9/34                                                                | CUSIP: 881561BU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      47182 | PA      | $50691.52      | 0.00%             | 2034-09-25      | Variable      | 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        |     814499 | PA      | $827030.29     | 0.00%             | 2035-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H14 FB TSFR1M+61.448 5/61                                                                | CUSIP: 38375BLZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     161967 | PA      | $162000.62     | 0.00%             | 2061-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AE4585                                                                           | CUSIP: 31419FCX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106674 | PA      | $104513.47     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31292HZM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        282 | PA      | $287.33        | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/41 #430360                                                                           | CUSIP: 36207FB59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12629 | PA      | $12648.87      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/40 #941592                                                                           | CUSIP: 31413CRM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10848 | PA      | $10851.17      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TARGA RES CORP                                                                     | TARGA RES CORP 5.65% 02/15/2036                                                                   | CUSIP: 87612GAQ4<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |   36079000 | PA      | $37060155.78   | 0.09%             | 2036-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #455124                                                                           | CUSIP: 36208MSM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $22.84         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                         | ARES STRATEGIC INCOME FUND 5.8% 09/09/2030 144A                                                   | CUSIP: 04020EAK3<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |   19729000 | PA      | $19920029.79   | 0.05%             | 2030-09-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #710988                                                                          | CUSIP: 36297F2V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3379 | PA      | $3446.59       | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 7.69% 01/23/2050                                                              | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |  117141000 | PA      | $104998163.94  | 0.24%             | 2050-01-23      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                     | MASTERCARD INC 3.35% 03/26/2030                                                                   | CUSIP: 57636QAP9<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    4213000 | PA      | $4113948.41    | 0.01%             | 2030-03-26      | 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 4.421% 05/25/2030                                                  | CUSIP: 3137HN6B9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16600000 | PA      | $16842600.70   | 0.04%             | 2030-05-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.829%/VAR 05/09/2027                                                                | CUSIP: 06738ECF0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   33090000 | PA      | $33276209.67   | 0.08%             | 2027-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OHA CR FDG 6 LTD / OHA CR FDG 6 LLC                                                | OHA CR FDG 6 LTD / OHA CR FDG 6 LLC AR2 TSFR3M+133 10/20/2037 144A                                | CUSIP: 67098UAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26023000 | PA      | $26057350.36   | 0.06%             | 2037-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #353726                                                                           | CUSIP: 36203M4K3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        696 | PA      | $706.40        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1910                                                                  | CUSIP: 3138NYDQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189633 | PA      | $175503.70     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #486804                                                                           | CUSIP: 36210AX93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        296 | PA      | $300.84        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | 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        |     123589 | PA      | $117926.87     | 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        |      55731 | PA      | $55813.31      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2039#                                                                        | CUSIP: 3129342K7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1658 | PA      | $1662.84       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.2% 06/15/2028                                                                | CUSIP: 756109BJ2<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    3445000 | PA      | $3304178.39    | 0.01%             | 2028-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #830817                                                                          | CUSIP: 31407HAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        850 | PA      | $894.73        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 6.45% 09/15/2036                                                        | CUSIP: 674599DF9<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   15883000 | PA      | $16926917.64   | 0.04%             | 2036-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-3 LTD                                                          | INVESCO US CLO 2024-3 LTD A TSFR3M+151 07/20/2037 144A                                            | CUSIP: 46148HAB4<br>LEI: 254900GU4U8LUX3GA959 | Long             | ABS-CBDO         | CORP              | JE        |   24935000 | PA      | $25015689.66   | 0.06%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/47#Q47942                                                                       | CUSIP: 3132WMZG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     475540 | PA      | $474221.42     | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #499337                                                                           | CUSIP: 31383CV69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2313 | PA      | $2403.68       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/2041#G06800                                                                  | CUSIP: 3128M83H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     156528 | PA      | $153432.97     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 10/30 #515513                                                                          | CUSIP: 36211KVE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8661 | PA      | $8924.97       | 0.00%             | 2030-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #556227                                                                           | CUSIP: 36213J4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        940 | PA      | $973.70        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 4.025 04/23/30                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    9280000 | NC      | $313007.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 02/01/2041#RB5100                                                                    | CUSIP: 3133KYUZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2903256 | PA      | $2556204.51    | 0.01%             | 2041-02-01      | Fixed         | 0.02%                 | 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        |     203001 | PA      | $22295.06      | 0.00%             | 2044-01-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2050#RA2794                                                                  | CUSIP: 3133KJC75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7034809 | PA      | $6567807.13    | 0.02%             | 2050-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT3659                                                                  | CUSIP: 3138WRB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15036 | PA      | $13841.24      | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #848099                                                                          | CUSIP: 31408DGG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1300 | PA      | $1358.64       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | 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        |     132835 | PA      | $130104.64     | 0.00%             | 2041-10-01      | 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 5330 FA SOFR30A+105 08/25/2053                                     | CUSIP: 3137HAFW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    7354082 | PA      | $7363689.66    | 0.02%             | 2053-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #357040                                                                           | CUSIP: 31376JS59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        895 | PA      | $931.75        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0851                                                                          | CUSIP: 3138A15M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34618 | PA      | $33882.59      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3% 02/15/2049                                                         | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  271460000 | PA      | $199968462.71  | 0.46%             | 2049-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 8/39 #AC4495                                                                           | CUSIP: 31417N7H8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10162 | PA      | $9993.55       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #250736                                                                          | CUSIP: 31371FPV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $7.03          | 0.00%             | 2026-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2042#779398                                                                  | CUSIP: 36176XUX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7291 | PA      | $6877.32       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/41 #760147                                                                           | CUSIP: 36176AHY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        120 | PA      | $119.91        | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/48#CA1199                                                                         | CUSIP: 3140Q8KM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19220 | PA      | $18607.61      | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293S6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $224.79        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/32 #593212                                                                           | CUSIP: 36201UAM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68707 | PA      | $70905.41      | 0.00%             | 2032-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5425 FK SOFR30A+120 06/25/2054                                     | CUSIP: 3137HCYX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    5213684 | PA      | $5245648.42    | 0.01%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 03/18/29                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        | -575873000 | NC      | $-877532.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #711533                                                                           | CUSIP: 36297GPS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12399 | PA      | $12650.81      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-B18 MORTGAGE TRUST                                                  | BENCHMARK 2020-B18 MORTGAGE TRUST CSTR 07/15/2053                                                 | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   41380671 | PA      | $2035602.12    | 0.00%             | 2053-07-15      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 06/01/2054#FS8226                                                                  | CUSIP: 3140XQD87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4812873 | PA      | $5082122.15    | 0.01%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 05/51#MA7368                                                                           | CUSIP: 36179WFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3196188 | PA      | $2875838.96    | 0.01%             | 2051-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726956                                                                           | CUSIP: 31402ETM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24550 | PA      | $24663.45      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.280% 3/35 #843014                                                                      | CUSIP: 31407WSB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9392 | PA      | $9558.37       | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #711450                                                                           | CUSIP: 36297GL73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13423 | PA      | $13051.75      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #529408                                                                           | CUSIP: 36212CDM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        570 | PA      | $589.62        | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2041#Q04636                                                                  | CUSIP: 3132GKY91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7856 | PA      | $7699.52       | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | 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        |     240000 | NC      | $40077.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALLEGRO CLO LTD                                                                    | ALLEGRO CLO LTD 2021-1A A1R TSFR3M+134 07/20/2038 144A                                            | CUSIP: 01750WAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   21007000 | PA      | $21057689.89   | 0.05%             | 2038-07-20      | Variable      | 0.05%                 | 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        |   90937897 | PA      | $74292278.52   | 0.17%             | 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        |       5223 | PA      | $4889.61       | 0.00%             | 2049-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                              | AMRIZE FINANCE US LLC 4.6% 04/07/2027                                                             | CUSIP: 43475RAP1<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |   36803000 | PA      | $37045203.49   | 0.09%             | 2027-04-07      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2049#BL1666                                                                    | CUSIP: 3617JDZ77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     281422 | PA      | $259261.24     | 0.00%             | 2049-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.81% 1/36 #1J1262                                                                       | CUSIP: 3128NHMK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8403 | PA      | $8547.74       | 0.00%             | 2036-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 01/01/2056 #TBA                                                                    | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |   -1450000 | PA      | $-1339494.20   | -0.00%            | 2056-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #590407                                                                           | CUSIP: 36201Q3Q4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        548 | PA      | $568.75        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BABSON CLO LTD/CAYMAN ISLANDS                                                      | BABSON CLO LTD/CAYMAN ISLANDS A1R2 TSFR3M+126 01/15/2038 144A                                     | CUSIP: 06762LAR9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17946000 | PA      | $17987275.80   | 0.04%             | 2038-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2047#Q45635                                                                  | CUSIP: 3132WKHM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     117855 | PA      | $117565.35     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #461493                                                                           | CUSIP: 36208UUS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37 | PA      | $37.62         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | 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        |    5503060 | PA      | $5719394.37    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.16% 9/35 #850124                                                                       | CUSIP: 31408FPH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3797 | PA      | $3906.89       | 0.00%             | 2035-09-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1270                                                                  | CUSIP: 3138NXMU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30737 | PA      | $28382.40      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2031#                                                                          | CUSIP: 31292HJK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2987 | PA      | $3091.44       | 0.00%             | 2031-04-01      | 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        |      10712 | PA      | $10077.98      | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/31 #548452                                                                           | CUSIP: 36213AH56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7074 | PA      | $7309.47       | 0.00%             | 2031-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2047#BH0937                                                                  | CUSIP: 3140GPBF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      52057 | PA      | $51997.07      | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 08/01/2042#Q10538                                                                  | CUSIP: 3132HLS38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21023 | PA      | $19474.44      | 0.00%             | 2042-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2044#Q29656                                                                  | CUSIP: 3132MAMD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14919 | PA      | $14980.42      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8996                                                                    | CUSIP: 3617M77H5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43670 | PA      | $40271.93      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 06/25/2049                                                      | CUSIP: 3136BMER5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3970440 | PA      | $3714637.47    | 0.01%             | 2049-06-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TEACHERS INS and ANNUITY ASSN AMER                                                 | TEACHERS INS and ANNUITY ASSN AMER 3.3% 05/15/2050 144A                                           | CUSIP: 878091BG1<br>LEI: O06XD7BJ4EPXNABVFN69 | Long             | DBT              | CORP              | US        |   16941000 | PA      | $11607893.41   | 0.03%             | 2050-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#AB1531                                                                  | CUSIP: 36178LVY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13989 | PA      | $13590.81      | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2025-ESH                                               | EXTENDED STAY AMERICA TRUST 2025-ESH VAR 10/15/2042 144A                                          | CUSIP: 30227TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57280000 | PA      | $57369431.26   | 0.13%             | 2042-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2890                                                                  | CUSIP: 3138EKF83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6434 | PA      | $5945.07       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95324                                                                  | CUSIP: 3129434H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2695 | PA      | $2700.35       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 1/41 #734148                                                                           | CUSIP: 3620AMTD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3687 | PA      | $3579.83       | 0.00%             | 2041-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2033#720240                                                                  | CUSIP: 31401WEM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2302 | PA      | $2309.10       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2051#                                                                        | CUSIP: 31418D5A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2291634 | PA      | $2133776.04    | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AD5457                                                                  | CUSIP: 36180HB23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24308 | PA      | $22881.31      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35579                                                                             | CUSIP: 3132QSFV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121344 | PA      | $111058.14     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC LIFECORP                                                                   | PACIFIC LIFECORP 5.125% 01/30/2043 144A                                                           | CUSIP: 694476AD4<br>LEI: VFN8KLUEIK7XMVX1JM30 | Long             | DBT              | CORP              | US        |   15610000 | PA      | $14759142.30   | 0.03%             | 2043-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2.75% 04/15/2031                                                       | CUSIP: 22003BAM8<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    7105000 | PA      | $6480736.58    | 0.01%             | 2031-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #582151                                                                           | CUSIP: 36201FWL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        496 | PA      | $510.06        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 12/44#AX8317                                                                            | CUSIP: 3138YAG33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20327 | PA      | $18531.80      | 0.00%             | 2044-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AJ5385                                                                          | CUSIP: 3138AW6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     397294 | PA      | $388572.96     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 05/01/2041#Q00557                                                                  | CUSIP: 3132GDTN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      87223 | PA      | $89067.26      | 0.00%             | 2041-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-12 BO 0% 10/35                                                                           | CUSIP: 31394VS43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      84578 | PA      | $76688.74      | 0.00%             | 2035-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 07/01/2054#CB8850                                                                    | CUSIP: 3140QUZQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16691555 | PA      | $17405103.77   | 0.04%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 4.75% 06/09/2027                                                                    | CUSIP: 02005NBQ2<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |   60000000 | PA      | $60521683.80   | 0.14%             | 2027-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.61% 3/35 #1L0297                                                                       | CUSIP: 3128Q2KJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      92594 | PA      | $94616.85      | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #439558                                                                           | CUSIP: 36207RJB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.43          | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 05/01/43#AT3347                                                                      | CUSIP: 3138WQWH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1541 | PA      | $1423.33       | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | 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        |      11724 | PA      | $11984.67      | 0.00%             | 2035-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #409486                                                                           | CUSIP: 31378U2T8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        953 | PA      | $967.25        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #452939                                                                           | CUSIP: 36208KEL9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         33 | PA      | $32.90         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 10/40 #004834                                                                       | CUSIP: 36202FLP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      46480 | PA      | $46505.76      | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #832175                                                                           | CUSIP: 31407JQ47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2816 | PA      | $2965.48       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2045#Q31307                                                                  | CUSIP: 3132QMNZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37232 | PA      | $35533.03      | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 5.015%/VAR 07/22/2033                                                 | CUSIP: 06051GKY4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $50982597.00   | 0.12%             | 2033-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #743801                                                                           | CUSIP: 3620AYKN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20463 | PA      | $20879.15      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2045#AX9831                                                                  | CUSIP: 3138YB4R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105926 | PA      | $96362.03      | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #AC1446                                                                           | CUSIP: 31417KTC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2143 | PA      | $2146.13       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.6% 09/01/2034                                                                | CUSIP: 29273VBA7<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   20000000 | PA      | $20582314.80   | 0.05%             | 2034-09-01      | Fixed         | 0.06%                 | 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        |     317424 | PA      | $302174.29     | 0.00%             | 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        |    3319173 | PA      | $3099537.64    | 0.01%             | 2035-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723248                                                                          | CUSIP: 3620A9P96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7739 | PA      | $7893.54       | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #581664                                                                           | CUSIP: 36201FFD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        359 | PA      | $364.81        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | 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        |      63588 | PA      | $61602.46      | 0.00%             | 2042-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 3.5% 05/01/2049#Q63646                                                                  | CUSIP: 3132VQBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1044366 | PA      | $981423.13     | 0.00%             | 2049-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/41 #738006                                                                           | CUSIP: 3620AR3P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6204 | PA      | $6031.06       | 0.00%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 08/01/2051#RA5746                                                                  | CUSIP: 3133KML37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3863235 | PA      | $3611605.86    | 0.01%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 6/42 #AB5423                                                                           | CUSIP: 31417CAZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     776263 | PA      | $742035.92     | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#CB2886                                                                    | CUSIP: 3140QNF49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5736552 | PA      | $5127460.08    | 0.01%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.875% 02/01/2029                                                                         | CUSIP: 404119BW8<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   21003000 | PA      | $21887182.82   | 0.05%             | 2029-02-01      | Fixed         | 0.06%                 | 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        |      73709 | PA      | $72266.43      | 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        |    5560398 | PA      | $5237138.55    | 0.01%             | 2043-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 04/15/2043#666342                                                                  | CUSIP: 36295CHT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56143 | PA      | $51351.62      | 0.00%             | 2043-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 10/01/2046#AL9371                                                                    | CUSIP: 3138ERMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2714385 | PA      | $2477073.48    | 0.01%             | 2046-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 4.389% 04/25/2035                                                  | CUSIP: 3136BXNE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8400000 | PA      | $8332616.88    | 0.02%             | 2035-08-25      | 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        |      17329 | PA      | $18428.75      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 5.15% 05/01/2030                                                                        | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    6621000 | PA      | $6803144.70    | 0.02%             | 2030-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/36 #839064                                                                           | CUSIP: 31407SFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1354 | PA      | $1420.51       | 0.00%             | 2036-01-01      | Fixed         | 0.06%                 | 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        |   17980682 | PA      | $17895678.27   | 0.04%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #468593                                                                           | CUSIP: 36209DRN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        283 | PA      | $292.48        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.47% 3/40 #AD0820                                                                       | CUSIP: 31418M4E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27493 | PA      | $28522.70      | 0.00%             | 2040-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.35%/VAR 06/01/2034                                                        | CUSIP: 46647PDR4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   60000000 | PA      | $62340567.60   | 0.14%             | 2034-06-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 06/20/2051#MA7419                                                                      | CUSIP: 36179WG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     846051 | PA      | $761094.30     | 0.00%             | 2051-06-20      | Fixed         | 0.03%                 | 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        |    7715370 | PA      | $7168472.68    | 0.02%             | 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        |    8599929 | PA      | $8144533.29    | 0.02%             | 2061-07-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP TSFR1M+144.348 9 11/15/2038 144A                                                | CUSIP: 78472UAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10521590 | PA      | $10515093.53   | 0.02%             | 2038-11-15      | Variable      | 0.05%                 | 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        |      13009 | PA      | $12598.36      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 10/20/2047                                                      | CUSIP: 38380UAT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    1994545 | PA      | $1826539.60    | 0.00%             | 2047-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF4 LLC                                                                 | PRPM 2024-RCF4 A1 LLC VAR 07/25/2054 144A                                                         | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2504615 | PA      | $2482324.44    | 0.01%             | 2054-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32328                                                                  | CUSIP: 3132QNSS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     317612 | PA      | $301603.61     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | 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        |     166967 | PA      | $157865.52     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #565867                                                                           | CUSIP: 36213VTY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1852 | PA      | $1922.38       | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 09/01/2040#AE3951                                                                  | CUSIP: 31419EL98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54531 | PA      | $53376.54      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MCDONALDS CORP                                                                     | MCDONALDS CORP 3.6% 07/01/2030                                                                    | CUSIP: 58013MFQ2<br>LEI: UE2136O97NLB5BYP9H04 | Long             | DBT              | CORP              | US        |    8445000 | PA      | $8286557.02    | 0.02%             | 2030-07-01      | 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        |   28123000 | PA      | $28052740.31   | 0.06%             | 2035-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 09/15/2042#AB2330                                                                  | CUSIP: 36178MST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18458 | PA      | $17401.31      | 0.00%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 12/01/2051#RA6388                                                                  | CUSIP: 3133KNCZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1297048 | PA      | $1118893.04    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 10/01/2042#AB6493                                                                  | CUSIP: 31417DGB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     148851 | PA      | $137456.35     | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 6/33 #003401                                                                        | CUSIP: 36202DX63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7441 | PA      | $7465.85       | 0.00%             | 2033-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2047#CA1780                                                                  | CUSIP: 3140Q86S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      64298 | PA      | $63983.65      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 6.75% 06/15/2039                                                            | CUSIP: 88732JAU2<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7400000 | PA      | $7484802.82    | 0.02%             | 2039-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #392407                                                                          | CUSIP: 31377Z3Q3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $291.35        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2043#AQ9328                                                                  | CUSIP: 3138MRLJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     805635 | PA      | $769085.83     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 4/42 #MA0023                                                                        | CUSIP: 36179MAY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     636805 | PA      | $619452.79     | 0.00%             | 2042-04-20      | Fixed         | 0.04%                 | 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        |       1640 | PA      | $1586.66       | 0.00%             | 2042-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2011-GC5                                                            | GS MTG SECS TR 2011-GC5 5.209% 08/10/2044 144A                                                    | CUSIP: 36191YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1831649 | PA      | $1811540.08    | 0.00%             | 2044-08-10      | Variable      | 0.05%                 | 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        |     255137 | PA      | $245158.53     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/27 #356391                                                                           | CUSIP: 31376H2Y8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $304.40        | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | 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        |    4307474 | PA      | $3860886.40    | 0.01%             | 2049-10-01      | Fixed         | 0.03%                 | 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        |    4663305 | PA      | $4455333.34    | 0.01%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #728319                                                                          | CUSIP: 3620AFDY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15356 | PA      | $15665.43      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5% 05/15/2050                                                                  | CUSIP: 29278NAR4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    6115000 | PA      | $5116100.56    | 0.01%             | 2050-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2047#BJ5376                                                                  | CUSIP: 3140H66N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28297 | PA      | $28132.39      | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 12/15/2046#AX5803                                                                    | CUSIP: 36196HNU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74108 | PA      | $71105.56      | 0.00%             | 2046-12-15      | 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 18-4765 IB 4% 03/15/2048                                           | CUSIP: 3137FEPF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    5905993 | PA      | $1173354.32    | 0.00%             | 2048-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 8/29 #781078                                                                           | CUSIP: 36225BFT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        906 | PA      | $929.22        | 0.00%             | 2029-08-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AE2144                                                                  | CUSIP: 36180ULZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29993 | PA      | $28377.84      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                      | HEALTHCARE REALTY HOLDINGS LP 3.1% 02/15/2030                                                     | CUSIP: 42225UAG9<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    6066000 | PA      | $5762163.95    | 0.01%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/32 #647416                                                                           | CUSIP: 31390JGZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2768 | PA      | $2941.20       | 0.00%             | 2032-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2043#AT2887                                                                  | CUSIP: 3138WQF56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30777 | PA      | $29354.24      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2019-IMC                                              | BX COMMERCIAL MORTGAGE TRUST 2019-IMC A TSFR1M+111.448 04/15/2034 144A                            | CUSIP: 05608BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14082756 | PA      | $14014759.17   | 0.03%             | 2034-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #733919                                                                           | CUSIP: 3620AMK84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      58922 | PA      | $60114.97      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | 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        |   50100147 | PA      | $41502756.56   | 0.10%             | 2052-03-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2042#AK9692                                                                    | CUSIP: 3138EEXW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57132 | PA      | $55700.07      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 09/01/2035#MA4122                                                                  | CUSIP: 31418DSL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6621140 | PA      | $6019004.08    | 0.01%             | 2035-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/26 #250609                                                                           | CUSIP: 31371FKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         27 | PA      | $27.38         | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | 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        |    3649467 | PA      | $3008826.10    | 0.01%             | 2050-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #452535                                                                          | CUSIP: 36208JV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        682 | PA      | $694.33        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #757489                                                                           | CUSIP: 36230SKA1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     144512 | PA      | $136170.62     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | 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        |    6830030 | PA      | $5859481.50    | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/37 #940208                                                                           | CUSIP: 31413BAH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3953 | PA      | $4261.73       | 0.00%             | 2037-07-01      | Fixed         | 0.07%                 | 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        |    1918920 | PA      | $1567073.63    | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #842152                                                                          | CUSIP: 31407VTH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9580 | PA      | $9835.30       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SCMS 2025-BNC1                                                                     | SCMS 2025-BNC1 A2 4.6047% 04/15/2028 144A                                                         | CUSIP: 78398LAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11900000 | PA      | $11912734.19   | 0.03%             | 2057-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 06/01/2041#                                                                          | CUSIP: 3132GEVS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49919 | PA      | $48844.07      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                                                 | ALLY FINL INC 8% 11/01/2031                                                                       | CUSIP: 36186CBY8<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    3051000 | PA      | $3462902.57    | 0.01%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US LONG BOND(CBT) FUT MAR26 USH6                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        569 | NC      | $-474499.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2039#AB0050                                                                  | CUSIP: 31416VBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     325726 | PA      | $327244.09     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | 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        |   24310465 | PA      | $24295463.31   | 0.06%             | 2038-11-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #571901                                                                           | CUSIP: 36200TKN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1622 | PA      | $1680.09       | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #757488                                                                           | CUSIP: 36230SJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     194538 | PA      | $183402.91     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #733607                                                                           | CUSIP: 3620AMAG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6405 | PA      | $6414.67       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 06/01/2038#K94293                                                                    | CUSIP: 3132LQUS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      60025 | PA      | $59415.35      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 14 LTD / AIMCO CLO 14 LLC                                                | AIMCO CLO 14 LTD / AIMCO CLO 14 LLC 2021-14A A1R TSFR3M+122 10/20/2038 144A                       | CUSIP: 00144GAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   46919000 | PA      | $46917404.75   | 0.11%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297RYP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        603 | PA      | $615.31        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AT2721                                                                  | CUSIP: 3138WQAX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1211238 | PA      | $1117221.04    | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #778796                                                                           | CUSIP: 36176W7H8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2154 | PA      | $2036.15       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #734922                                                                           | CUSIP: 31402QPF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12482 | PA      | $12539.74      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2045#Q34458                                                                  | CUSIP: 3132QQ5U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     373682 | PA      | $362667.86     | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 2021 SR1M+156.27 02/15/2039 144A                                     | CUSIP: 05610HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11022200 | PA      | $11008452.86   | 0.03%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #460697                                                                          | CUSIP: 36208TX21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        740 | PA      | $746.83        | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 01/01/2055#SD8494                                                                  | CUSIP: 3132DWNK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2542610 | PA      | $2578875.66    | 0.01%             | 2055-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2032#BH5773                                                                  | CUSIP: 3140GUMX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     495774 | PA      | $478072.08     | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BRIXMOR OPERATING PARTNERSHIP LP                                                   | BRIXMOR OPERATING PARTNERSHIP LP 4.125% 06/15/2026                                                | CUSIP: 11120VAC7<br>LEI: 549300CJHBL7JBUA6503 | Long             | DBT              | CORP              | US        |   26610000 | PA      | $26593626.33   | 0.06%             | 2026-06-15      | 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        |     837998 | PA      | $838465.34     | 0.00%             | 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        |     457290 | PA      | $458124.04     | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/37 #889506                                                                           | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46993 | PA      | $49423.69      | 0.00%             | 2037-03-01      | Fixed         | 0.06%                 | 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        |      51542 | PA      | $48749.02      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #710771                                                                           | CUSIP: 36297FT44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23635 | PA      | $24111.01      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2040#A90709                                                                  | CUSIP: 312938YE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45618 | PA      | $45765.63      | 0.00%             | 2040-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 7/45#Q34956                                                                             | CUSIP: 3132QRQJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28754 | PA      | $26412.66      | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                                                   | T-MOBILE USA INC 3.875% 04/15/2030                                                                | CUSIP: 87264ABF1<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |   36970000 | PA      | $36355371.16   | 0.08%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                                                               | COLOMBIA REPUBLIC OF 8% 11/14/2035                                                                | CUSIP: 195325EL5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    8329000 | PA      | $8872467.25    | 0.02%             | 2035-11-14      | Fixed         | 0.08%                 | 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        |    7507263 | PA      | $7915515.04    | 0.02%             | 2053-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 02/01/2043#Q15786                                                                  | CUSIP: 3132J62U7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     112518 | PA      | $104131.19     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DUQUESNE LIGHT HLDGS INC                                                           | DUQUESNE LIGHT HLDGS INC 2.775% 01/07/2032 144A                                                   | CUSIP: 266233AJ4<br>LEI: 4CUJ1D8WDXK9X7QI6B93 | Long             | DBT              | CORP              | US        |   19219000 | PA      | $17078987.60   | 0.04%             | 2032-01-07      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET LENDING PAR                                                           | SIXTH STREET LENDING PAR 6.125% 07/15/2030                                                        | CUSIP: 829932AF9<br>LEI: 549300S9P1HMDERGCR64 | Long             | DBT              | CORP              | US        |   26655000 | PA      | $27357372.58   | 0.06%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9238                                                                  | CUSIP: 31417GHQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60802 | PA      | $56209.36      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/39 #710513                                                                          | CUSIP: 36297FK27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19037 | PA      | $18531.53      | 0.00%             | 2039-12-15      | 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        |    5677053 | PA      | $4684029.53    | 0.01%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #824358                                                                           | CUSIP: 31406YZX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3623 | PA      | $3806.11       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2021-10 LTD                                                         | CARLYLE US CLO 2021-10 LTD A1R TSFR3M+131 01/20/2038 144A                                         | CUSIP: 14316YAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   22613000 | PA      | $22676859.11   | 0.05%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.5% 02/15/2033                                                                         | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  470900000 | PA      | $457637544.15  | 1.05%             | 2033-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3% 10/29/2028                           | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   18114000 | PA      | $17561317.41   | 0.04%             | 2028-10-29      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #713471                                                                           | CUSIP: 36297JT46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64919 | PA      | $65037.78      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7280                                                                  | CUSIP: 31417ECS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191557 | PA      | $177382.76     | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | 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        |      31680 | PA      | $29870.39      | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #449499                                                                           | CUSIP: 36208FKL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        337 | PA      | $340.55        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 02/01/2030#J30717                                                                  | CUSIP: 31307LYN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25202 | PA      | $25062.87      | 0.00%             | 2030-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738404                                                                           | CUSIP: 3620ASKR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5348 | PA      | $5455.93       | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2035#                                                                          | CUSIP: 3128LXFN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44756 | PA      | $45670.11      | 0.00%             | 2035-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #A93367                                                                           | CUSIP: 312941W45<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4099 | PA      | $4183.42       | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                           | MSCI INC 5.25% 09/01/2035                                                                         | CUSIP: 55354GAR1<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |   24615000 | PA      | $24777401.65   | 0.06%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 07/01/2043#AL3931                                                                  | CUSIP: 3138ELLM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29737 | PA      | $28920.31      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2012-149 GA 1.75% 06/25/2042                                       | CUSIP: 3136AA2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     208754 | PA      | $196686.21     | 0.00%             | 2042-06-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/28 #252084                                                                          | CUSIP: 31371G6V7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $38.48         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2019-B10 MTG TR                                                          | BENCHMARK 2019-B10 MORTGAGE TRUST 3.717% 03/15/2062                                               | CUSIP: 08162VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2700000 | PA      | $2646126.63    | 0.01%             | 2062-03-15      | 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        |    6156387 | PA      | $6319226.66    | 0.01%             | 2053-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#                                                                        | CUSIP: 3133ATPG0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1018009 | PA      | $940884.91     | 0.00%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 5.25% 01/30/2031                                                                  | CUSIP: 126650DX5<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    6265000 | PA      | $6473868.33    | 0.01%             | 2031-01-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AH9771                                                                           | CUSIP: 3138AB2D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16890 | PA      | $16523.17      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #412301                                                                           | CUSIP: 36206JAA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        902 | PA      | $916.48        | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                      | CUSIP: 38380HES7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    5656494 | PA      | $5139187.76    | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2032#BM5345                                                                    | CUSIP: 3140J95F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4101256 | PA      | $4018136.95    | 0.01%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES CLO                                                                           | ARES CLO AR2 TSFR3M+131 07/15/2038 144A                                                           | CUSIP: 04017WAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   36024000 | PA      | $36129262.13   | 0.08%             | 2038-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/37 #995073                                                                          | CUSIP: 31416BMW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     349203 | PA      | $367854.77     | 0.00%             | 2037-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#BR3500                                                                    | CUSIP: 3140L13J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12900 | PA      | $10558.82      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | 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        |        444 | PA      | $446.81        | 0.00%             | 2026-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #594813                                                                           | CUSIP: 36201VYJ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29049 | PA      | $30039.32      | 0.00%             | 2032-08-15      | 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        |      34704 | PA      | $35671.89      | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #745000                                                                          | CUSIP: 31403CUZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1711 | PA      | $1793.66       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/47#AL9779                                                                         | CUSIP: 3138ER2M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     307355 | PA      | $298809.64     | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | 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        |     106200 | PA      | $103629.37     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/41 #748183                                                                           | CUSIP: 3620C4FY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6034 | PA      | $5875.41       | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/31#G05173                                                                       | CUSIP: 3128M7CJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8902 | PA      | $8932.33       | 0.00%             | 2031-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.375% 05/15/2034                                                                       | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18000000 | PA      | $18394453.08   | 0.04%             | 2034-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 02/01/2048#BM3532                                                                    | CUSIP: 3140J74S1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     523737 | PA      | $505410.70     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.35% 3/36 #920831                                                                       | CUSIP: 31412CA83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39992 | PA      | $41460.96      | 0.00%             | 2036-03-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #631463                                                                           | CUSIP: 31389PQQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        482 | PA      | $511.87        | 0.00%             | 2032-04-01      | 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        |     101251 | PA      | $96478.08      | 0.00%             | 2043-04-01      | 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 VAR 06/25/2030                                                     | CUSIP: 3137HMC65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6800000 | PA      | $6876862.44    | 0.02%             | 2030-06-25      | Variable      | 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        |     484859 | PA      | $456157.12     | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2043#Q16131                                                                  | CUSIP: 3132J7HH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      38510 | PA      | $37510.31      | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #772072                                                                          | CUSIP: 36176PQZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     134736 | PA      | $130658.99     | 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        |   11176665 | PA      | $11282103.10   | 0.03%             | 2052-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2052#QD5085                                                                  | CUSIP: 3133B2UJ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     417380 | PA      | $388107.48     | 0.00%             | 2052-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 05/01/2055#QY3801                                                                  | CUSIP: 31426NGK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     394947 | PA      | $401369.77     | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293LG40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $57.33         | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 5/27 #447102                                                                           | CUSIP: 36208CU39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133 | PA      | $133.68        | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #930854                                                                           | CUSIP: 31412PE31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9160 | PA      | $9179.17       | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #780580                                                                           | CUSIP: 36225AUD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        550 | PA      | $556.21        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | 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        |       6604 | PA      | $7622.42       | 0.00%             | 2037-07-25      | Variable      | 0.16%                 | 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        |    1273391 | PA      | $1145555.21    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#                                                                        | CUSIP: 3133KNWJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7742964 | PA      | $7204755.06    | 0.02%             | 2052-03-01      | Fixed         | 0.04%                 | 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        |   29334993 | PA      | $30233811.11   | 0.07%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 2% 05/25/2045                                                          | CUSIP: 3136BBQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2495728 | PA      | $2369085.81    | 0.01%             | 2045-05-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AC9627                                                                  | CUSIP: 36179KVU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34068 | PA      | $32060.75      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BHG 2025-2CON                                                                      | BHG 2025-2CON 4.84% 09/17/2036 144A                                                               | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4207332 | PA      | $4248465.79    | 0.01%             | 2036-09-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/29 #252981                                                                          | CUSIP: 31371H6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        469 | PA      | $489.46        | 0.00%             | 2030-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ANHEUSER BUSCH INBEV WORLDWIDE INC                                                 | ANHEUSER BUSCH INBEV WORLD INC 5.45% 01/23/2039                                                   | CUSIP: 03523TBU1<br>LEI: 549300CRGMZK3K53BF92 | Long             | DBT              | CORP              | US        |   23200000 | PA      | $24017870.06   | 0.06%             | 2039-01-23      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.50% 1/42 #005279                                                                        | CUSIP: 36202F2L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13315 | PA      | $12643.70      | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 9/33 #003442                                                                           | CUSIP: 36202DZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     341259 | PA      | $346631.21     | 0.00%             | 2033-09-20      | Fixed         | 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        |    1199105 | PA      | $987485.09     | 0.00%             | 2052-03-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #323336                                                                          | CUSIP: 31374TEH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10554 | PA      | $11092.50      | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #455561                                                                           | CUSIP: 36208NB69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          3 | PA      | $3.44          | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | 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        |    7156305 | PA      | $7377809.36    | 0.02%             | 2054-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DOMINOS PIZZA MASTER ISSUER LL DOMINOS SPV CDN HLDG CO INC DOMINOS PIZZA DISTR LLC | DOMINOS PIZZA MASTER ISR LLC 3.668% 10/25/2049 144A                                               | CUSIP: 25755TAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20812800 | PA      | $20045939.90   | 0.05%             | 2049-10-25      | 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 2.5% 08/25/2048                            | CUSIP: 3137H3S94<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    2716570 | PA      | $2431716.46    | 0.01%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #780545                                                                           | CUSIP: 36225ATA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        231 | PA      | $232.81        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2046#BC4754                                                                    | CUSIP: 3140F0H80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2740928 | PA      | $2667289.51    | 0.01%             | 2046-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2034                                                                       | CUSIP: 91282CLF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  232400000 | PA      | $228950324.12  | 0.53%             | 2034-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 2.35% 02/26/2027                                                         | CUSIP: 37045XDR4<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $17148184.55   | 0.04%             | 2027-02-26      | Fixed         | 0.02%                 | 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        |      96993 | PA      | $94042.45      | 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        |    4949456 | PA      | $4062049.05    | 0.01%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 22 LTD / AIMCO CLO 22 LLC                                                | AIMCO CLO 22 LTD / AIMCO CLO 22 LLC A TSFR3M+150 04/19/2037 144A                                  | CUSIP: 00901UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   55620000 | PA      | $55764055.80   | 0.13%             | 2037-04-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.55% 12/15/2029                                                   | CUSIP: 72650RBM3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5964000 | PA      | $5793919.66    | 0.01%             | 2029-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.4% 09/01/2042#AP9959                                                                  | CUSIP: 3138MEB58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79595 | PA      | $74920.03      | 0.00%             | 2042-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-GPA3                                                           | BX COML MTG TR 2024-GPA3 A TSFR1M+149.25 12/15/2029 144A                                          | CUSIP: 123910AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8878210 | PA      | $8878206.27    | 0.02%             | 2039-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #495896                                                                           | CUSIP: 36210L3D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        391 | PA      | $398.78        | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/32 #254613                                                                          | CUSIP: 31371KYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        292 | PA      | $309.29        | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #254240                                                                           | CUSIP: 31371KLV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8998 | PA      | $9490.99       | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | 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        |    2542556 | PA      | $2550575.63    | 0.01%             | 2028-10-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.35% 04/15/2032                                                                      | CUSIP: 704326AB3<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    5068000 | PA      | $5248353.04    | 0.01%             | 2032-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.8% 08/15/2038                                                                 | CUSIP: 125523AJ9<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   18087000 | PA      | $17318678.35   | 0.04%             | 2038-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 10/01/2032#                                                                          | CUSIP: 31283HTS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2854 | PA      | $2970.49       | 0.00%             | 2032-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK 2017-BNKS                                                                     | BANK 2017-BNKS 3.179% 06/15/2060                                                                  | CUSIP: 06541WAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4603964 | PA      | $4575668.15    | 0.01%             | 2060-06-15      | Fixed         | 0.03%                 | 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        |     534055 | PA      | $503703.74     | 0.00%             | 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        |   12230251 | PA      | $12756905.10   | 0.03%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                                                 | REALTY INCOME CORP 2.85% 12/15/2032                                                               | CUSIP: 756109BL7<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              | CORP              | US        |    4238000 | PA      | $3801378.31    | 0.01%             | 2032-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#CB1799                                                                    | CUSIP: 3140QL7M2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21228610 | PA      | $17515327.08   | 0.04%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2052#QE9929                                                                    | CUSIP: 3133BLA64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1561788 | PA      | $1568468.62    | 0.00%             | 2052-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EMERA US FINANCE LP                                                                | EMERA US FINANCE LP 3.55% 06/15/2026                                                              | CUSIP: 29103DAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6732000 | PA      | $6710239.62    | 0.02%             | 2026-06-15      | Fixed         | 0.04%                 | 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        |     497117 | PA      | $495991.03     | 0.00%             | 2044-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                | AFFIRM MASTER TRUST 4.67% 07/15/2033 144A                                                         | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9100000 | PA      | $9162254.01    | 0.02%             | 2033-07-15      | 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+55 07/25/2052                                              | CUSIP: 3137H7ZT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1477975 | PA      | $1466557.36    | 0.00%             | 2052-07-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #589476                                                                           | CUSIP: 36201P2H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        381 | PA      | $396.17        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AJ4287                                                                           | CUSIP: 3138AVXR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23637 | PA      | $23087.40      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 7/31 #003107                                                                         | CUSIP: 36202DNY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        288 | PA      | $299.35        | 0.00%             | 2031-07-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 4.8% 09/26/2032                                                                       | CUSIP: 68389XDK8<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   25181000 | PA      | $24310292.14   | 0.06%             | 2032-09-26      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR3691                                                                  | CUSIP: 3138W1C54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      93207 | PA      | $85849.65      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 03/01/2045#Q31980                                                                  | CUSIP: 3132QNFW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26980 | PA      | $24570.32      | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 02/01/2041#MA4266                                                                  | CUSIP: 31418DW40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1608268 | PA      | $1367360.49    | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 02/01/2027#                                                                        | CUSIP: 31283GXZ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.65          | 0.00%             | 2027-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #250912                                                                           | CUSIP: 31371FVD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $38.88         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02020                                                                  | CUSIP: 3132GFG50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45025 | PA      | $45977.72      | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 7.5% 05/01/2031                                                         | CUSIP: 674599DD4<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   29749000 | PA      | $33473009.57   | 0.08%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 08/01/2055#FA2563                                                                    | CUSIP: 3140W2Z53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5469680 | PA      | $5699863.33    | 0.01%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #560462                                                                           | CUSIP: 36213PTT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        506 | PA      | $520.52        | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3002 NE 5% 7/35                                                                               | CUSIP: 31395WMR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     164420 | PA      | $168959.82     | 0.00%             | 2035-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9340                                                                  | CUSIP: 31417GLW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17879 | PA      | $16547.77      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2045#AS4972                                                                  | CUSIP: 3138WEQ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1458951 | PA      | $1331817.30    | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#AS9422                                                                  | CUSIP: 3138WKPG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36895 | PA      | $36713.88      | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/37 #G02667                                                                           | CUSIP: 3128M4JL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11285 | PA      | $11511.13      | 0.00%             | 2037-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/29 #524241                                                                          | CUSIP: 31384HLW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $223.79        | 0.00%             | 2029-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ABBVIE INC                                                                         | ABBVIE INC 3.2% 11/21/2029                                                                        | CUSIP: 00287YBX6<br>LEI: FR5LCKFTG8054YNNRU85 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $16971077.20   | 0.04%             | 2029-11-21      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 03/01/2052#CB3109                                                                  | CUSIP: 3140QNN32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5732996 | PA      | $4924045.30    | 0.01%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 02/01/2052#CB2856                                                                  | CUSIP: 3140QNE65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     722896 | PA      | $623151.08     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.0% 11/01/2038#991909                                                                  | CUSIP: 31415W3S0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        997 | PA      | $1054.98       | 0.00%             | 2038-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/27 #313644                                                                           | CUSIP: 31374GLZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1053 | PA      | $1106.77       | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #727160                                                                           | CUSIP: 31402EZZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5664 | PA      | $5689.06       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #790493                                                                           | CUSIP: 36177JRP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      40051 | PA      | $37954.65      | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | 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        |    2721594 | PA      | $2790179.70    | 0.01%             | 2053-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2011-H07 FA TSFR1M+61.448 3/61                                                                | CUSIP: 38375BKP6<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     142482 | PA      | $142513.50     | 0.00%             | 2061-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/32 #552938                                                                          | CUSIP: 36213FHP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        525 | PA      | $532.98        | 0.00%             | 2032-12-15      | Fixed         | 0.05%                 | 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        |      48934 | PA      | $51829.38      | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #840937                                                                           | CUSIP: 31407UHN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9611 | PA      | $10073.96      | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.45% 07/15/2028                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   32380000 | PA      | $30318663.30   | 0.07%             | 2028-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2039#A90245                                                                  | CUSIP: 312938HW6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1081 | PA      | $1084.15       | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2% 11/20/2052#MA8422                                                                      | CUSIP: 36179XLB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1014677 | PA      | $841505.33     | 0.00%             | 2052-11-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2030#                                                                        | CUSIP: 31298CPJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7781 | PA      | $8089.07       | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745088                                                                           | CUSIP: 3620C0XR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72059 | PA      | $72162.05      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #757487                                                                           | CUSIP: 36230SJ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     223190 | PA      | $210253.74     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.675 06/03/26                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   41460000 | NC      | $968050.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/40 #737454                                                                           | CUSIP: 3620ARH79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89114 | PA      | $90910.64      | 0.00%             | 2040-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #444774                                                                           | CUSIP: 36207XCK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        324 | PA      | $328.90        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2050#                                                                        | CUSIP: 3133KHWP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17442 | PA      | $16284.09      | 0.00%             | 2050-04-01      | Fixed         | 0.04%                 | 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        |      27143 | PA      | $28322.19      | 0.00%             | 2042-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#G61047                                                                  | CUSIP: 31335BEU6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     508964 | PA      | $509301.87     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP 4.5% 11/15/2040                                                          | CUSIP: 3137BE3R3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |    1775141 | PA      | $1745057.57    | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 03/01/2029#                                                                          | CUSIP: 31293LSQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        377 | PA      | $387.38        | 0.00%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #488260                                                                           | CUSIP: 36210CMH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         47 | PA      | $47.10         | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2043#AS0076                                                                  | CUSIP: 3138W9CN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123140 | PA      | $117598.87     | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/29 #323961                                                                          | CUSIP: 31374TZ28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        607 | PA      | $637.53        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | 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        |    5075170 | PA      | $5049924.75    | 0.01%             | 2052-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/39 #713740                                                                           | CUSIP: 36297J4Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     117760 | PA      | $117957.46     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.453% 10/10/2042 144A                                         | CUSIP: 92858TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1149346.38    | 0.00%             | 2042-10-10      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP PAY 4.075 04/24/30                                                                      | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |   29420000 | NC      | $965679.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 05/01/2051#RA5077                                                                  | CUSIP: 3133KLUA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2437458 | PA      | $2104185.87    | 0.00%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE6348                                                                    | CUSIP: 31419HBS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        826 | PA      | $809.42        | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AI2509                                                                           | CUSIP: 3138AFYF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11523 | PA      | $11332.25      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2012-H06 FA TSFR1M+74.448 1/62                                                                | CUSIP: 38375BPQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     200091 | PA      | $200520.84     | 0.00%             | 2062-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21258                                                                  | CUSIP: 3132JNMF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     178229 | PA      | $173634.59     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TOWD PT MTG TR 2022                                                                | TOWD PT MTG TR 2022 3.75% 07/25/2062 144A                                                         | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14152089 | PA      | $13691093.33   | 0.03%             | 2062-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #569780                                                                           | CUSIP: 36200Q6R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        318 | PA      | $329.35        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.412%/VAR 03/31/2031                                                               | CUSIP: 172967MP3<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   45100000 | PA      | $45092455.67   | 0.10%             | 2031-03-31      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#                                                                        | CUSIP: 312944YF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      41445 | PA      | $41557.03      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 3.85% 03/01/2032                                                               | CUSIP: 05329RAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21966000 | PA      | $20648168.72   | 0.05%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 03/01/2033#CA1619                                                                  | CUSIP: 3140Q8YR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21551 | PA      | $20781.36      | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 6/39 #670609                                                                           | CUSIP: 36295HAJ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        588 | PA      | $601.69        | 0.00%             | 2039-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #733989                                                                          | CUSIP: 3620AMNE8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      20181 | PA      | $19625.23      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #794582                                                                           | CUSIP: 36177PCU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     215596 | PA      | $204832.23     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | 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        |      29816 | PA      | $29098.24      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2053#CB6527                                                                  | CUSIP: 3140QSHD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5379614 | PA      | $5526951.76    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 5.95% 01/28/2031                                                              | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   26624000 | PA      | $25769369.60   | 0.06%             | 2031-01-28      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 7/42 #AA8273                                                                           | CUSIP: 36178GFN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53794 | PA      | $50780.80      | 0.00%             | 2042-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2042#779220                                                                  | CUSIP: 36176XPD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      74034 | PA      | $68240.74      | 0.00%             | 2042-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LINCOLN NATIONAL CORP IND                                                          | LINCOLN NATIONAL CORP IND 3.4% 01/15/2031                                                         | CUSIP: 534187BK4<br>LEI: EFQMQROEDSNBRIP7LE47 | Long             | DBT              | CORP              | US        |   34132000 | PA      | $32444408.11   | 0.07%             | 2031-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/28 #323297                                                                           | CUSIP: 31374TDA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.54         | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-94 SA TSFR1M+598.552 07/41                                                               | CUSIP: 38377WN83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     215806 | PA      | $21528.11      | 0.00%             | 2041-07-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 3128MJCD0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57117 | PA      | $58266.63      | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 1/39 #701582                                                                           | CUSIP: 36296UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38098 | PA      | $39264.98      | 0.00%             | 2039-01-15      | Fixed         | 0.06%                 | 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        |    2830442 | PA      | $2415133.06    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #836456                                                                          | CUSIP: 31407PH92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        305 | PA      | $321.12        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | 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        |     706001 | PA      | $553227.23     | 0.00%             | 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        |    7487355 | PA      | $7557989.33    | 0.02%             | 2053-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #458421                                                                          | CUSIP: 36208RG65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         41 | PA      | $40.97         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #487335                                                                          | CUSIP: 36210BLQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        567 | PA      | $579.12        | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #581935                                                                           | CUSIP: 36201FPU5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        804 | PA      | $833.94        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2054#DB0929                                                                  | CUSIP: 3140AAA72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     459264 | PA      | $466245.19     | 0.00%             | 2054-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #C03811                                                                           | CUSIP: 31292LGU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5687301 | PA      | $5461931.06    | 0.01%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/31 #543785                                                                           | CUSIP: 36212UCW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         82 | PA      | $85.22         | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #468084                                                                           | CUSIP: 36209C6V3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        109 | PA      | $109.84        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 2.875% 05/15/2052                                                     | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  556400000 | PA      | $388784500.00  | 0.90%             | 2052-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE9065                                                                          | CUSIP: 31419LCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33252 | PA      | $32593.01      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2051#                                                                        | CUSIP: 3140QHK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45305 | PA      | $42339.95      | 0.00%             | 2051-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 43 LTD                                                                | SYMPHONY CLO 43 LTD A1 TSFR3M+152 04/15/2037 144A                                                 | CUSIP: 87170BAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   25363000 | PA      | $25419331.22   | 0.06%             | 2037-04-15      | Variable      | 0.05%                 | 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        |     590000 | NC      | $98525.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2043#BM1167                                                                    | CUSIP: 3140J5JM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     498325 | PA      | $487179.13     | 0.00%             | 2043-10-01      | 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        |    3275743 | PA      | $3075545.85    | 0.01%             | 2048-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2051#                                                                        | CUSIP: 3132DWCL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8436389 | PA      | $7855253.33    | 0.02%             | 2051-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/29 #479545                                                                           | CUSIP: 31382DWE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $303.76        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #680498                                                                          | CUSIP: 36295T7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8672 | PA      | $9099.78       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | 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        |     513292 | PA      | $518554.27     | 0.00%             | 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        |    3174820 | PA      | $2719894.15    | 0.01%             | 2051-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#RA7575                                                                    | CUSIP: 3133KPMY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7194165 | PA      | $7295755.85    | 0.02%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TR 2013-LC12 WELLS FARGO COML MTG TR 2013-LC12                                     | WELLS FARGO TR 2018-C48 A5 4.302% 01/15/2052                                                      | CUSIP: 95001RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13797000 | PA      | $13831155.85   | 0.03%             | 2052-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 12/01/2032#ZS8678                                                                  | CUSIP: 3132A9UB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21297 | PA      | $20518.07      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | 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        |      66436 | PA      | $66528.18      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/36 #745550                                                                           | CUSIP: 31403DH36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2663 | PA      | $2798.41       | 0.00%             | 2036-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 05/51#SD7541                                                                         | CUSIP: 3132DVLW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   80307391 | PA      | $66310310.34   | 0.15%             | 2051-05-01      | Fixed         | 0.02%                 | 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        |      54662 | PA      | $51699.73      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/28 #251615                                                                           | CUSIP: 31371GN89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $390.19        | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 01/01/2041#A96537                                                                  | CUSIP: 312945HN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21500 | PA      | $21955.20      | 0.00%             | 2041-01-01      | Fixed         | 0.05%                 | 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        |       9739 | PA      | $9266.94       | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/42#890427                                                                       | CUSIP: 31410LHC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4193 | PA      | $4015.39       | 0.00%             | 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 SOFR30A+120 12/25/2054                                             | CUSIP: 3136BTXR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   15693569 | PA      | $15760089.60   | 0.04%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/47#BH0885                                                                       | CUSIP: 3140GN6X6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33666 | PA      | $33501.16      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/40 #737790                                                                          | CUSIP: 3620ARUP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18276 | PA      | $17764.36      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP4091                                                                           | CUSIP: 3138M7RM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32558 | PA      | $31090.13      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/39 #711476                                                                          | CUSIP: 36297GMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     115126 | PA      | $112013.36     | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AT7264                                                                  | CUSIP: 3138WVCA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5215 | PA      | $4813.73       | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/26 #349356                                                                           | CUSIP: 31376ABZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        179 | PA      | $179.57        | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3.5% 12/01/2033#C91737                                                                  | CUSIP: 3128P74W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     581812 | PA      | $573824.64     | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2051#                                                                        | CUSIP: 3140QKGV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     474806 | PA      | $442396.38     | 0.00%             | 2051-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AL1193                                                                          | CUSIP: 3138EHKF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     495037 | PA      | $484390.21     | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 3/42 #Q06886                                                                           | CUSIP: 3132GR6X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     204678 | PA      | $200506.11     | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG 2013-51 GI 3% 10/25/2032                                                             | CUSIP: 3136AECM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     108918 | PA      | $3413.64       | 0.00%             | 2032-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.75% 04/01/2032                                                                    | CUSIP: 548661EH6<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    9454000 | PA      | $9059272.81    | 0.02%             | 2032-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A96731                                                                           | CUSIP: 312945PQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     198244 | PA      | $198750.82     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 5.468%/VAR 02/01/2029                                                        | CUSIP: 14040HCX1<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   26778000 | PA      | $27495236.14   | 0.06%             | 2029-02-01      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2044#AW9502                                                                  | CUSIP: 3138XZRY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91783 | PA      | $89109.22      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/42#AQ6804                                                                       | CUSIP: 3138MNR28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23381 | PA      | $22276.36      | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18564                                                                  | CUSIP: 3132J96A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42277 | PA      | $41140.56      | 0.00%             | 2043-05-01      | 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        |   17690000 | NC      | $-93502.26     | -0.00%            |  |  |  | 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        |     473240 | PA      | $471459.27     | 0.00%             | 2066-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.45% 02/15/2031                                                                     | CUSIP: 11135FCQ2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   61131000 | PA      | $55915209.55   | 0.13%             | 2031-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 5.75% 04/01/2034                                                               | CUSIP: 925650AF0<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    5034000 | PA      | $5195076.47    | 0.01%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8603                                                                    | CUSIP: 31419KRZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117860 | PA      | $115509.18     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 20YR 3.5% 12/01/2036#BM3680                                                             | CUSIP: 3140J8CS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207841 | PA      | $203688.82     | 0.00%             | 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        |    2608206 | PA      | $2324591.00    | 0.01%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #787578                                                                           | CUSIP: 31405E6P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11391 | PA      | $11941.40      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD                             | FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTFS GTD 4795 FA SOFR30A+41.448 05/15/2048          | CUSIP: 3137F5PW3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |     974925 | PA      | $945659.46     | 0.00%             | 2048-05-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 04/20/2052#                                                                            | CUSIP: 36179W2T4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11762886 | PA      | $9744326.30    | 0.02%             | 2052-04-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #585381                                                                           | CUSIP: 36201KJ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         94 | PA      | $97.78         | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | 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        |      16801 | PA      | $14750.63      | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2007-35 SC TSFR1M+3951.312 6/37                                                               | CUSIP: 38375KVH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |       1278 | PA      | $1470.24       | 0.00%             | 2037-06-16      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| WP CAREY INC                                                                       | WP CAREY INC 3.85% 07/15/2029                                                                     | CUSIP: 92936UAF6<br>LEI: 54930042CRNE713E3Q67 | Long             | DBT              | CORP              | US        |    6097000 | PA      | $6010604.35    | 0.01%             | 2029-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #331338                                                                           | CUSIP: 31375DBF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        622 | PA      | $653.65        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SABINE PASS LIQUEFACTION LLC                                                       | SABINE PASS LIQUEFACTION LLC 4.5% 05/15/2030                                                      | CUSIP: 785592AX4<br>LEI: 549300KJYBG7C6WJYZ11 | Long             | DBT              | CORP              | US        |   33855000 | PA      | $33992059.94   | 0.08%             | 2030-05-15      | Fixed         | 0.04%                 | 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        |      22635 | PA      | $22265.85      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #533932                                                                           | CUSIP: 36212HED8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        111 | PA      | $111.98        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/01/2039#AW8233                                                                    | CUSIP: 3138XYEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84176 | PA      | $82471.36      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| RR 7 LTD                                                                           | RR 7 LTD A1AB TSFR3M+134 01/15/2037 144A                                                          | CUSIP: 74980EAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   38243000 | PA      | $38278489.50   | 0.09%             | 2037-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #433882                                                                           | CUSIP: 36207J6T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        102 | PA      | $103.34        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | 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        |   16701322 | PA      | $16879755.74   | 0.04%             | 2052-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2044#Q24973                                                                  | CUSIP: 3132M5FN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57281 | PA      | $55638.48      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE7364                                                                         | CUSIP: 31419JFE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91208 | PA      | $89235.64      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2021-1 TR                                                                    | AASET 2021-1 TR 2.95% 11/16/2041 144A                                                             | CUSIP: 00038PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12075334 | PA      | $11626971.19   | 0.03%             | 2041-11-16      | Fixed         | 0.03%                 | 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        |      74771 | PA      | $69360.61      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #353919                                                                          | CUSIP: 36203NDY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         67 | PA      | $68.11         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CEDAR FUNDING LTD 2022                                                             | CEDAR FUNDING LTD 2022 A TSFR3M+132 04/20/2035 144A                                               | CUSIP: 15032QAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   35314000 | PA      | $35314000.00   | 0.08%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.05% 04/15/2030                                                                      | CUSIP: 30161NAX9<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    7291000 | PA      | $7218811.88    | 0.02%             | 2030-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2040#721759                                                                  | CUSIP: 3620A7ZY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9440 | PA      | $9185.07       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+120 02/25/2055                                             | CUSIP: 3137HJZC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3236219 | PA      | $3235915.52    | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AU2854                                                                    | CUSIP: 3138X2E42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85443 | PA      | $83172.09      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 18-1A 4.008% 12/05/2051 144A                                     | CUSIP: 72703PAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   19697562 | PA      | $18692795.75   | 0.04%             | 2051-12-05      | Fixed         | 0.04%                 | 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        |   24371314 | PA      | $25336885.83   | 0.06%             | 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        |      61354 | PA      | $63978.88      | 0.00%             | 2042-01-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC                                            | ALLEGRO CLO XV LTD / ALLEGRO CLO VX LLC A1R TSFR3M+118 04/20/2038 144A                            | CUSIP: 01749WAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   25047000 | PA      | $25050080.78   | 0.06%             | 2038-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2031#                                                                          | CUSIP: 31292HJ70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1025 | PA      | $1062.73       | 0.00%             | 2031-06-01      | Fixed         | 0.06%                 | 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        |   21799049 | PA      | $22466967.42   | 0.05%             | 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        |      70648 | PA      | $68742.96      | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK 2019-BNK21                                                                    | BANK 2019-BN21 A5 2.851% 10/17/2052                                                               | CUSIP: 06540BBD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2858000 | PA      | $2708958.44    | 0.01%             | 2052-10-17      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #485009                                                                          | CUSIP: 36209XYE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        277 | PA      | $281.29        | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #251569                                                                           | CUSIP: 31371GMS6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $32.51         | 0.00%             | 2028-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 11/01/2035#MA4178                                                                  | CUSIP: 31418DUC4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17273180 | PA      | $15659150.30   | 0.04%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 17 LTD / AIMCO CLO 17 LLC                                                | AIMCO CLO 17 LTD / AIMCO CLO 17 LLC A1R TSFR3M+135 07/20/2037 144A                                | CUSIP: 00889JAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   28099438 | PA      | $28163392.32   | 0.06%             | 2037-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 8.00% 8/30 #C41636                                                                           | CUSIP: 31297YY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $66.42         | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5.1% 02/15/2036                                                                | CUSIP: 24703DBU4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   41980000 | PA      | $41457909.43   | 0.10%             | 2036-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2006-37 OW 0% 5/36                                                                            | CUSIP: 31395DMG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      15485 | PA      | $12978.36      | 0.00%             | 2036-05-25      | Fixed         | 0.00%                 | 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        |   31879980 | PA      | $32902549.01   | 0.08%             | 2053-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #436032                                                                          | CUSIP: 36207MLM6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        172 | PA      | $174.10        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 0% 08/20/2055 144A                                                              | CUSIP: 233046AW1<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   18755000 | PA      | $18800745.32   | 0.04%             | 2055-08-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 5.875% 11/15/2040                                                           | CUSIP: 88732JAY4<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |    7566000 | PA      | $7001223.45    | 0.02%             | 2040-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #741227                                                                           | CUSIP: 3620AVPL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4517 | PA      | $4523.95       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/27 #399716                                                                           | CUSIP: 31378JAR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $12.68         | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 4.5% 10/25/2044                                                    | CUSIP: 3137H9AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    7915756 | PA      | $7919926.30    | 0.02%             | 2044-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2041#AE9509                                                                  | CUSIP: 31419LR70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11296 | PA      | $11091.02      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | 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        |     261930 | PA      | $255076.67     | 0.00%             | 2043-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/39 #711059                                                                          | CUSIP: 36297F5U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15689 | PA      | $16007.23      | 0.00%             | 2039-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #572392                                                                          | CUSIP: 36200T2Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1774 | PA      | $1817.28       | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2018-B4 MTG TR                                                           | BENCHMARK MTG TR 2018-B4 A5 4.121% 07/15/2051                                                     | CUSIP: 08161HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3240000 | PA      | $3226993.67    | 0.01%             | 2051-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OWN EQUIPMENT FUND I LLC                                                           | OWN EQUIPMENT FUND I LLC 5.7% 12/20/2032 144A                                                     | CUSIP: 69121NAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3252712 | PA      | $3299660.33    | 0.01%             | 2032-12-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0938                                                                  | CUSIP: 3138NXBG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11101 | PA      | $10222.39      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AQ1181                                                                          | CUSIP: 3138MGJ30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144636 | PA      | $138161.21     | 0.00%             | 2042-10-01      | 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        |      64846 | PA      | $52915.39      | 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        |   13246778 | PA      | $13987849.47   | 0.03%             | 2054-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #560801                                                                           | CUSIP: 36213QAA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        164 | PA      | $168.47        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.154% 10/25/2031                                                  | CUSIP: 3137H4R36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $2785547.78    | 0.01%             | 2031-10-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 4.45% 04/03/2026                        | CUSIP: 00774MAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   15328000 | PA      | $15329365.72   | 0.04%             | 2026-04-03      | Fixed         | 0.04%                 | 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        |     340816 | PA      | $334603.91     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AS0205                                                                  | CUSIP: 3138W9GP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     284523 | PA      | $261883.09     | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 10/01/2044#AS3651                                                                  | CUSIP: 3138WDBV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1349556 | PA      | $1352648.91    | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.887 09/17/30                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   12870000 | NC      | $484666.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH1983                                                                          | CUSIP: 3138A3FZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3970 | PA      | $3899.63       | 0.00%             | 2040-12-01      | 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        |    1300000 | NC      | $103277.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 01/01/2029#                                                                          | CUSIP: 31293JH93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $80.27         | 0.00%             | 2029-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35375                                                                             | CUSIP: 3132QR6M7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106555 | PA      | $97910.23      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2055#DE5114                                                                  | CUSIP: 3140BHVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      28606 | PA      | $29014.19      | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2044#AX6333                                                                  | CUSIP: 3138Y8BB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22931 | PA      | $22997.96      | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #569328                                                                           | CUSIP: 36200QPM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1263 | PA      | $1308.03       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY                                        | MASSACHUSETTS MUTUAL LIFE INS 3.729% 10/15/2070 144A                                              | CUSIP: 575767AN8<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |   20812000 | PA      | $13453835.19   | 0.03%             | 2070-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#AS6201                                                                  | CUSIP: 3138WF3K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4755 | PA      | $4488.74       | 0.00%             | 2045-11-01      | 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 4.94% 11/25/2030                                                   | CUSIP: 3137HBC51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2876443 | PA      | $2980203.20    | 0.01%             | 2030-11-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 4/31 #003068                                                                         | CUSIP: 36202DMR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        239 | PA      | $247.53        | 0.00%             | 2031-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 1/34 #609542                                                                           | CUSIP: 36202UEP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        473 | PA      | $485.08        | 0.00%             | 2034-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AUTONATION INC DEL                                                                 | AUTONATION INC DEL 4.75% 06/01/2030                                                               | CUSIP: 05329WAQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3310000 | PA      | $3341325.14    | 0.01%             | 2030-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2043#AC3938                                                                  | CUSIP: 36179DLT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7038 | PA      | $6647.18       | 0.00%             | 2043-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #424092                                                                           | CUSIP: 36206XC50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        456 | PA      | $472.05        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2024-1 US LTD / AASET 2024-1 INTL LTD                                        | AASET 2024-1 US LTD / AASET 2024-1 INTL LTD 6.261% 05/16/2049 144A                                | CUSIP: 00255JAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18785113 | PA      | $19302360.76   | 0.04%             | 2049-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 3.375% 02/15/2030                                                                    | CUSIP: 15135BAV3<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   17480000 | PA      | $16085697.31   | 0.04%             | 2030-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| PLAINS ALL AM PIPELN/PAA FIN C                                                     | PLAINS ALL AM PIPELN/PAA FIN C 3.8% 09/15/2030                                                    | CUSIP: 72650RBN1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   15976000 | PA      | $15507560.20   | 0.04%             | 2030-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #678654                                                                           | CUSIP: 36295R5P9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93183 | PA      | $90588.29      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/32 #627296                                                                           | CUSIP: 31389J3D4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $177.52        | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 07/01/2032#G18651                                                                  | CUSIP: 3128MMWM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2148157 | PA      | $2075408.54    | 0.00%             | 2032-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ELANCO ANIMAL HEALTH INC                                                           | ELANCO ANIMAL HEALTH INC VAR 08/28/2028                                                           | CUSIP: 28414HAG8<br>LEI: 549300SHPNDCE059M934 | Long             | DBT              | CORP              | US        |    6362000 | PA      | $6648522.53    | 0.02%             | 2028-08-28      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/01/2051#RA6347                                                                    | CUSIP: 3133KNBQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2152237 | PA      | $1917665.46    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | 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        |     298019 | PA      | $289173.14     | 0.00%             | 2043-08-20      | Fixed         | 0.04%                 | 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        |    2572789 | PA      | $2217797.54    | 0.01%             | 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        |    9161887 | PA      | $9551402.50    | 0.02%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/29 #494945                                                                           | CUSIP: 31382WZJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5740 | PA      | $6033.05       | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FLAT 2025-30A                                                                      | FLAT 2025-30A A1 TSFR3M+116 04/15/2038 144A                                                       | CUSIP: 33882MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28802000 | PA      | $28757472.11   | 0.07%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 12/38 #970918                                                                          | CUSIP: 31414NDX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57312 | PA      | $60546.00      | 0.00%             | 2038-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                  | NATWEST GROUP PLC 3.073%/VAR 05/22/2028                                                           | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |   20149000 | PA      | $19892962.83   | 0.05%             | 2028-05-22      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| RR 34 LTD                                                                          | RR 34 LTD A1R TSFR3M+135 10/15/2039 144A                                                          | CUSIP: 74988WAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14403000 | PA      | $14442521.83   | 0.03%             | 2039-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 10/01/44#Q28991                                                                    | CUSIP: 3132M9UQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     188623 | PA      | $183105.57     | 0.00%             | 2044-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#Q39678                                                                    | CUSIP: 3132QWXG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     164335 | PA      | $159544.87     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | 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        |   50147908 | PA      | $40952973.25   | 0.09%             | 2050-09-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |    2400000 | NC      | $-27538.56     | -0.00%            |  |  |  | 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        |      75694 | PA      | $78811.11      | 0.00%             | 2041-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/40 #667594                                                                          | CUSIP: 36295DUT4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12815 | PA      | $12476.82      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #505740                                                                           | CUSIP: 31383KZD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        604 | PA      | $634.87        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2050#QB5146                                                                    | CUSIP: 3133ABWF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18444 | PA      | $15085.22      | 0.00%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/41 #AJ7139                                                                          | CUSIP: 3138AY4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19487 | PA      | $18989.51      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.25% 08/15/2054                                                      | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  110733000 | PA      | $100118203.27  | 0.23%             | 2054-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 7/30 #781205                                                                           | CUSIP: 36225BKS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3929 | PA      | $4062.80       | 0.00%             | 2030-07-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.246% 07/30/2054 144A                                                      | CUSIP: 864300AG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   42468030 | PA      | $42338196.74   | 0.10%             | 2054-07-30      | Fixed         | 0.05%                 | 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        |      74215 | PA      | $74241.54      | 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        |      39027 | PA      | $37975.36      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 6.49% 8/37 #1A1800                                                                       | CUSIP: 3128NF7M3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12690 | PA      | $12743.10      | 0.00%             | 2037-08-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2032#MA3154                                                                  | CUSIP: 31418CQG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31862 | PA      | $30724.28      | 0.00%             | 2032-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/38 #A78487                                                                           | CUSIP: 3128LCNC6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3659 | PA      | $3735.94       | 0.00%             | 2038-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/40 #748811                                                                           | CUSIP: 3620C43U2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17165 | PA      | $17194.33      | 0.00%             | 2040-09-15      | 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        |     800297 | PA      | $782027.71     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OAK HILL CREDIT PARTNERS                                                           | OAK HILL CREDIT PARTNERS A2 TSFR3M+165 04/20/2037 144A                                            | CUSIP: 67706JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2187000 | PA      | $2190162.40    | 0.01%             | 2037-04-20      | Variable      | 0.06%                 | 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        |      22306 | PA      | $23403.05      | 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        |   10851180 | PA      | $11458232.78   | 0.03%             | 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        |    5497265 | PA      | $4808522.16    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #452761                                                                           | CUSIP: 36208J5W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         87 | PA      | $87.70         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.35% 02/12/2048                                                              | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   14404000 | PA      | $11305699.60   | 0.03%             | 2048-02-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHLMC MULTIFAM STRUCTURED PASS THROUGH 2018-K072 A2 3.444% 12/25/2027                             | CUSIP: 3137FEBQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6100000 | PA      | $6055549.30    | 0.01%             | 2027-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0573                                                                          | CUSIP: 3138A1T76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7192 | PA      | $7052.86       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/47#Q52377                                                                         | CUSIP: 3132XUUB9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1450669 | PA      | $1401583.38    | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/28 #465985                                                                           | CUSIP: 36209AUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        260 | PA      | $265.55        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIE MAE 3% 05/25/2048                                                                          | CUSIP: 3136BMAC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2136048 | PA      | $2005612.02    | 0.00%             | 2048-05-25      | Fixed         | 0.03%                 | 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        |      19477 | PA      | $20581.39      | 0.00%             | 2034-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2040#AE9804                                                                    | CUSIP: 31419L3N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     465600 | PA      | $455867.09     | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |      68801 | PA      | $68788.11      | 0.00%             | 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        |      15303 | PA      | $15647.16      | 0.00%             | 2030-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 01/20/2064                                             | CUSIP: 38375UEJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      86305 | PA      | $86464.41      | 0.00%             | 2064-01-20      | Variable      | 0.05%                 | 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        |     130000 | NC      | $21708.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KIMBERLY-CLARK CORP                                                                | KIMBERLY-CLARK CORP 3.1% 03/26/2030                                                               | CUSIP: 494368CB7<br>LEI: MP3J6QPYPGN75NVW2S34 | Long             | DBT              | CORP              | US        |    1764000 | PA      | $1698027.51    | 0.00%             | 2030-03-26      | 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 3.35% 01/25/2028                                                   | CUSIP: 3137FETN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15200000 | PA      | $15061502.16   | 0.03%             | 2028-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2046#BC6149                                                                  | CUSIP: 3140F1ZP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186124 | PA      | $175106.32     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2045#AZ8288                                                                  | CUSIP: 3140E1F65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     295858 | PA      | $269448.47     | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.484% 10/23/2045 | CUSIP: 161175BA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   24519000 | PA      | $23051937.02   | 0.05%             | 2045-10-23      | Fixed         | 0.06%                 | 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        |   11029876 | PA      | $11013340.44   | 0.03%             | 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        |    2510648 | PA      | $2234476.24    | 0.01%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #513705                                                                           | CUSIP: 36211HU66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        687 | PA      | $703.88        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783262                                                                           | CUSIP: 36241LTT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     214478 | PA      | $214774.85     | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/39 #710869                                                                           | CUSIP: 36297FW65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132724 | PA      | $136864.65     | 0.00%             | 2039-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 6.2% 07/15/2030                                                                | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    8607000 | PA      | $9194665.13    | 0.02%             | 2030-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 3.25% 01/15/2028                                                                      | CUSIP: 615369AM7<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |   10681000 | PA      | $10536466.74   | 0.02%             | 2028-01-15      | Fixed         | 0.03%                 | 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        |   11791772 | PA      | $12288489.74   | 0.03%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/28 #660494                                                                           | CUSIP: 31390YXX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        379 | PA      | $398.03        | 0.00%             | 2028-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GENERAL MTRS FINL CO INC                                                           | GENERAL MTRS FINL CO INC 5.85% 04/06/2030                                                         | CUSIP: 37045XEG7<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |   13062000 | PA      | $13721701.14   | 0.03%             | 2030-04-06      | Fixed         | 0.06%                 | 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        |      47956 | PA      | $48074.21      | 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        |   12895677 | PA      | $11526448.86   | 0.03%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OCCU AUTO RECEIVABLES TRUST 2025-1                                                 | OCCU AUTO RECEIVABLES TRUST 2025-1 4.81% 11/15/2029 144A                                          | CUSIP: 67098SAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2900000 | PA      | $2925705.02    | 0.01%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #583573                                                                           | CUSIP: 36201HJS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        395 | PA      | $408.89        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 3.3% 01/30/2032                         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   19378000 | PA      | $17892084.69   | 0.04%             | 2032-01-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 11/36 #995606                                                                            | CUSIP: 31416CAF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55552 | PA      | $57169.84      | 0.00%             | 2036-11-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5191 CA 2.5% 04/25/2050                                            | CUSIP: 3137H5MS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2856099 | PA      | $2511683.73    | 0.01%             | 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        |   36471306 | PA      | $29795459.79   | 0.07%             | 2050-07-01      | Fixed         | 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        |    1100000 | NC      | $87388.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 08/01/2031#V61273                                                                  | CUSIP: 3132KFMW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1282089 | PA      | $1244743.81    | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 12/01/2053#FS6525                                                                  | CUSIP: 3140XNHB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2284861 | PA      | $2412041.93    | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/33 #614479                                                                           | CUSIP: 36290QUC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        281 | PA      | $285.46        | 0.00%             | 2033-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727855                                                                           | CUSIP: 3620AETL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9314 | PA      | $9309.64       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #587924                                                                           | CUSIP: 36201ND56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        295 | PA      | $297.69        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.2% 05/12/2026                                                                      | CUSIP: 06738EAP0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   11811000 | PA      | $11861971.79   | 0.03%             | 2026-05-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NATL MTG AS GTD RE PTT 18-38 FG SOFR30A+41.448 06/25/2048                                 | CUSIP: 3136B1T20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1425859 | PA      | $1381788.80    | 0.00%             | 2048-06-25      | Variable      | 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        |        335 | PA      | $336.68        | 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        |     164270 | PA      | $161159.27     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #456947                                                                           | CUSIP: 36208PTC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         24 | PA      | $24.48         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2045#AS5393                                                                  | CUSIP: 3138WE7F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76843 | PA      | $77019.03      | 0.00%             | 2045-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/40 #G05969                                                                           | CUSIP: 3128M76E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199114 | PA      | $203274.78     | 0.00%             | 2040-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #723234                                                                          | CUSIP: 3620A9PT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3734 | PA      | $3740.15       | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2029#                                                                          | CUSIP: 31293RTS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $82.73         | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | 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        |    9049212 | PA      | $9145891.58    | 0.02%             | 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        |      16491 | PA      | $16871.64      | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 21-1A A23 2.791% 11/20/2051 144A                                                | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   11741760 | PA      | $10466406.43   | 0.02%             | 2051-11-20      | Fixed         | 0.03%                 | 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        |    3945483 | PA      | $3930067.56    | 0.01%             | 2036-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AP4325                                                                  | CUSIP: 3138M7YX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24510 | PA      | $22855.01      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #780931                                                                          | CUSIP: 36225BA81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        204 | PA      | $207.18        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOMES 4 RENT LP                                                           | AMERICAN HOMES 4 RENT LP 4.3% 04/15/2052                                                          | CUSIP: 02666TAF4<br>LEI: 549300N4PXZ37U8QKI55 | Long             | DBT              | CORP              | US        |    9909000 | PA      | $7871813.94    | 0.02%             | 2052-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.75% 02/15/2045                                                                        | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45730000 | PA      | $45497777.57   | 0.10%             | 2045-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #465971                                                                           | CUSIP: 36209AT42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        939 | PA      | $953.00        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | 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        |      29656 | PA      | $30263.52      | 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        |     188663 | PA      | $178543.02     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 5.0% 05/15/2039#783724                                                                  | CUSIP: 3622A2D58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      92035 | PA      | $93874.87      | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB9016                                                                       | CUSIP: 31417GAS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16926 | PA      | $15656.53      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #460758                                                                           | CUSIP: 36208TZX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          9 | PA      | $9.06          | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #745083                                                                           | CUSIP: 3620C0XL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     132511 | PA      | $132668.85     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIMON PROPERTY GROUP LP                                                            | SIMON PROPERTY GROUP LP 2.65% 02/01/2032                                                          | CUSIP: 828807DT1<br>LEI: MR92GTD0MJTTTTQDVG45 | Long             | DBT              | CORP              | US        |   30000000 | PA      | $26997252.90   | 0.06%             | 2032-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #313182                                                                          | CUSIP: 31374F2P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.21         | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.89% 3/33 #725130                                                                       | CUSIP: 31402CST0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7588 | PA      | $7783.92       | 0.00%             | 2033-03-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| PROGRESSIVE CORP OHIO                                                              | PROGRESSIVE CORP OHIO 3.2% 03/26/2030                                                             | CUSIP: 743315AW3<br>LEI: 529900TACNVLY9DCR586 | Long             | DBT              | CORP              | US        |    3815000 | PA      | $3690051.92    | 0.01%             | 2030-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2025-6 LTD                                                          | CARLYLE US CLO 2025-6 LTD A1 TSFR3M+122 01/20/2039 144A                                           | CUSIP: 14320LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   31205000 | PA      | $31217419.59   | 0.07%             | 2039-01-20      | Variable      | 0.05%                 | 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        |    7392465 | PA      | $6701703.06    | 0.02%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+141.278 21 10/15/2036 144A                           | CUSIP: 05609PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7201000 | PA      | $7165095.81    | 0.02%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2044#Q27069                                                                  | CUSIP: 3132M7QW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8694 | PA      | $8677.96       | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03295                                                                           | CUSIP: 3132GJKG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     269810 | PA      | $264384.15     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510192                                                                           | CUSIP: 31383QXV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1358 | PA      | $1414.01       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3% 02/01/2037#C91917                                                                    | CUSIP: 3128P8DW8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     609608 | PA      | $580566.14     | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/47#BE3749                                                                       | CUSIP: 3140FPEX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2085117 | PA      | $2076863.21    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SCLP 2025-2                                                                        | SCLP 2025-2 4.82% 06/25/2034 144A                                                                 | CUSIP: 83407HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7829871 | PA      | $7875082.88    | 0.02%             | 2034-06-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL EQUIP FIN TR 2025-1                                                           | DELL EQUIP FIN TR 2025-1 4.68% 07/22/2027 144A                                                    | CUSIP: 24703UAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13745000 | PA      | $13793342.54   | 0.03%             | 2027-07-22      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #830899                                                                           | CUSIP: 31407HDC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        673 | PA      | $705.95        | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LXP INDUSTRIAL TRUST                                                               | LXP INDUSTRIAL TRUST 2.7% 09/15/2030                                                              | CUSIP: 529043AE1<br>LEI: 549300S4MH2ICXDBFV43 | Long             | DBT              | CORP              | US        |    7890000 | PA      | $7235170.08    | 0.02%             | 2030-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 03/20/2050#MA6541                                                                      | CUSIP: 36179VHS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3826413 | PA      | $3449355.15    | 0.01%             | 2050-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.358% 10/33 #754672                                                                     | CUSIP: 31403QMV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1448 | PA      | $1471.05       | 0.00%             | 2033-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #570662                                                                          | CUSIP: 36200R5X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1291 | PA      | $1313.86       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV3.5% MAC 03/18/30                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  -87264000 | NC      | $-97546.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AH0493                                                                          | CUSIP: 3138A1RP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11616 | PA      | $11413.46      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MOODYS CORP                                                                        | MOODYS CORP 3.25% 05/20/2050                                                                      | CUSIP: 615369AT2<br>LEI: 549300GCEDD8YCF5WU84 | Long             | DBT              | CORP              | US        |    9704000 | PA      | $6598104.28    | 0.02%             | 2050-05-20      | Fixed         | 0.03%                 | 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        |   13300000 | NC      | $-152609.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2048#Q58998                                                                  | CUSIP: 3132Y27L4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     415911 | PA      | $413328.30     | 0.00%             | 2048-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #372445                                                                           | CUSIP: 36204KWE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         43 | PA      | $43.72         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2023-4 LTD                                                 | BAIN CAPITAL CREDIT CLO 2023-4 LTD A1R TSFR3M+123 01/21/2039 144A                                 | CUSIP: 05685EAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32197000 | PA      | $32230678.06   | 0.07%             | 2039-01-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR5360                                                                  | CUSIP: 3138W25W1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      63668 | PA      | $58725.24      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MPLX LP                                                                            | MPLX LP 5.5% 02/15/2049                                                                           | CUSIP: 55336VAT7<br>LEI: 5493000CZJ19CK4P3G36 | Long             | DBT              | CORP              | US        |   16108000 | PA      | $14792032.78   | 0.03%             | 2049-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043                                                                         | CUSIP: 31417GAU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      50053 | PA      | $46183.05      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/42#AB5369                                                                       | CUSIP: 31417B6F9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31744 | PA      | $30353.94      | 0.00%             | 2042-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5815                                                                    | CUSIP: 36196HN89<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     293496 | PA      | $281145.17     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #692780                                                                           | CUSIP: 36296JUD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13139 | PA      | $13404.16      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#737704                                                                  | CUSIP: 3620ARRZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8881 | PA      | $8617.15       | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2045#AL7147                                                                  | CUSIP: 3138EP5H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     488072 | PA      | $486925.45     | 0.00%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 04/15/2046#784232                                                                    | CUSIP: 3622A2VZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2934750 | PA      | $2827797.80    | 0.01%             | 2046-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2044#G60271                                                                  | CUSIP: 31335AJQ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1741351 | PA      | $1665424.59    | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.717% 7/35 #735778                                                                      | CUSIP: 31402RM30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45462 | PA      | $46866.89      | 0.00%             | 2035-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #863262                                                                          | CUSIP: 31408XB74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1816 | PA      | $1912.81       | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2025-NQM5                                                 | BRAVO RESIDENTIAL FDG TR 2025-NQM5 A1 VAR 02/25/2065 144A                                         | CUSIP: 10569RAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2175504 | PA      | $2197583.58    | 0.01%             | 2065-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AQ9868                                                                  | CUSIP: 3138MR6E6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30231 | PA      | $28152.12      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR4275                                                                  | CUSIP: 3138W1XD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7053 | PA      | $6696.37       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | 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        |   22607131 | PA      | $20206766.52   | 0.05%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/32 #641860                                                                           | CUSIP: 31390CB54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $44.87         | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #558746                                                                           | CUSIP: 36213MWF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1253 | PA      | $1293.46       | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 12/01/2040#AE7856                                                                  | CUSIP: 31419JWS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97750 | PA      | $95749.97      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #424845                                                                           | CUSIP: 36206X5E9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        107 | PA      | $107.71        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 04/39#FM1039                                                                       | CUSIP: 3140X4EM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186951 | PA      | $182485.33     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | 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        |   11010554 | PA      | $11081714.22   | 0.03%             | 2037-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 5.088%/VAR 06/20/2030                                                                | CUSIP: 06738EBK0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   35020000 | PA      | $35615881.76   | 0.08%             | 2030-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 4.45% 09/26/2030                                                                      | CUSIP: 68389XDH5<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   15097000 | PA      | $14769939.20   | 0.03%             | 2030-09-26      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2043#AU6807                                                                  | CUSIP: 3138X6R56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48489 | PA      | $48640.63      | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #504525                                                                           | CUSIP: 31383JPJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.62         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #499386                                                                           | CUSIP: 31383CXP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        454 | PA      | $471.42        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 4/1/43 #AB9033                                                                       | CUSIP: 31417GBB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43960 | PA      | $40626.98      | 0.00%             | 2043-04-01      | 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        |     387935 | PA      | $377616.76     | 0.00%             | 2043-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #556294                                                                          | CUSIP: 36213J7F6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2996 | PA      | $3100.94       | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #711491                                                                           | CUSIP: 36297GNG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     169410 | PA      | $164720.19     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #589934                                                                           | CUSIP: 36201QLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1744 | PA      | $1812.61       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AL3181                                                                  | CUSIP: 3138EKRB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1661758 | PA      | $1540019.40    | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2013-H07 BA TSFR1M+36 03/63                                                                   | CUSIP: 38375BQ54<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       5706 | PA      | $5693.64       | 0.00%             | 2063-03-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #555696                                                                           | CUSIP: 36213JKH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        311 | PA      | $321.99        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 5/42 #766750                                                                           | CUSIP: 36176HTF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     237022 | PA      | $224876.01     | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | 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        |         52 | PA      | $54.91         | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2039#AX5330                                                                    | CUSIP: 3138Y64Q4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240875 | PA      | $235949.29     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #379219                                                                           | CUSIP: 31377KG41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         70 | PA      | $70.28         | 0.00%             | 2027-05-01      | 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 VAR 10/25/2030                                                     | CUSIP: 3137HPEY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23000000 | PA      | $22999926.40   | 0.05%             | 2030-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.349% 12/34 #843013                                                                     | CUSIP: 31407WSA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11136 | PA      | $11317.24      | 0.00%             | 2034-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#RA6308                                                                    | CUSIP: 3133KNAH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1851858 | PA      | $1522724.87    | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8186                                                                    | CUSIP: 31419KCY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174632 | PA      | $171289.43     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.375% 02/01/2031                                                  | CUSIP: 681936BM1<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   11416000 | PA      | $10658037.53   | 0.02%             | 2031-02-01      | Fixed         | 0.03%                 | 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        |       5357 | PA      | $5365.87       | 0.00%             | 2040-02-15      | 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        |      20333 | PA      | $20835.26      | 0.00%             | 2036-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| OCWEN LN INVT TR 2024-HB1                                                          | OCWEN LN INVT TR 2024-HB1 3% 02/25/2037 144A                                                      | CUSIP: 675952AA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1091416 | PA      | $1075134.32    | 0.00%             | 2037-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/28 #251755                                                                           | CUSIP: 31371GTL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        630 | PA      | $642.95        | 0.00%             | 2028-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/47#BJ2132                                                                         | CUSIP: 3140H3LN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461456 | PA      | $447183.45     | 0.00%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 78 CLO LTD                                                                  | DRYDEN 78 CLO LTD A1R TSFR3M+153 04/17/2037 144A                                                  | CUSIP: 26253LAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12000000 | PA      | $12020040.00   | 0.03%             | 2037-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2046#BC1216                                                                  | CUSIP: 3140EVK63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2761730 | PA      | $2598244.41    | 0.01%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 03/01/2039#FM1774                                                                  | CUSIP: 3140X46L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2740458 | PA      | $2764722.98    | 0.01%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2047#Q47935                                                                  | CUSIP: 3132WMY99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1055746 | PA      | $1052817.93    | 0.00%             | 2047-05-01      | Fixed         | 0.04%                 | 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        |   11232900 | PA      | $11243289.32   | 0.03%             | 2041-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/40 #AH1986                                                                          | CUSIP: 3138A3F44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10469 | PA      | $10491.02      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #487575                                                                           | CUSIP: 36210BT88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        346 | PA      | $353.87        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | 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        |     674432 | PA      | $615778.44     | 0.00%             | 2046-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ2170                                                                  | CUSIP: 3138MHMU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9536 | PA      | $8846.05       | 0.00%             | 2042-11-01      | 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        |   13100000 | NC      | $-69241.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 5YR NOTE (CBT) FUT MAR26 FVH6                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -9 | NC      | $2311.15       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/27 #313828                                                                          | CUSIP: 31374GSR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         16 | PA      | $17.03         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | 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        |    1800000 | NC      | $-20653.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 6.627%/VAR 11/01/2034                                                              | CUSIP: 61747YFJ9<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $55908396.50   | 0.13%             | 2034-11-01      | Variable      | 0.07%                 | 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        |    2316117 | PA      | $2252856.42    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #728314                                                                          | CUSIP: 3620AFDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18690 | PA      | $18718.01      | 0.00%             | 2039-11-15      | 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        |       6630 | PA      | $6573.69       | 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        |     214595 | PA      | $208648.28     | 0.00%             | 2031-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #552575                                                                           | CUSIP: 36213E2G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1619 | PA      | $1672.27       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3% 04/25/2050                                                      | CUSIP: 3137H6K38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3388838 | PA      | $3119921.53    | 0.01%             | 2050-04-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2055#FA1959                                                                  | CUSIP: 3140W2E98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22027750 | PA      | $22341933.62   | 0.05%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/34 #A19922                                                                           | CUSIP: 31296VAX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9546 | PA      | $9729.45       | 0.00%             | 2034-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.25% 12/01/2041#AK9124                                                                 | CUSIP: 3138EED63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14235 | PA      | $13564.68      | 0.00%             | 2041-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 6/37 #617570                                                                           | CUSIP: 36290UCF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4699 | PA      | $4991.66       | 0.00%             | 2037-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2051#MA4347                                                                  | CUSIP: 31418DZM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29799 | PA      | $27727.82      | 0.00%             | 2051-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2046#AS7241                                                                  | CUSIP: 3138WHBK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1117932 | PA      | $1053151.51    | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-60 FV SOFR30A+111.448 4/32                                                               | CUSIP: 31392EVD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       7266 | PA      | $7315.87       | 0.00%             | 2032-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #506694                                                                           | CUSIP: 36210Y3B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49 | PA      | $49.89         | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/31 #570320                                                                           | CUSIP: 31386QSH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        516 | PA      | $545.05        | 0.00%             | 2031-02-01      | 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        |  119961993 | PA      | $99357285.02   | 0.23%             | 2051-01-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 11/15/2035                                                                           | CUSIP: 91282CPJ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  383000000 | PA      | $377494375.00  | 0.87%             | 2035-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6% 01/01/2056 #TBA                                                                        | CUSIP: 21H060614<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -304750000 | PA      | $-310541499.48 | -0.72%            | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #433528                                                                           | CUSIP: 36207JSR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49 | PA      | $49.43         | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | 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        |   10183464 | PA      | $9289188.84    | 0.02%             | 2035-07-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ8098                                                                          | CUSIP: 3138E07L7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     374953 | PA      | $366546.72     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEXT ABS 2025-2 LLC                                                                | DEXT ABS 2025-2 LLC 4.28% 04/17/2028 144A                                                         | CUSIP: 252153AB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6700000 | PA      | $6701454.57    | 0.02%             | 2028-04-17      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2031#AS8246                                                                  | CUSIP: 3138WJEU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      62342 | PA      | $60355.77      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #738886                                                                          | CUSIP: 3620AS2T5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     109762 | PA      | $106759.06     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | 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        |     622683 | PA      | $604640.36     | 0.00%             | 2044-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #560279                                                                           | CUSIP: 36213PM40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        244 | PA      | $247.16        | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/28 #437140                                                                           | CUSIP: 31380DS56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        261 | PA      | $274.23        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #511096                                                                           | CUSIP: 31383RXZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $37.54         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2048#BK0200                                                                  | CUSIP: 3140HDGJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      57257 | PA      | $56887.70      | 0.00%             | 2048-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #748144                                                                           | CUSIP: 3620C4ER7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19416 | PA      | $18809.67      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.271%/VAR 07/23/2029                                                 | CUSIP: 06051GHM4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2009166.94    | 0.00%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                                           | FORD MOTOR CREDIT CO LLC 5.73% 09/05/2030                                                         | CUSIP: 345397H48<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   40000000 | PA      | $40615873.60   | 0.09%             | 2030-09-05      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CY885799 12/15/56 S                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   16000000 | NC      | $-183590.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 7/37 #G03508                                                                           | CUSIP: 3128M5GR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12699 | PA      | $13419.40      | 0.00%             | 2037-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 1/42 #AL2128                                                                           | CUSIP: 3138EJLJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31179 | PA      | $32962.99      | 0.00%             | 2042-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 03/20/2031#MA3496                                                                    | CUSIP: 36179R3D9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     224220 | PA      | $220055.20     | 0.00%             | 2031-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7755                                                                  | CUSIP: 31417ETM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     348127 | PA      | $322285.78     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| OHA CREDIT PARTNERS VII LTD                                                        | OHA CREDIT PARTNERS VII LTD AR4 TSFR3M+114 02/20/2038 144A                                        | CUSIP: 67102QBK3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26623000 | PA      | $26569754.00   | 0.06%             | 2038-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 02/01/2055#SD8506                                                                  | CUSIP: 3132DWNX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41276185 | PA      | $41864911.17   | 0.10%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 4.926% 05/15/2037 144A                                                               | CUSIP: 11135FBV2<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   23167000 | PA      | $22866022.91   | 0.05%             | 2037-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/28 #251409                                                                           | CUSIP: 31371GGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         29 | PA      | $30.78         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2046#BC8622                                                                  | CUSIP: 3140F4SL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29782 | PA      | $29720.43      | 0.00%             | 2046-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #372408                                                                           | CUSIP: 36204KU92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         53 | PA      | $53.03         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-SOAR                                             | BX TRUST 2022-IND A TSFR1M+139.8 04/15/2024 144A                                                  | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18727561 | PA      | $18744809.38   | 0.04%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 4.411%/VAR 04/23/2039                                               | CUSIP: 38141GXA7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2771638.02    | 0.01%             | 2039-04-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 06/01/2031#G18604                                                                  | CUSIP: 3128MMU68<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     450295 | PA      | $437368.41     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-85 L 2.5% 08/25/2048                                            | CUSIP: 3136BKJA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2146006 | PA      | $1919525.17    | 0.00%             | 2048-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #433774                                                                           | CUSIP: 36207J2F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         71 | PA      | $71.61         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2041#                                                                        | CUSIP: 312946BR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     133744 | PA      | $134059.47     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO 44 LTD / LLC                                           | BENEFIT STREET PARTNERS CLO 44 LTD / LLC A1 TSFR3M+122 01/15/2039 144A                            | CUSIP: 08187NAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27563000 | PA      | $27585326.03   | 0.06%             | 2039-01-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1281                                                                  | CUSIP: 3140QLM78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28527757 | PA      | $24395388.74   | 0.06%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 09/01/2050#FM4595                                                                    | CUSIP: 3140X8C96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21935 | PA      | $19427.48      | 0.00%             | 2050-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE7533                                                                          | CUSIP: 31419JLP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26235 | PA      | $25691.44      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AASET 2022-1 LTD                                                                   | AASET 2022-1 LTD 6% 05/16/2047 144A                                                               | CUSIP: 00255EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18038504 | PA      | $18404193.39   | 0.04%             | 2047-05-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2045#AN1263                                                                  | CUSIP: 36185GML6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     174316 | PA      | $167837.88     | 0.00%             | 2045-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #250551                                                                           | CUSIP: 31371FH47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $31.68         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #464855                                                                           | CUSIP: 36208YMC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         25 | PA      | $25.87         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 6.224%/VAR 05/09/2034                                                                | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   31185000 | PA      | $33533363.04   | 0.08%             | 2034-05-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/34 #A30369                                                                          | CUSIP: 31297KMS8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1668 | PA      | $1701.58       | 0.00%             | 2034-12-01      | Fixed         | 0.05%                 | 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        |     727406 | PA      | $687982.59     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/32 #555144                                                                          | CUSIP: 31385WWD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        351 | PA      | $369.33        | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGNETITE IX LTD / MAGNETITE IX LLC                                                | MAGNETITE IX LTD /LLC AR TSFR3M+135 10/25/2037 144A                                               | CUSIP: 55953UAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32900000 | PA      | $32957509.20   | 0.08%             | 2037-10-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2043#AT3989                                                                  | CUSIP: 3138WRNF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     615303 | PA      | $586037.59     | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4% 07/31/2032                                                                           | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  392000000 | PA      | $394051876.96  | 0.91%             | 2032-07-31      | Fixed         | 0.04%                 | 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        |    3637739 | PA      | $3565248.27    | 0.01%             | 2034-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHR 3225 EO 0% 10/36                                                                              | CUSIP: 31397BQR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      54603 | PA      | $45804.21      | 0.00%             | 2036-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2042#                                                                          | CUSIP: 3132GSMY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36609 | PA      | $35692.54      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/29 #793986                                                                           | CUSIP: 31405NCX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7452 | PA      | $7650.45       | 0.00%             | 2029-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1999-57 PH 6.5% 12/29                                                                         | CUSIP: 31359XGQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      53157 | PA      | $54502.97      | 0.00%             | 2029-12-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2029#AS3260                                                                  | CUSIP: 3138WCTS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16143 | PA      | $15804.68      | 0.00%             | 2029-09-01      | Fixed         | 0.03%                 | 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        |     117946 | PA      | $117739.74     | 0.00%             | 2034-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/28 #468222                                                                           | CUSIP: 36209DD35<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        136 | PA      | $137.01        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.25% 07/01/2029                                                               | CUSIP: 29273VAZ3<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   11564000 | PA      | $11900240.18   | 0.03%             | 2029-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BAMLL COML MTG SECS TR 2019                                                        | BAMLL COML MTG SECS TR 2019 3.465% 11/05/2032 144A                                                | CUSIP: 05492PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2962000 | PA      | $2780734.78    | 0.01%             | 2032-11-05      | Fixed         | 0.03%                 | 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        |   27844929 | PA      | $23959397.80   | 0.06%             | 2051-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                          | CUSIP: 31292GZX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        175 | PA      | $179.77        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #728315                                                                          | CUSIP: 3620AFDU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27016 | PA      | $27086.57      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| PEACE PARK CLO LTD                                                                 | PEACE PARK CLO LTD 2021-1A AR TSFR3M+125 10/20/2038 144A                                          | CUSIP: 70470MAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26956000 | PA      | $26982848.18   | 0.06%             | 2038-10-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                              | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3.625% 01/15/2032                           | CUSIP: 46590XAU0<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   18075000 | PA      | $16914085.23   | 0.04%             | 2032-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/30 #477030                                                                           | CUSIP: 36209N4P4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        518 | PA      | $532.36        | 0.00%             | 2030-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 3.8% 12/01/2057                                                                      | CUSIP: 00206RMN9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |  106127000 | PA      | $72998587.77   | 0.17%             | 2057-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 2.5% 09/01/2031                                                       | CUSIP: 92277GAW7<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   53031000 | PA      | $47651777.18   | 0.11%             | 2031-09-01      | 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        |       8263 | PA      | $7802.86       | 0.00%             | 2043-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 02/20/2050#BT1983                                                                    | CUSIP: 3617MQFY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     560699 | PA      | $515144.47     | 0.00%             | 2050-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC                                    | AIMCO CLO SER 2018-B / AIMCO CLO SER 2018-B LLC ARR TSFR3M+150 04/16/2037 144A                    | CUSIP: 00900PAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   35255000 | PA      | $35346980.30   | 0.08%             | 2037-04-16      | 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 3.9% 04/25/2028                                                    | CUSIP: 3137FEZU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6900000 | PA      | $6908763.69    | 0.02%             | 2028-04-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #447688                                                                           | CUSIP: 36208DJ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         28 | PA      | $28.14         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.8% 01/31/2028                                                              | CUSIP: 14040HBW4<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   16228000 | PA      | $16161795.44   | 0.04%             | 2028-01-31      | 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        |      57587 | PA      | $58725.77      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2045#AY5316                                                                  | CUSIP: 3138YJ4A1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91346 | PA      | $91555.62      | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 02/01/2040#                                                                          | CUSIP: 312939LZ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25155 | PA      | $25686.45      | 0.00%             | 2040-02-01      | Fixed         | 0.05%                 | 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        |      38493 | PA      | $37439.56      | 0.00%             | 2041-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 08/01/2055#RJ4643                                                                    | CUSIP: 3142GVER8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14265441 | PA      | $14889765.57   | 0.03%             | 2055-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CARRIER GLOBAL CORP                                                                | CARRIER GLOBAL CORP 5.9% 03/15/2034                                                               | CUSIP: 14448CBC7<br>LEI: 549300JE3W6CWY2NAN77 | Long             | DBT              | CORP              | US        |    3574000 | PA      | $3833752.96    | 0.01%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2042#AA8275                                                                  | CUSIP: 36178GFQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13053 | PA      | $12315.06      | 0.00%             | 2042-07-15      | 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        |    7928842 | PA      | $7123641.96    | 0.02%             | 2041-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.50% 6/31 #003095                                                                        | CUSIP: 36202DNL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        223 | PA      | $231.41        | 0.00%             | 2031-06-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 7/35 #635384                                                                           | CUSIP: 36291Q2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1429 | PA      | $1518.10       | 0.00%             | 2035-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.125% 03/15/2033                                                                       | CUSIP: 023551AM6<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |    4791000 | PA      | $5544660.47    | 0.01%             | 2033-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 02/01/2030#                                                                          | CUSIP: 31292HAX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         76 | PA      | $79.64         | 0.00%             | 2030-02-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 06/01/2051#FS4922                                                                    | CUSIP: 3140XLPG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6359299 | PA      | $5723831.44    | 0.01%             | 2051-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/39 #935009                                                                           | CUSIP: 31412UGS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4062 | PA      | $4294.27       | 0.00%             | 2039-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #836839                                                                          | CUSIP: 31407PV88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        647 | PA      | $680.11        | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8634                                                                  | CUSIP: 3138MQSY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      78249 | PA      | $72130.22      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 12/01/2049#CA4792                                                                    | CUSIP: 3140QCKE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20152 | PA      | $18094.20      | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | 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        |     435944 | PA      | $442161.53     | 0.00%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781006                                                                           | CUSIP: 36225BDK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        205 | PA      | $209.12        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | 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        |    2467723 | PA      | $2339677.68    | 0.01%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464692                                                                           | CUSIP: 36208YF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         64 | PA      | $64.33         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 8.125% 09/15/2030                                                                     | CUSIP: 012873AH8<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |   13383000 | PA      | $15274648.37   | 0.04%             | 2030-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 12/01/2051#FM9894                                                                  | CUSIP: 3140XD7G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76985 | PA      | $65857.53      | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.5% 06/15/2040#741262                                                                  | CUSIP: 3620AVQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5637 | PA      | $5642.32       | 0.00%             | 2040-06-15      | 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        |      57569 | PA      | $54963.88      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2035#AB8198                                                                  | CUSIP: 31417FDC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      92124 | PA      | $92549.66      | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 05/44#AW4672                                                                       | CUSIP: 3138XUFN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30934 | PA      | $31524.61      | 0.00%             | 2044-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE6673                                                                  | CUSIP: 3140FSMX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        466 | PA      | $440.44        | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/30 #710936                                                                           | CUSIP: 31401KY90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2199 | PA      | $2310.78       | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 1/41 #004946                                                                        | CUSIP: 36202FP75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1136149 | PA      | $1136564.16    | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 12/20/2040#004880                                                                  | CUSIP: 36202FM52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      93231 | PA      | $91508.77      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33441                                                                  | CUSIP: 3132QPZF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33502 | PA      | $30603.58      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | 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        |     469952 | PA      | $442132.30     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 5.2% 03/01/2035 144A                                                                     | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   17973000 | PA      | $18473181.94   | 0.04%             | 2035-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #464005                                                                           | CUSIP: 36208XNW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         97 | PA      | $98.88         | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PLANET FITNESS MASTER ISSUER LLC 18-1A                                             | PLANET FITNESS MASTER ISSUER LLC 25-1A A2I 5.5% 12/06/2055 144A                                   | CUSIP: 72703PAH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18965000 | PA      | $19062301.83   | 0.04%             | 2055-12-06      | Fixed         | 0.05%                 | 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        |    1332124 | PA      | $1311287.55    | 0.00%             | 2049-10-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/31 #533785                                                                           | CUSIP: 36212G6W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11526 | PA      | $11910.03      | 0.00%             | 2031-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.75% 03/01/2029 144A                                                 | CUSIP: 05401AAU5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   40000000 | PA      | $41361240.00   | 0.10%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/45#BM1415                                                                       | CUSIP: 3140J5SD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     343255 | PA      | $343515.15     | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/44#AW6973                                                                       | CUSIP: 3138XWXB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47029 | PA      | $47911.49      | 0.00%             | 2044-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 6.505% 07/30/2054 144A                                                      | CUSIP: 864300AE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   25936020 | PA      | $26824030.42   | 0.06%             | 2054-07-30      | Fixed         | 0.07%                 | 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        |      10032 | PA      | $9438.42       | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/01/2051#SD8128                                                                    | CUSIP: 3132DWA52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3659927 | PA      | $2985424.80    | 0.01%             | 2051-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35367                                                                             | CUSIP: 3132QR6D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      86793 | PA      | $79751.57      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | 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        |    1992110 | PA      | $1944070.74    | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 8/39 #931836                                                                           | CUSIP: 31412QHM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11226 | PA      | $11019.05      | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 9/38 #677307                                                                           | CUSIP: 36295QNY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      64432 | PA      | $66398.10      | 0.00%             | 2038-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JERSEY MIKES FUNDING LLC                                                           | JERSEY MIKES FDG LLC 5.636% 02/15/2055 144A                                                       | CUSIP: 476681AD3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   24509788 | PA      | $25011402.36   | 0.06%             | 2055-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 02/01/2056 #TBA                                                                      | CUSIP: 21H062628<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35825000 | PA      | $36986371.27   | 0.09%             | 2056-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.1% 04/15/2030                                                                       | CUSIP: 704326AA5<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    3641000 | PA      | $3748461.93    | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2025-1                                                           | T-MOBILE US TRUST 2025-1 4.74% 11/20/2029 144A                                                    | CUSIP: 872974AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     500000 | PA      | $507072.15     | 0.00%             | 2029-11-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.194%/VAR 04/01/2031 144A                                                           | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |   40079000 | PA      | $39697000.24   | 0.09%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34677                                                                    | CUSIP: 31307RFS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32182 | PA      | $31646.89      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | 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        |    2758019 | PA      | $2729864.69    | 0.01%             | 2048-12-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8830                                                                  | CUSIP: 31417FY44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66050 | PA      | $61100.33      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/01/2041#AI3724                                                                  | CUSIP: 3138AHD60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      47747 | PA      | $48690.19      | 0.00%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| KEYBANK NATL ASSN                                                                  | KEYBANK NATL ASSN 6.95% 02/01/2028                                                                | CUSIP: 49306CAB7<br>LEI: HUX2X73FUCYHUVH1BK78 | Long             | DBT              | CORP              | US        |     850000 | PA      | $892531.59     | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 05/01/2055#SL3009                                                                  | CUSIP: 31427QKX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35043744 | PA      | $36949457.57   | 0.09%             | 2055-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/39 #706762                                                                           | CUSIP: 36297BFB2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27920 | PA      | $27266.56      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2044#AV6341                                                                  | CUSIP: 3138XJBK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20459 | PA      | $20433.46      | 0.00%             | 2044-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AO0513                                                                           | CUSIP: 3138LQSB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33548 | PA      | $32949.74      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AA8111                                                                           | CUSIP: 31416SAM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14100 | PA      | $14128.77      | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2034#781041                                                                  | CUSIP: 31404WWA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        318 | PA      | $318.68        | 0.00%             | 2034-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 1/32 #003188                                                                         | CUSIP: 36202DRH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        384 | PA      | $399.71        | 0.00%             | 2032-01-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/34 #A24424                                                                           | CUSIP: 31297B4H2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $150.91        | 0.00%             | 2034-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4% 09/01/2039#CA4213                                                                    | CUSIP: 3140QBVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     613644 | PA      | $604828.58     | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 10/42 #AP9735                                                                          | CUSIP: 3138MDY97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1532525 | PA      | $1463472.19    | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 4% 09/01/2040#                                                                          | CUSIP: 312942ME2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11949 | PA      | $11734.47      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#723124                                                                  | CUSIP: 31402ALD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10913 | PA      | $10963.29      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.675 06/03/26                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   41460000 | NC      | $417639.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 06/01/2043#AT8809                                                                  | CUSIP: 3138WWYF0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10848 | PA      | $9969.07       | 0.00%             | 2043-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/01/2048#BM3700                                                                    | CUSIP: 3140J8DE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2527742 | PA      | $2451141.66    | 0.01%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE8271                                                                          | CUSIP: 31419KFM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13272 | PA      | $13009.26      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2519 ZD 5.50% 11/32                                                                           | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      39701 | PA      | $40533.23      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 6.55% 05/01/2037                                                            | CUSIP: 88732JAJ7<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   73937000 | PA      | $75449663.77   | 0.17%             | 2037-05-01      | Fixed         | 0.07%                 | 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        |     135328 | PA      | $125179.02     | 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        |    5085241 | PA      | $4449332.47    | 0.01%             | 2041-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 5.336%/VAR 01/23/2035                                                       | CUSIP: 46647PEC6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $51820941.00   | 0.12%             | 2035-01-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2042#AJ6217                                                                    | CUSIP: 3138AX4B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123601 | PA      | $120835.18     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.298% 05/01/2029                                                                       | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   11086000 | PA      | $11767216.08   | 0.03%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2042#AL5881                                                                  | CUSIP: 3138ENRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     781580 | PA      | $782473.65     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2041#769621                                                                  | CUSIP: 36176LYS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      61665 | PA      | $59749.02      | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 12/37 #670380                                                                          | CUSIP: 36295GXH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12834 | PA      | $13090.71      | 0.00%             | 2037-12-15      | Fixed         | 0.05%                 | 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        |     473621 | PA      | $371132.51     | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 4.5% 04/15/2030                                                                     | CUSIP: 548661DU8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |   16112000 | PA      | $16315932.97   | 0.04%             | 2030-04-15      | Fixed         | 0.04%                 | 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        |    3216703 | PA      | $3042367.54    | 0.01%             | 2047-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #664574                                                                           | CUSIP: 36295AJT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7599 | PA      | $7752.41       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2045#Q33138                                                                  | CUSIP: 3132QPPY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199285 | PA      | $193155.31     | 0.00%             | 2045-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #729514                                                                           | CUSIP: 3620AGN76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5623 | PA      | $5736.25       | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2048#CA1713                                                                  | CUSIP: 3140Q83X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181463 | PA      | $180290.80     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 10YR 2.5% 10/01/2029#FM1701                                                                  | CUSIP: 3140X43K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22533 | PA      | $22081.54      | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/40 #736596                                                                           | CUSIP: 3620AQKH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16994 | PA      | $17019.09      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MARS INC                                                                           | MARS INC 4.8% 03/01/2030 144A                                                                     | CUSIP: 571676AY1<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |   28803000 | PA      | $29435589.63   | 0.07%             | 2030-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DNKN 2017-1A A2II 4.03% 11/20/2047 144A                                                           | CUSIP: 233046AF8<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   35306842 | PA      | $35076345.31   | 0.08%             | 2047-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #647513                                                                           | CUSIP: 31390JK26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $380.37        | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297RXG7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        956 | PA      | $975.79        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | 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        |   16832853 | PA      | $14190273.55   | 0.03%             | 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        |     245009 | PA      | $249552.27     | 0.00%             | 2035-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/29 #477007                                                                           | CUSIP: 36209N3Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $55.50         | 0.00%             | 2029-09-15      | 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        |     152485 | PA      | $152688.74     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/01/2040#                                                                          | CUSIP: 312944H79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33825 | PA      | $33243.90      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2045#Q34311                                                                  | CUSIP: 3132QQYH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4472114 | PA      | $4241833.06    | 0.01%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SREIT TR 2021-MFP                                                                  | SREIT TR 2021-MFP D TSFR1M+169.268 82 11/15/2038 144A                                             | CUSIP: 78472UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6914571 | PA      | $6910299.45    | 0.02%             | 2038-11-15      | Variable      | 0.05%                 | 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        |       7105 | PA      | $6701.16       | 0.00%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 07/01/2030#                                                                          | CUSIP: 31297XWP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        836 | PA      | $882.08        | 0.00%             | 2030-07-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/31 #529791                                                                           | CUSIP: 36212CRL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1046 | PA      | $1081.15       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2046#AL9058                                                                  | CUSIP: 3138ERB41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5934194 | PA      | $5582907.84    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 08/01/2031#AS7695                                                                  | CUSIP: 3138WHRR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1367752 | PA      | $1326475.19    | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738229                                                                           | CUSIP: 3620ASEA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12053 | PA      | $12295.90      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2042#AL6997                                                                  | CUSIP: 3138EPX33<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3679477 | PA      | $3682999.37    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCCIDENTAL PETROLEUM CORP                                                          | OCCIDENTAL PETROLEUM CORP 5.55% 10/01/2034                                                        | CUSIP: 674599EL5<br>LEI: IM7X0T3ECJW4C1T7ON55 | Long             | DBT              | CORP              | US        |   27742000 | PA      | $28297191.49   | 0.07%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AT3042                                                                  | CUSIP: 3138WQLY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51152 | PA      | $47311.45      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/29 #481600                                                                           | CUSIP: 36209T7M5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        234 | PA      | $239.93        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/30 #531078                                                                           | CUSIP: 31384Q6P3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        664 | PA      | $698.10        | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 06/45#AZ3703                                                                            | CUSIP: 3138YVDH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103004 | PA      | $94318.73      | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #323318                                                                          | CUSIP: 31374TDX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4383 | PA      | $4606.16       | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 12/45#G60412                                                                         | CUSIP: 31335AN53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18316 | PA      | $17768.78      | 0.00%             | 2045-12-01      | 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        |    1586023 | PA      | $1586530.22    | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3133KMR72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2785519 | PA      | $2593640.42    | 0.01%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 12/01/43#AL5959                                                                    | CUSIP: 3138ENTR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7106 | PA      | $7243.68       | 0.00%             | 2043-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2052#FS1015                                                                    | CUSIP: 3140XGDV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68176 | PA      | $56059.22      | 0.00%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #754197                                                                           | CUSIP: 36230NUW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13311 | PA      | $12901.83      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A32122                                                                           | CUSIP: 31297MLB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24677 | PA      | $25172.41      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 2/1/43 #AR5859                                                                     | CUSIP: 3138W3QM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105938 | PA      | $101132.57     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 5% 01/01/2041 #TBA                                                                      | CUSIP: 01F050411<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -116450000 | PA      | $-117951110.37 | -0.27%            | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #465748                                                                           | CUSIP: 36209AL57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        192 | PA      | $195.77        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/43#Q22414                                                                       | CUSIP: 3132JPVF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      76028 | PA      | $75912.04      | 0.00%             | 2043-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/31 #689547                                                                           | CUSIP: 31400KBQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        456 | PA      | $456.60        | 0.00%             | 2031-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2047#RA7212                                                                  | CUSIP: 3133KPAM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5089204 | PA      | $4746589.53    | 0.01%             | 2047-04-01      | Fixed         | 0.04%                 | 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        |      33370 | PA      | $32625.61      | 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        |   11855649 | PA      | $12366171.73   | 0.03%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2055#DE4676                                                                  | CUSIP: 3140BHFS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2090778 | PA      | $2120598.71    | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 08/01/2027#                                                                        | CUSIP: 31283G3U9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        578 | PA      | $587.49        | 0.00%             | 2027-08-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565482                                                                           | CUSIP: 36213VFX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         73 | PA      | $75.19         | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #701116                                                                          | CUSIP: 36296T3Z4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27951 | PA      | $28765.33      | 0.00%             | 2038-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 10/01/2031#BC4777                                                                  | CUSIP: 3140F0JX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5900 | PA      | $5719.47       | 0.00%             | 2031-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6075                                                                           | CUSIP: 3138A7XD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30382 | PA      | $29752.38      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 4.9% 12/15/2048                                                                 | CUSIP: 125523AK6<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   18071000 | PA      | $16110951.75   | 0.04%             | 2048-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/44#AW7942                                                                       | CUSIP: 3138XXZG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18321 | PA      | $18664.61      | 0.00%             | 2044-08-01      | 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        |      39417 | PA      | $41054.63      | 0.00%             | 2032-04-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #313835                                                                          | CUSIP: 31374GSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        258 | PA      | $261.84        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 1/1/43 #Q14696                                                                       | CUSIP: 3132HRGD6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     121271 | PA      | $112449.49     | 0.00%             | 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        |      40042 | PA      | $39249.74      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/29 #502245                                                                           | CUSIP: 36210T5E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         83 | PA      | $83.58         | 0.00%             | 2029-02-15      | Fixed         | 0.07%                 | 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        |    1200000 | NC      | $173296.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2044#AX6510                                                                  | CUSIP: 3138Y8GU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     184615 | PA      | $185038.08     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | 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        |   47441221 | PA      | $40670163.02   | 0.09%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/40 #756928                                                                          | CUSIP: 36230RVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29656 | PA      | $28129.99      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#BJ0036                                                                  | CUSIP: 3140H1BE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21401 | PA      | $20628.79      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8610                                                                  | CUSIP: 31417FR83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      97882 | PA      | $90607.52      | 0.00%             | 2043-03-01      | 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        |   21624820 | PA      | $19003560.64   | 0.04%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #357843                                                                           | CUSIP: 31376KP42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      58265 | PA      | $61183.07      | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | 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        |    4053692 | PA      | $4123736.23    | 0.01%             | 2039-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BRAVO RESIDENTIAL FDG TR 2022-RPL1                                                 | BRAVO RESIDENTIAL FDG TR 2022-RPL1 2.75% 09/25/2061 144A                                          | CUSIP: 10569XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11809876 | PA      | $10962027.57   | 0.03%             | 2061-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SANTANDER HLDGS USA INC                                                            | SANTANDER HLDGS USA INC 2.49%/VAR 01/06/2028                                                      | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |   25589000 | PA      | $25151124.36   | 0.06%             | 2028-01-06      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #611797                                                                           | CUSIP: 31388QUW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8059 | PA      | $8549.84       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 1/42 #757490                                                                           | CUSIP: 36230SKB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     158788 | PA      | $149931.70     | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #733871                                                                           | CUSIP: 3620AMJQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1586 | PA      | $1587.65       | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510166                                                                           | CUSIP: 31383QW34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5414 | PA      | $5636.87       | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NATL MTG ASSN STRIPPED MORTGAGE BACKED SECURITIES                          | FNS 351 13 6% 3/34                                                                                | CUSIP: 3136FCJC1<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |      22302 | PA      | $3582.27       | 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        |   21294975 | PA      | $18255645.85   | 0.04%             | 2051-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 5/40 #AL2129                                                                           | CUSIP: 3138EJLK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     461851 | PA      | $487572.50     | 0.00%             | 2040-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #680497                                                                          | CUSIP: 36295T7J7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2223 | PA      | $2327.41       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 2006-45 OP 0 6/36                                                                             | CUSIP: 31395NEN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      47843 | PA      | $40936.61      | 0.00%             | 2036-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AT5610                                                                  | CUSIP: 3138WTGU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     308769 | PA      | $284361.44     | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2047#Q49499                                                                  | CUSIP: 3132WPRV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     218718 | PA      | $218726.96     | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNR 1997-41 J 7.5% 6/27                                                                           | CUSIP: 31359PQC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       2108 | PA      | $2140.58       | 0.00%             | 2027-06-18      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 3.6% 05/01/2030                                                                      | CUSIP: 65473PAJ4<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   22835000 | PA      | $22185307.26   | 0.05%             | 2030-05-01      | Fixed         | 0.04%                 | 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        |     112018 | PA      | $112178.95     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 04/01/2043#AT2011                                                                  | CUSIP: 3138WPGV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16716 | PA      | $15450.59      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/41 #738218                                                                           | CUSIP: 3620ASDX4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27334 | PA      | $27888.26      | 0.00%             | 2041-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AR1680                                                                  | CUSIP: 3138NX2N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9566 | PA      | $8940.71       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #723339                                                                           | CUSIP: 3620A9S44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      77014 | PA      | $78561.20      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2032#BJ2973                                                                  | CUSIP: 3140H4JT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5475 | PA      | $5290.78       | 0.00%             | 2032-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #459211                                                                           | CUSIP: 36208SDQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        518 | PA      | $530.17        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                                 | ENERGY TRANSFER LP 5.8% 06/15/2038                                                                | CUSIP: 29278NAD5<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |   10481000 | PA      | $10674188.83   | 0.02%             | 2038-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.75% 02/15/2028                                                               | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   29291000 | PA      | $29577067.92   | 0.07%             | 2028-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/36 #G03506                                                                           | CUSIP: 3128M5GP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208743 | PA      | $218605.67     | 0.00%             | 2036-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AK1510                                                                           | CUSIP: 3138E5VC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136764 | PA      | $133839.23     | 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        |     297830 | PA      | $280907.70     | 0.00%             | 2043-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 12/29 #510858                                                                          | CUSIP: 36211EQK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        139 | PA      | $143.38        | 0.00%             | 2029-12-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.528% 05/01/2034                                                                       | CUSIP: 097023DS1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    8987000 | PA      | $9942847.97    | 0.02%             | 2034-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 09/01/2046#G61420                                                                  | CUSIP: 31335BSH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10304750 | PA      | $9751350.17    | 0.02%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #780798                                                                          | CUSIP: 36225A3F5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         30 | PA      | $30.10         | 0.00%             | 2027-12-15      | 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        |    9185840 | PA      | $7120577.14    | 0.02%             | 2051-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 03/01/2042#                                                                          | CUSIP: 3132GR7A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      19725 | PA      | $19230.17      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 2.383%/VAR 07/21/2032                                               | CUSIP: 38141GYJ7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   39755000 | PA      | $35605037.57   | 0.08%             | 2032-07-21      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR3682                                                                  | CUSIP: 3138W1CU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33852 | PA      | $31379.17      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #616878                                                                           | CUSIP: 36290TJX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     274927 | PA      | $260715.94     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 01/01/2048#MA3240                                                                  | CUSIP: 31418CS62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     485781 | PA      | $482947.52     | 0.00%             | 2048-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/42#AK8632                                                                       | CUSIP: 3138EDSW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16999 | PA      | $16228.76      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/36 #897984                                                                           | CUSIP: 31410UUH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        258 | PA      | $264.76        | 0.00%             | 2036-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/27 #250911                                                                           | CUSIP: 31371FVC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $18.93         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK 2019                                                                          | BANK 2019 2.846% 12/15/2052                                                                       | CUSIP: 06541RAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1756173 | PA      | $1713886.80    | 0.00%             | 2052-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 3.85% 05/25/2028                                                   | CUSIP: 3137FG6X8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22800000 | PA      | $22805442.36   | 0.05%             | 2028-05-25      | Fixed         | 0.04%                 | 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        |       1544 | PA      | $1556.78       | 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        | 1031774712 | NS      | $1031981066.79 | 2.38%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 12/20/2031#MA4102                                                                    | CUSIP: 36179SRX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1405403 | PA      | $1376077.68    | 0.00%             | 2031-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CENT TRUST 2025-CITY                                                               | CENT TRUST 2025-CITY A VAR 07/10/2040 144A                                                        | CUSIP: 12517TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23933000 | PA      | $24243877.70   | 0.06%             | 2040-07-10      | Variable      | 0.05%                 | No            |                  2 | 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        |       8379 | PA      | $8513.13       | 0.00%             | 2031-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 5.625% 09/01/2028                                                                         | CUSIP: 404121AJ4<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   19094000 | PA      | $19681630.64   | 0.05%             | 2028-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.452%/VAR 12/05/2029                                                       | CUSIP: 46647PAX4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |   46000000 | PA      | $46473970.66   | 0.11%             | 2029-12-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 12/01/2042#Q13420                                                                  | CUSIP: 3132HPYR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     107232 | PA      | $104600.42     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 1/32 #C62372                                                                           | CUSIP: 31287MT59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23697 | PA      | $24755.25      | 0.00%             | 2032-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-20 Z 6% 5/31                                                                             | CUSIP: 31359SXB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      34146 | PA      | $35051.50      | 0.00%             | 2031-05-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/42 #AL1521                                                                           | CUSIP: 3138EHVP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1050269 | PA      | $1024580.25    | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NATL MTG AS GTD RE PTT SOFR30A+41.448 05/25/2048                                          | CUSIP: 3136B1C51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     596032 | PA      | $579190.51     | 0.00%             | 2048-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 12/33 #G04895                                                                          | CUSIP: 3128M6XY9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3427 | PA      | $3488.55       | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 07/20/2051#MA7472                                                                    | CUSIP: 36179WJR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     124988 | PA      | $107852.02     | 0.00%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2041#AI9672                                                                  | CUSIP: 3138APXA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36180 | PA      | $36221.95      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+254.191 05/15/2039 144A                                 | CUSIP: 53218DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17119000 | PA      | $13807625.61   | 0.03%             | 2039-05-15      | Variable      | 0.06%                 | 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        |      23027 | PA      | $23051.85      | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3140XCWJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     383689 | PA      | $357378.91     | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-PAC                                              | BX COMMERCIAL MORTGAGE TRUST 2021-PAC TSFR1M+80.358 21 10/15/2036 144A                            | CUSIP: 05609PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   49523000 | PA      | $49368676.43   | 0.11%             | 2036-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 05/01/2041#RB5111                                                                    | CUSIP: 3133KYVC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2725607 | PA      | $2394402.43    | 0.01%             | 2041-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2030#                                                                        | CUSIP: 31298C2P3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $288.68        | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL                              | JBS USA HOLDING LUX/ JBS USA FOOD CO/ JBS LUX CO SARL 3% 05/15/2032                               | CUSIP: 46590XAP1<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |   43240000 | PA      | $38814507.94   | 0.09%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #743665                                                                           | CUSIP: 3620AYFE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57225 | PA      | $58381.02      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/40 #737559                                                                          | CUSIP: 3620ARMG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     190429 | PA      | $185127.29     | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/40 #004833                                                                       | CUSIP: 36202FLN4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     753247 | PA      | $734588.14     | 0.00%             | 2040-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 6.174%/VAR 05/25/2034                                                               | CUSIP: 17327CAR4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   21587000 | PA      | $22925079.26   | 0.05%             | 2034-05-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 02/01/2051#FM6338                                                                    | CUSIP: 3140XABG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54128 | PA      | $44304.64      | 0.00%             | 2051-02-01      | Fixed         | 0.02%                 | 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        |     181738 | PA      | $12596.84      | 0.00%             | 2035-06-25      | Variable      | 0.03%                 | 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        |     527865 | PA      | $504071.80     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #709863                                                                          | CUSIP: 36297ETU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2843 | PA      | $2966.71       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | 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        |      69183 | PA      | $71569.95      | 0.00%             | 2032-11-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 12/32 #735415                                                                          | CUSIP: 31402RAQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3152 | PA      | $3295.70       | 0.00%             | 2032-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                                              | LCH OIS SOFRV4.0% MAC 03/18/56                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   12450000 | NC      | $-75331.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLAM 2025-1                                                                        | SLAM 2025-1 5.807% 05/15/2050 144A                                                                | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   19044548 | PA      | $19534602.58   | 0.05%             | 2050-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 1/28 #427211                                                                           | CUSIP: 36207BR85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        328 | PA      | $331.67        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2035#                                                                          | CUSIP: 31297P2R1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1607 | PA      | $1634.56       | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | 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        |       6023 | PA      | $6285.91       | 0.00%             | 2032-03-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 4% 06/01/2038#K94286                                                                    | CUSIP: 3132LQUK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      44615 | PA      | $44162.19      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #528852                                                                           | CUSIP: 36212BQD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        884 | PA      | $913.88        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0043                                                                           | CUSIP: 31416VBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     520849 | PA      | $523268.30     | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 4.65% 07/15/2042                                                                     | CUSIP: 20030NBE0<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |   11795000 | PA      | $10340082.03   | 0.02%             | 2042-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #545331                                                                           | CUSIP: 31385HY48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.25         | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2040#A92181                                                                  | CUSIP: 312940M63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4080 | PA      | $4097.93       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | 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        |    7346166 | PA      | $6659730.12    | 0.02%             | 2036-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 10/39#004553                                                                       | CUSIP: 36202FBW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33036 | PA      | $32467.81      | 0.00%             | 2039-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2011-136 WI 4.5% 5/40                                                                         | CUSIP: 38377YTR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |      17957 | PA      | $544.13        | 0.00%             | 2040-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#G07579                                                                  | CUSIP: 3128M9XG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34765 | PA      | $33920.20      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.75% 04/01/2048  | CUSIP: 161175BN3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11687000 | PA      | $9968845.51    | 0.02%             | 2048-04-01      | Fixed         | 0.06%                 | 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        |      64947 | PA      | $62234.96      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 12/01/2042#Q15249                                                                  | CUSIP: 3132J6H31<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69517 | PA      | $64494.88      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#G05645                                                                  | CUSIP: 3128M7TA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25729 | PA      | $25813.24      | 0.00%             | 2039-10-01      | 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        |   11775455 | PA      | $12136252.77   | 0.03%             | 2054-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 3% 08/25/2046                                                      | CUSIP: 3136BL5X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3099076 | PA      | $2956631.70    | 0.01%             | 2046-08-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 3.35% 03/15/2032                                                                      | CUSIP: 30161NBE0<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    7920000 | PA      | $7409644.23    | 0.02%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #565982                                                                           | CUSIP: 36213VXK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1006 | PA      | $1046.24       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #705835                                                                           | CUSIP: 36297AEG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2731 | PA      | $2784.62       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.60% 2/35 #779905                                                                       | CUSIP: 31404VNW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36485 | PA      | $37719.21      | 0.00%             | 2035-02-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC                                          | CIFC FDG 2019-V LTD / CIFC FDG 2019-V LLC A1R2 TSFR3M+127 10/15/2038 144A                         | CUSIP: 12554XAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   27911000 | PA      | $27993309.54   | 0.06%             | 2038-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32124                                                                  | CUSIP: 3132QNLE7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102757 | PA      | $98286.01      | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.45% 09/29/2027                                                                    | CUSIP: 172967KA8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   69500000 | PA      | $69947076.82   | 0.16%             | 2027-09-29      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #677235                                                                           | CUSIP: 36295QLQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57798 | PA      | $57875.57      | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2042#Q11138                                                                  | CUSIP: 3132HMHP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148864 | PA      | $146087.16     | 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        |    4615033 | PA      | $4112041.68    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #555867                                                                           | CUSIP: 36213JQU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        478 | PA      | $493.25        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.5% 02/43 #Q15869                                                                           | CUSIP: 3132J66F6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     697427 | PA      | $668042.24     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | 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        |      24495 | PA      | $23741.55      | 0.00%             | 2042-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7497                                                                  | CUSIP: 31417EKK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25293 | PA      | $23404.62      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4% 03/01/2028                                                         | CUSIP: 92277GAM9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   10351000 | PA      | $10336571.84   | 0.02%             | 2028-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 11/01/2041#CB2113                                                                  | CUSIP: 3140QMK37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1157152 | PA      | $1041905.78    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 10/01/2051#BU1269                                                                    | CUSIP: 3140M2MT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8873544 | PA      | $7307529.21    | 0.02%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 06/15/2043#AE7264                                                                  | CUSIP: 36181BB90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6498 | PA      | $6298.17       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 03/01/2044#Q25226                                                                  | CUSIP: 3132M5PK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126727 | PA      | $123208.45     | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LOWES COS INC                                                                      | LOWES COS INC 3.35% 04/01/2027                                                                    | CUSIP: 548661EG8<br>LEI: WAFCR4OKGSC504WU3E95 | Long             | DBT              | CORP              | US        |    3072000 | PA      | $3049850.60    | 0.01%             | 2027-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 12/01/2042#Q13899                                                                  | CUSIP: 3132HQKL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      57234 | PA      | $56130.41      | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC                                              | DRYDEN 85 CLO LTD / DRYDEN 85 CLO LLC A1R2 TSFR3M+138 07/15/2037 144A                             | CUSIP: 26246BAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   37665000 | PA      | $37752382.80   | 0.09%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2053#QG0756                                                                  | CUSIP: 3133C0ZV7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11073495 | PA      | $10905086.32   | 0.03%             | 2053-04-01      | 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        |   36284089 | PA      | $36261716.61   | 0.08%             | 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        |      91344 | PA      | $88366.99      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CIGNA GROUP (THE)                                                                  | CIGNA GROUP (THE) 3.05% 10/15/2027                                                                | CUSIP: 125523AZ3<br>LEI: 549300VIWYMSIGT1U456 | Long             | DBT              | CORP              | US        |   67800000 | PA      | $66823178.96   | 0.15%             | 2027-10-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/33 #616015                                                                          | CUSIP: 36290SK42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2131 | PA      | $2166.78       | 0.00%             | 2033-10-15      | Fixed         | 0.05%                 | 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        |        491 | PA      | $492.38        | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #778863                                                                           | CUSIP: 36176XB81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     128482 | PA      | $121811.90     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW JERSEY ECO DEV AUTH ST PEN                                                     | NEW JERSEY ECO DEV AUTH ST PENSER A MBIA                                                          | CUSIP: 645913AA2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   32466000 | PA      | $33907474.17   | 0.08%             | 2029-02-15      | 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        |    9285385 | PA      | $8325118.05    | 0.02%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #538328                                                                           | CUSIP: 36212NA56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        419 | PA      | $433.35        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 10/41 #005280                                                                       | CUSIP: 36202F2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1191989 | PA      | $1160070.47    | 0.00%             | 2042-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 11/40 #AE8447                                                                          | CUSIP: 31419KL52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7953 | PA      | $7983.74       | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 7.3% 07/01/2038                                                             | CUSIP: 88732JAN8<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   22049000 | PA      | $23618459.73   | 0.05%             | 2038-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 2.299%/VAR 07/21/2032                                                 | CUSIP: 06051GKA6<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |   80000000 | PA      | $71532636.80   | 0.16%             | 2032-07-21      | Variable      | 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        |    1250875 | PA      | $1178222.26    | 0.00%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2030#J31647                                                                  | CUSIP: 31307MZL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      56514 | PA      | $56183.23      | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/45#AX3256                                                                    | CUSIP: 3138Y4TN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133648 | PA      | $124335.99     | 0.00%             | 2045-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AC9654                                                                  | CUSIP: 36179KWP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45057 | PA      | $42521.55      | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AI9685                                                                           | CUSIP: 3138APXP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16815 | PA      | $16515.55      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2052#FS3497                                                                  | CUSIP: 3140XJ3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3174518 | PA      | $2940963.03    | 0.01%             | 2052-08-01      | 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        |     939711 | PA      | $800170.76     | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 1.375% 01/15/2026                                                                        | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   30500000 | PA      | $30464654.47   | 0.07%             | 2026-01-15      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QC9113                                                                    | CUSIP: 3133AUDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3755922 | PA      | $3093072.28    | 0.01%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #931777                                                                           | CUSIP: 31412QFS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     319435 | PA      | $319756.82     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/41 #757612                                                                           | CUSIP: 36230SN59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1543 | PA      | $1498.04       | 0.00%             | 2041-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2050#                                                                          | CUSIP: 3132DV5R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8739 | PA      | $7825.00       | 0.00%             | 2050-04-01      | Fixed         | 0.03%                 | 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        |     556206 | PA      | $491498.19     | 0.00%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.65% 08/01/2042#AP5088                                                                 | CUSIP: 3138M8UN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51061 | PA      | $49012.96      | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2041#                                                                        | CUSIP: 3132GET67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      61140 | PA      | $61238.83      | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 08/20/2051#MA7534                                                                    | CUSIP: 36179WLP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32955140 | PA      | $28436983.37   | 0.07%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 06/01/2045#Q34104                                                                  | CUSIP: 3132QQR20<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      94021 | PA      | $86356.76      | 0.00%             | 2045-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 03/01/2033#G18681                                                                    | CUSIP: 3128MMXK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     106910 | PA      | $104341.86     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 04/15/2043#AC1092                                                                  | CUSIP: 36179AF92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     180467 | PA      | $174572.31     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97686                                                                  | CUSIP: 312946RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100207 | PA      | $102326.88     | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE1110                                                                          | CUSIP: 31419BGU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18068 | PA      | $17747.09      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SPGN 2022-TFLM MTG TR                                                              | SPGN 2022-TFLM C TSFR1M+265 02/15/2039 144A                                                       | CUSIP: 78473HAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4854000 | PA      | $4861982.40    | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/31 #564867                                                                           | CUSIP: 36213UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        131 | PA      | $135.49        | 0.00%             | 2031-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AASET 2019-2 TR                                                                    | AASET 2019-2 TR 3.376% 10/16/2039 144A                                                            | CUSIP: 00038RAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1309669 | PA      | $1308453.51    | 0.00%             | 2039-10-16      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES XLI CLO LTD / ARES XLI CLO LLC                                                | ARES XLI CLO LTD / ARES XLI CLO LLC AR2 TSFR3M+133.161 04/15/2034 144A                            | CUSIP: 04016DAS4<br>LEI: 549300X38KZ67Q2FQG11 | Long             | ABS-CBDO         | CORP              | KY        |   29947000 | PA      | $29966285.87   | 0.07%             | 2034-04-15      | Variable      | 0.05%                 | 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        |    1576643 | PA      | $1341528.32    | 0.00%             | 2041-01-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+184.8 04/15/2024 144A                                                    | CUSIP: 05609WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14018200 | PA      | $14035422.77   | 0.03%             | 2037-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.409% 5/35 #829985                                                                      | CUSIP: 31407GCW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8548 | PA      | $8761.09       | 0.00%             | 2035-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2044#G61831                                                                    | CUSIP: 31335CA87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     148448 | PA      | $145555.60     | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 11/15/2042#AB9211                                                                  | CUSIP: 36178WGU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     562784 | PA      | $531117.86     | 0.00%             | 2042-11-15      | 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        |       3962 | PA      | $3742.10       | 0.00%             | 2043-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #432988                                                                           | CUSIP: 36207H6Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        450 | PA      | $453.68        | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726316                                                                           | CUSIP: 3620AC3Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27948 | PA      | $28508.34      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 7/40 #004746                                                                        | CUSIP: 36202FHX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89430 | PA      | $89487.69      | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/29 #492695                                                                           | CUSIP: 31382UKG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        185 | PA      | $194.53        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #190289                                                                          | CUSIP: 31368HKA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        596 | PA      | $626.45        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 1.5% 12/01/2040#MA4202                                                                  | CUSIP: 31418DU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1580926 | PA      | $1346200.41    | 0.00%             | 2040-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 12/01/2032#MA3217                                                                  | CUSIP: 31418CSF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      96042 | PA      | $92534.77      | 0.00%             | 2032-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #393409                                                                           | CUSIP: 31378BAJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $124.30        | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 06/01/2055#MA5735                                                                  | CUSIP: 31418FLR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193610 | PA      | $196371.70     | 0.00%             | 2055-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/33 #C01614                                                                           | CUSIP: 31292HYK4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10536 | PA      | $10597.79      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785564                                                                    | CUSIP: 3622ABB92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12353883 | PA      | $10590672.48   | 0.02%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.8 08/10/26                                                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   27050000 | NC      | $472241.61     | 0.00%             |  |  |  | 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        |     338994 | PA      | $320737.75     | 0.00%             | 2043-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 04/15/2043#783836                                                                  | CUSIP: 3622A2HM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     928254 | PA      | $877867.48     | 0.00%             | 2043-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2047#BH9459                                                                  | CUSIP: 3140GYQM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75492 | PA      | $75051.25      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/46#BC9077                                                                       | CUSIP: 3140F5CP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1728797 | PA      | $1626458.01    | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #AC1585                                                                           | CUSIP: 31417KXP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8753 | PA      | $8770.26       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #739184                                                                           | CUSIP: 3620ATFZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8860 | PA      | $8869.08       | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2024-5C1                                                   | WELLS FARGO COML MTG TR 2024-5C1 5.928% 07/15/2057                                                | CUSIP: 95003VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $8379824.80    | 0.02%             | 2057-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL5 C TSFR1M+194.087 03/15/2039 144A                                          | CUSIP: 05612GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14912800 | PA      | $14931203.89   | 0.03%             | 2041-03-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.50% 11/31 #781413                                                                          | CUSIP: 36225BSA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         79 | PA      | $81.97         | 0.00%             | 2031-11-15      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 6% 02/01/2056 #TBA                                                                      | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  335975000 | PA      | $344728727.83  | 0.79%             | 2056-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2033#                                                                          | CUSIP: 31283HYM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       9930 | PA      | $10361.71      | 0.00%             | 2033-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #369318                                                                           | CUSIP: 31376YG34<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         66 | PA      | $66.96         | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #781469                                                                           | CUSIP: 36225BT24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        235 | PA      | $242.14        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727139                                                                  | CUSIP: 31402EZC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      80677 | PA      | $81047.72      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2046#AL9547                                                                    | CUSIP: 3138ERTD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3360037 | PA      | $3065228.39    | 0.01%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.25% 09/24/2027                                                                        | CUSIP: 682680CB7<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   10175000 | PA      | $10208455.30   | 0.02%             | 2027-09-24      | Fixed         | 0.04%                 | 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        |    9849109 | PA      | $8978794.45    | 0.02%             | 2046-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/41 #AH9708                                                                           | CUSIP: 3138ABYE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      18030 | PA      | $18043.08      | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/41 #762904                                                                           | CUSIP: 36176DKR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      65998 | PA      | $66046.96      | 0.00%             | 2041-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 7/41 #Q02385                                                                           | CUSIP: 3132GFUJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27108 | PA      | $27166.73      | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #545813                                                                           | CUSIP: 31385JK23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        240 | PA      | $252.77        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 3.5% 02/15/2041                                                                      | CUSIP: 11135FCV1<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   43849000 | PA      | $35670502.89   | 0.08%             | 2041-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.9% 04/05/2032                                                          | CUSIP: 21871XAH2<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   31447000 | PA      | $29847888.92   | 0.07%             | 2032-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2039#AB0051                                                                  | CUSIP: 31416VBV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106122 | PA      | $106613.59     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | 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        |   16000000 | NC      | $-84569.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 09/20/2031#MA3913                                                                    | CUSIP: 36179SK22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111708 | PA      | $109440.57     | 0.00%             | 2031-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #457682                                                                           | CUSIP: 36208QM78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        984 | PA      | $997.41        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR0910                                                                  | CUSIP: 3138NXAL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25105 | PA      | $23305.17      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #835485                                                                          | CUSIP: 31407NF24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7651 | PA      | $8048.17       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #780777                                                                           | CUSIP: 36225A2J8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         86 | PA      | $87.04         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 22-15 GC 3% 01/25/2047                                             | CUSIP: 3136BMHY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    4336214 | PA      | $4133759.23    | 0.01%             | 2047-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/40 #733737                                                                           | CUSIP: 3620AMEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8462 | PA      | $8473.65       | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | 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        |     297459 | PA      | $288967.15     | 0.00%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #769093                                                                           | CUSIP: 36176LGA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38388 | PA      | $37252.14      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | 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        |    5172857 | PA      | $4222764.21    | 0.01%             | 2051-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/39 #724340                                                                           | CUSIP: 3620AAV96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19431 | PA      | $19464.32      | 0.00%             | 2039-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 03/43 #AR8173                                                                           | CUSIP: 3138W6CK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297164 | PA      | $283380.47     | 0.00%             | 2043-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 11/01/2042#Q13653                                                                  | CUSIP: 3132HQBW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     126796 | PA      | $123852.89     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/26 #442063                                                                          | CUSIP: 36207UB80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         61 | PA      | $61.20         | 0.00%             | 2026-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GMF FLOORPLAN OWNER REVOLVING TR                                                   | GMF FLOORPLAN OWNER REVOLVING TR 4.73% 11/15/2029 144A                                            | CUSIP: 361886DQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   23130000 | PA      | $23450267.23   | 0.05%             | 2029-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 10/01/2042#C04268                                                                  | CUSIP: 31292LW50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48387 | PA      | $44720.66      | 0.00%             | 2042-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| WILLIS ENGINE STRUCTURED TR VII                                                    | WILLIS ENGINE STRUCTURED TR VII 23-A A 8% 10/15/2048 144A                                         | CUSIP: 97064YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8040583 | PA      | $8266067.58    | 0.02%             | 2048-10-15      | Fixed         | 0.08%                 | 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        |    3480296 | PA      | $3290587.45    | 0.01%             | 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        |     669261 | PA      | $604176.39     | 0.00%             | 2041-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2% 12/01/2051#CB2350                                                                    | CUSIP: 3140QMTG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14643515 | PA      | $12031752.12   | 0.03%             | 2051-12-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/47#Q48876                                                                       | CUSIP: 3132WN2J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     276387 | PA      | $276397.55     | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 01/01/2047#BE5530                                                                  | CUSIP: 3140FREC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     112383 | PA      | $105730.09     | 0.00%             | 2047-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/28 #251975                                                                           | CUSIP: 31371G2G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        118 | PA      | $121.65        | 0.00%             | 2028-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2045#AY7630                                                                  | CUSIP: 3138YMPQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     103092 | PA      | $94945.62      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q16935                                                                  | CUSIP: 3132J8EH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     401705 | PA      | $383675.34     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/34 #A28446                                                                          | CUSIP: 31297GL33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        107 | PA      | $108.67        | 0.00%             | 2034-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.625% 10/01/2029                                                  | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   26970000 | PA      | $26112674.94   | 0.06%             | 2029-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2029#                                                                          | CUSIP: 31293PFU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $31.85         | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2046#Q43088                                                                  | CUSIP: 3132WGNE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     145613 | PA      | $137155.92     | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 5.6% 04/01/2044                                                             | CUSIP: 23311VAF4<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   13506000 | PA      | $13029214.83   | 0.03%             | 2044-04-01      | 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 4.163% 10/25/2030                                                  | CUSIP: 3137HNWH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25500000 | PA      | $25591165.05   | 0.06%             | 2030-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 9/41 #772060                                                                           | CUSIP: 36176PQM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      53953 | PA      | $52382.55      | 0.00%             | 2041-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET CLO XX LTD                                                            | SIXTH STREET CLO XX LTD 2021-20A A1R TSFR3M+132 07/17/2038 144A                                   | CUSIP: 83012QAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   23436000 | PA      | $23491285.52   | 0.05%             | 2038-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XVII CLO LTD                                                             | CEDAR FDG XVII CLO LTD AR TSFR3M+135 07/20/2038 144A                                              | CUSIP: 15033PAQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   25314000 | PA      | $25375057.37   | 0.06%             | 2038-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR5858                                                                  | CUSIP: 3138W3QL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     209344 | PA      | $192917.30     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2007-57 SA 4062-6*1ML 6/37                                                                    | CUSIP: 31396WJV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      29171 | PA      | $39550.54      | 0.00%             | 2037-06-25      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31292G4T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        417 | PA      | $428.38        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | 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        |   17824596 | PA      | $14556344.06   | 0.03%             | 2050-11-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.15% 4/35 #1N0006                                                                       | CUSIP: 3128QGAF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35619 | PA      | $36286.25      | 0.00%             | 2035-04-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 09/01/2054#SL1653                                                                  | CUSIP: 31427NZT9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10115538 | PA      | $10373616.81   | 0.02%             | 2054-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #415853                                                                           | CUSIP: 31379C5N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         81 | PA      | $82.61         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #450333                                                                           | CUSIP: 36208GHJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         42 | PA      | $42.39         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 8.00% 8/30 #C01034                                                                           | CUSIP: 31292HEF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         23 | PA      | $24.25         | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/39 #697924                                                                           | CUSIP: 36296QLD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30871 | PA      | $31484.32      | 0.00%             | 2039-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745228                                                                           | CUSIP: 3620C04M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     216921 | PA      | $217232.74     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/27 #251286                                                                          | CUSIP: 31371GCX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $167.39        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | 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        |    1226885 | PA      | $1106495.48    | 0.00%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2041#AE3525                                                                    | CUSIP: 31419D4K4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1883 | PA      | $1846.28       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2020-1 LTD                                                         | EATON VANCE CLO 2020-1 LTD ARR TSFR3M+139 10/15/2037 144A                                         | CUSIP: 278300AS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   29715000 | PA      | $29792407.58   | 0.07%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #442456                                                                           | CUSIP: 36207UQH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        743 | PA      | $754.82        | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | USTN TII 2.375% 02/15/2055                                                                        | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26310000 | PA      | $25779282.26   | 0.06%             | 2055-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #414333                                                                           | CUSIP: 31379BHJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $98.34         | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #465349                                                                           | CUSIP: 36208Y5J4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $121.16        | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #581406                                                                           | CUSIP: 36201E3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        290 | PA      | $300.97        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/39 #703035                                                                           | CUSIP: 36296WBC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42502 | PA      | $41380.29      | 0.00%             | 2039-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 1.5% 09/01/2051#FS2529                                                                  | CUSIP: 3140XHY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25709185 | PA      | $19928960.88   | 0.05%             | 2051-09-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.5% 11/15/2033                                                                         | CUSIP: 91282CJJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  355600000 | PA      | $367170889.74  | 0.85%             | 2033-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOSTON PROPERTIES LP                                                               | BOSTON PROPERTIES LP 4.5% 12/01/2028                                                              | CUSIP: 10112RBA1<br>LEI: BVHHEFJI6SHNOKQT2572 | Long             | DBT              | CORP              | US        |   18628000 | PA      | $18748397.61   | 0.04%             | 2028-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21605                                                                  | CUSIP: 3132JNYA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     170955 | PA      | $166662.68     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 03/15/2045#777581                                                                  | CUSIP: 36176VUE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     433073 | PA      | $393499.28     | 0.00%             | 2045-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 11/01/2031#                                                                        | CUSIP: 31298YTZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        381 | PA      | $406.84        | 0.00%             | 2031-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 03/01/2043#AB8712                                                                  | CUSIP: 31417FVE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29457 | PA      | $27204.97      | 0.00%             | 2043-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.947% 07/01/2043#AL5652                                                                 | CUSIP: 3138ENH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191545 | PA      | $199205.28     | 0.00%             | 2043-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 04/01/2033#ZS8692                                                                  | CUSIP: 3132A9UR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     172938 | PA      | $166320.33     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/38 #889219                                                                           | CUSIP: 31410G4C4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127999 | PA      | $135275.27     | 0.00%             | 2038-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 07/01/2051#QC5164                                                                    | CUSIP: 3133APWZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     650933 | PA      | $580801.90     | 0.00%             | 2051-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 4.91%/VAR 05/24/2033                                                                | CUSIP: 172967NU1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   47460000 | PA      | $48028768.71   | 0.11%             | 2033-05-24      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 4.1% 02/09/2027                                                              | CUSIP: 254709AM0<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    5722000 | PA      | $5725862.41    | 0.01%             | 2027-02-09      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 5% 02/01/2041 #TBA                                                                      | CUSIP: 01F050429<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  149150000 | PA      | $151020191.85  | 0.35%             | 2041-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2051#BT8865                                                                    | CUSIP: 3140LXZ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42932 | PA      | $38333.48      | 0.00%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP REC 3.853 09/16/30                                                                      | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |    7100000 | NC      | $187367.51     | 0.00%             |  |  |  | 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        |    2342331 | PA      | $2263074.80    | 0.01%             | 2047-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #453080                                                                           | CUSIP: 36208KJZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        255 | PA      | $261.24        | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | 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        |     528558 | PA      | $488917.64     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 06/01/2039#AA7503                                                                    | CUSIP: 31416RKR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1240 | PA      | $1220.03       | 0.00%             | 2039-06-01      | 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        |    7714369 | PA      | $6895278.20    | 0.02%             | 2050-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT K763 A2 VAR 10/25/2032                                             | CUSIP: 3137HPET6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9700000 | PA      | $9644259.92    | 0.02%             | 2032-10-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 02/01/2033#CA1089                                                                    | CUSIP: 3140Q8F75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69935 | PA      | $68238.55      | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/28 #428795                                                                           | CUSIP: 31379TKG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $94.20         | 0.00%             | 2028-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 11/01/2045#Q37297                                                                  | CUSIP: 3132QUDB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     724996 | PA      | $659301.69     | 0.00%             | 2045-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 9/35 #255951                                                                           | CUSIP: 31371MH42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        559 | PA      | $594.63        | 0.00%             | 2035-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ARES LVIII CLO LTD / ARES LVIII CLO LLC                                            | ARES LVIII CLO LTD / ARES LVIII CLO LLC A1R2 TSFR3M+124 04/15/2038 144A                           | CUSIP: 04018AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28873000 | PA      | $28893442.08   | 0.07%             | 2038-04-15      | Variable      | 0.05%                 | 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        |     566281 | PA      | $567367.66     | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/40 #A92286                                                                           | CUSIP: 312940RF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6762 | PA      | $6780.91       | 0.00%             | 2040-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02511                                                                           | CUSIP: 3132GFYG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37638 | PA      | $37737.32      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.984% 5/33 #703915                                                                      | CUSIP: 31401CAQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1086 | PA      | $1102.48       | 0.00%             | 2033-05-01      | Variable      | 0.06%                 | 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        |     327302 | PA      | $328633.27     | 0.00%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BRANDYWINE OPER PARTNERSHIP LP                                                     | BRANDYWINE OPER PARTNERSHIP LP 3.95% 11/15/2027                                                   | CUSIP: 105340AQ6<br>LEI: IXBXSCONLDQ1ZI73YU71 | Long             | DBT              | CORP              | US        |   20195000 | PA      | $19793794.01   | 0.05%             | 2027-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 4.5% 06/01/2039#FM1045                                                                  | CUSIP: 3140X4ET9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1394940 | PA      | $1407291.47    | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 04/01/2029#                                                                          | CUSIP: 31293NPA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $25.90         | 0.00%             | 2029-04-01      | Fixed         | 0.06%                 | 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        |      53282 | PA      | $52475.65      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 02/52#RA6824                                                                         | CUSIP: 3133KNSM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37421373 | PA      | $30735341.06   | 0.07%             | 2052-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #935520                                                                           | CUSIP: 31412UYR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3441 | PA      | $3448.32       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.691%/VAR 06/05/2028                                               | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   21000000 | PA      | $20888273.49   | 0.05%             | 2028-06-05      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #723727                                                                           | CUSIP: 3620AAA40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17767 | PA      | $17286.76      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TANGER PROPERTIES LP                                                               | TANGER PROPERTIES LP 3.875% 07/15/2027                                                            | CUSIP: 875484AK3<br>LEI: PQPGJDNFN35EXH363L31 | Long             | DBT              | CORP              | US        |   28881000 | PA      | $28723369.81   | 0.07%             | 2027-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE and CO                                                              | JPMORGAN CHASE and CO 4.203%/VAR 07/23/2029                                                       | CUSIP: 46647PAV8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3009727.80    | 0.01%             | 2029-07-23      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2025-K551 AS 4.54% 10/25/2030                                      | CUSIP: 3137HNWW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16200000 | PA      | $16192888.20   | 0.04%             | 2030-10-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #514348                                                                           | CUSIP: 31383VL50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        707 | PA      | $738.39        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 05/01/2052#CB3647                                                                    | CUSIP: 3140QPBR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2433061 | PA      | $2469700.38    | 0.01%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 10YR 2.5% 10/01/2029#RD5009                                                                  | CUSIP: 3133LPR66<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     340366 | PA      | $333543.87     | 0.00%             | 2029-10-01      | 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        |     671745 | PA      | $661044.14     | 0.00%             | 2041-02-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 02/15/2045#AK7288                                                                  | CUSIP: 36183RCZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     268612 | PA      | $244598.79     | 0.00%             | 2045-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #490591                                                                           | CUSIP: 36210E7C7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         78 | PA      | $79.12         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6% 02/01/2055#CB9985                                                                    | CUSIP: 3140QWCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1797261 | PA      | $1883219.48    | 0.00%             | 2055-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 2.5% 08/20/2051#785575                                                                    | CUSIP: 3622ABCL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7210459 | PA      | $6181344.99    | 0.01%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE3764                                                                          | CUSIP: 31419EFE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68161 | PA      | $66621.62      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | 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        |      58663 | PA      | $57258.89      | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 10/20/2052#MA8345                                                                    | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5488281 | PA      | $5047951.57    | 0.01%             | 2052-10-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #405312                                                                          | CUSIP: 31378QGV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        211 | PA      | $215.09        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | 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        |    7868680 | PA      | $8128449.84    | 0.02%             | 2054-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #545140                                                                           | CUSIP: 36212VS59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2564 | PA      | $2648.47       | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | 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        |     578182 | PA      | $567363.02     | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/46#BC0287                                                                       | CUSIP: 3140EUJ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     151073 | PA      | $150994.05     | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 07/01/2041#Q02130                                                                  | CUSIP: 3132GFLK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      98327 | PA      | $100405.70     | 0.00%             | 2041-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/01/2042#AO2976                                                                  | CUSIP: 3138LTJW9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5020 | PA      | $4804.65       | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 05/01/2030#J31654                                                                  | CUSIP: 31307MZT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13246 | PA      | $13170.36      | 0.00%             | 2030-05-01      | Fixed         | 0.04%                 | 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        |     519953 | PA      | $509573.15     | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 4.21%/VAR 04/20/2028                                                               | CUSIP: 61747YER2<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   40000000 | PA      | $40091744.80   | 0.09%             | 2028-04-20      | Variable      | 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        |    4071163 | PA      | $4100455.76    | 0.01%             | 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        |    1762686 | PA      | $1585663.88    | 0.00%             | 2041-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/30 #781130                                                                           | CUSIP: 36225BHF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        159 | PA      | $162.41        | 0.00%             | 2030-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PRUDENTIAL FINL INC                                                                | PRUDENTIAL FINL INC T5Y+NA 09/01/2052                                                             | CUSIP: 744320BK7<br>LEI: 5PRBRS5FEH7NREC8OR45 | Long             | DBT              | CORP              | US        |   55017000 | PA      | $56669215.53   | 0.13%             | 2052-09-01      | Variable      | 0.06%                 | 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        |     160577 | PA      | $15681.67      | 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        |      46752 | PA      | $46773.81      | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/27 #313687                                                                           | CUSIP: 31374GNC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        488 | PA      | $512.85        | 0.00%             | 2027-09-01      | Fixed         | 0.07%                 | 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        |    5890422 | PA      | $5186712.60    | 0.01%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #433689                                                                           | CUSIP: 36207JXS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        133 | PA      | $133.80        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 2/27 #439497                                                                           | CUSIP: 36207RGE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         69 | PA      | $69.61         | 0.00%             | 2027-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2039#AC6492                                                                  | CUSIP: 31417TGA0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17390 | PA      | $17413.05      | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #722270                                                                           | CUSIP: 3620A8MT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3849 | PA      | $3926.64       | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US ULTRA BOND CBT FUT MAR26 WNH6                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         74 | NC      | $-44465.54     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.50% 8/32 #C70220                                                                           | CUSIP: 31287XG59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5786 | PA      | $6065.28       | 0.00%             | 2032-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2035#                                                                          | CUSIP: 3128MJB82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5361 | PA      | $5468.24       | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 3.95 04/29/30                                                                       | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   21650000 | NC      | $627026.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/30 #532641                                                                          | CUSIP: 36212FWA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        825 | PA      | $852.49        | 0.00%             | 2030-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2039#AW4267                                                                    | CUSIP: 3138XTW50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     113612 | PA      | $111339.51     | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 4.50% 7/26 #AB3303                                                                      | CUSIP: 31416YU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        561 | PA      | $560.36        | 0.00%             | 2026-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2432 FE SOFR30A+101.448 6/31                                                                  | CUSIP: 31339NNM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       5782 | PA      | $5808.51       | 0.00%             | 2031-06-15      | Variable      | 0.05%                 | 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        |    4324438 | PA      | $4341811.16    | 0.01%             | 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        |      44027 | PA      | $44908.03      | 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        |      28089 | PA      | $29521.93      | 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        |     664691 | PA      | $658019.96     | 0.00%             | 2040-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP                                                               | KITE REALTY GROUP LP 5.5% 03/01/2034                                                              | CUSIP: 49803XAE3<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |    6294000 | PA      | $6495755.62    | 0.01%             | 2034-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2040#749935                                                                  | CUSIP: 3620C6EG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6517 | PA      | $6358.68       | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2046#BC9026                                                                    | CUSIP: 3140F5A45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3419761 | PA      | $3119712.14    | 0.01%             | 2046-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 07/51#MA7473                                                                           | CUSIP: 36179WJS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1073933 | PA      | $966428.41     | 0.00%             | 2051-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 9/28 #486540                                                                           | CUSIP: 36210APZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         56 | PA      | $56.60         | 0.00%             | 2028-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #433788                                                                           | CUSIP: 36207J2V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         21 | PA      | $21.33         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2.5% 11/25/2047                                                    | CUSIP: 3137H5F77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2462676 | PA      | $2244145.40    | 0.01%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS CORP TR 2012-BWTR                                                      | GS MTG SECS CORP TR 2012-BWTR 3.313% 11/10/2050                                                   | CUSIP: 36254KAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3625858 | PA      | $3605161.12    | 0.01%             | 2050-11-10      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE6588                                                                         | CUSIP: 31419HKA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76425 | PA      | $75062.31      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 8/37 #G06089                                                                           | CUSIP: 3128M8C28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     193135 | PA      | $203663.27     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #418913                                                                           | CUSIP: 36206RK21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         12 | PA      | $11.88         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                                                | PETROLEOS MEXICANOS 6.7% 02/16/2032                                                               | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   58171000 | PA      | $58004049.23   | 0.13%             | 2032-02-16      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WHEELS FLEET LEASE FUNDING 1 LLC                                                   | WHEELS FLEET LEASE FUNDING 1 LLC 24-1A A1 5.49% 02/18/2039 144A                                   | CUSIP: 96328GBM8<br>LEI: 549300BSFY0E0XXREF43 | Long             | ABS-CBDO         | CORP              | US        |    8833201 | PA      | $8942569.74    | 0.02%             | 2039-02-18      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 07/01/2033#709470                                                                    | CUSIP: 31401JFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61789 | PA      | $62775.64      | 0.00%             | 2033-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#G07345                                                                  | CUSIP: 3128M9P63<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3238227 | PA      | $3165335.57    | 0.01%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #723320                                                                           | CUSIP: 3620A9SH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11607 | PA      | $11839.82      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2046#Q45028                                                                  | CUSIP: 3132WJSS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     119429 | PA      | $119134.79     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5% 02/01/2056 #TBA                                                                        | CUSIP: 21H050623<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57500000 | PA      | $57295438.00   | 0.13%             | 2056-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH4404                                                                           | CUSIP: 3138A53N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8444 | PA      | $8269.06       | 0.00%             | 2041-01-01      | 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        |     653994 | PA      | $634746.14     | 0.00%             | 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        |       5929 | PA      | $5789.98       | 0.00%             | 2043-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ARCHER DANIELS MIDLAND CO                                                          | ARCHER DANIELS MIDLAND CO 3.25% 03/27/2030                                                        | CUSIP: 039482AB0<br>LEI: 549300LO13MQ9HYSTR83 | Long             | DBT              | CORP              | US        |    6931000 | PA      | $6695080.68    | 0.02%             | 2030-03-27      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.25% 02/15/2054                                                      | CUSIP: 912810TX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1126475000 | PA      | $1018403804.69 | 2.35%             | 2054-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404846                                                                          | CUSIP: 31378PWF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $46.21         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.0% 3/45#AY0609                                                                             | CUSIP: 3138YDVB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     265926 | PA      | $244318.40     | 0.00%             | 2045-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 2.6% 02/15/2033                                                                      | CUSIP: 11135FCR0<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   61131000 | PA      | $53832977.65   | 0.12%             | 2033-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ1978                                                                  | CUSIP: 3138MHFU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56949 | PA      | $52492.69      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20763                                                                  | CUSIP: 3132JMZ44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      96823 | PA      | $94868.97      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2018-C9                                                            | UBS COML MTG TR 2018-C9 A4 4.117% 03/15/2051                                                      | CUSIP: 90291JAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2770963.44    | 0.01%             | 2051-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 07/01/2040#                                                                        | CUSIP: 312941HS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1670 | PA      | $1674.50       | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 5/40 #736729                                                                           | CUSIP: 3620AQPN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     133186 | PA      | $133377.24     | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/26 #313275                                                                           | CUSIP: 31374F6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.23         | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4.046% 08/15/2041 144A                                                                 | CUSIP: 91529YAS5<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |    1392000 | PA      | $1125975.44    | 0.00%             | 2041-08-15      | 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        |   10070000 | NC      | $-53225.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745196                                                                           | CUSIP: 3620C03D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      94959 | PA      | $95066.61      | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2021-1                                            | ONEMAIN FINANCIAL ISSUANCE TRUST 2021-1 1.55% 06/16/2036 144A                                     | CUSIP: 68269MAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5137000 | PA      | $4999431.14    | 0.01%             | 2036-06-16      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                            | HCA INC 3.5% 09/01/2030                                                                           | CUSIP: 404119CA5<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   18350000 | PA      | $17646427.79   | 0.04%             | 2030-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 2/40 #737011                                                                           | CUSIP: 3620AQYG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2888 | PA      | $2946.21       | 0.00%             | 2040-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 04/01/2043#Q16915                                                                  | CUSIP: 3132J8DV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      30457 | PA      | $28268.77      | 0.00%             | 2043-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/30 #549602                                                                           | CUSIP: 31385QRX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $311.77        | 0.00%             | 2030-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 10/45#AY3962                                                                         | CUSIP: 3138YHML1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53078 | PA      | $51314.21      | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK5 2025-5YR19                                                                   | BANK5 2025-5YR19 XB VAR 12/15/2030                                                                | CUSIP: 05494RBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17200000 | PA      | $505336.00     | 0.00%             | 2058-12-15      | Variable      | 0.01%                 | 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        |    4701475 | PA      | $4504642.05    | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNUM GROUP                                                                         | UNUM GROUP 4% 06/15/2029                                                                          | CUSIP: 91529YAN6<br>LEI: 549300E32YFDO6TZ8R31 | Long             | DBT              | CORP              | US        |   21076000 | PA      | $20847416.24   | 0.05%             | 2029-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 1/29 #323500                                                                           | CUSIP: 31374TKM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $130.16        | 0.00%             | 2029-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 11/1/42 #Q13479                                                                      | CUSIP: 3132HP2L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49163 | PA      | $45776.80      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 04/01/2043#Q16749                                                                  | CUSIP: 3132J75K4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35494 | PA      | $34959.97      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/30 #493519                                                                          | CUSIP: 36210JG44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        483 | PA      | $495.22        | 0.00%             | 2030-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 8/27 #780622                                                                           | CUSIP: 36225AVP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         55 | PA      | $55.91         | 0.00%             | 2027-08-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/39 #713199                                                                           | CUSIP: 36297JKL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6433 | PA      | $6560.99       | 0.00%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #254379                                                                           | CUSIP: 31371KQ87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1057 | PA      | $1117.26       | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ4198                                                                          | CUSIP: 3138AVUY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     207381 | PA      | $202919.69     | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 2/37 #889116                                                                           | CUSIP: 31410GYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        665 | PA      | $701.39        | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | 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        |    8460080 | PA      | $8501092.59    | 0.02%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.25%/VAR 04/21/2034                                                               | CUSIP: 61747YFE0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   50000000 | PA      | $51478065.00   | 0.12%             | 2034-04-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2047#BE5550                                                                  | CUSIP: 3140FREY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     150526 | PA      | $149788.80     | 0.00%             | 2047-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #433616                                                                           | CUSIP: 36207JVH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        166 | PA      | $167.94        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2% 05/01/2035#BP5703                                                                    | CUSIP: 3140KDKR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18971555 | PA      | $17716177.12   | 0.04%             | 2035-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                   | SOCIETE GENERALE FRANCE 5.5%/VAR 04/13/2029 144A                                                  | CUSIP: 83368RCC4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |   27997000 | PA      | $28673483.67   | 0.07%             | 2029-04-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 3.625% 04/01/2027                                                                 | CUSIP: 126650DH0<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    7479000 | PA      | $7437776.20    | 0.02%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #A12833                                                                           | CUSIP: 31296MEE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7846 | PA      | $7992.45       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                                 | JPSW SWAP REC 3.837 07/22/26                                                                      | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DIR              | CORP              | US        |   47480000 | NC      | $864859.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/46#Q39901                                                                       | CUSIP: 3132QXAB3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71908 | PA      | $67821.09      | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 07/01/2035#                                                                          | CUSIP: 31297R4W4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        339 | PA      | $345.23        | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 1.5% 12/01/2035#FM4701                                                                  | CUSIP: 3140X8GK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23880 | PA      | $21648.40      | 0.00%             | 2035-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 12-154 F SOFR30A+41.448 01/25/2043                                 | CUSIP: 3136AA6R1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     516523 | PA      | $505630.95     | 0.00%             | 2043-01-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 02/20/2041#004948                                                                  | CUSIP: 36202FP91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8036 | PA      | $7886.68       | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 05/15/2035                                                                        | CUSIP: 91282CNC1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1126050000 | PA      | $1135375101.56 | 2.62%             | 2035-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #576466                                                                           | CUSIP: 36200YMP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        206 | PA      | $212.23        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-5 A 3% 01/20/2044                                             | CUSIP: 38376MAY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2372148 | PA      | $2208720.06    | 0.01%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 11/01/2051#QD0399                                                                    | CUSIP: 3133AWNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1166950 | PA      | $959546.62     | 0.00%             | 2051-11-01      | Fixed         | 0.02%                 | 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        |    3815181 | PA      | $3825675.59    | 0.01%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2052#RA8291                                                                    | CUSIP: 3133KQF84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1937981 | PA      | $1958686.44    | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.914% 07/30/2054 144A                                                      | CUSIP: 864300AL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   35698410 | PA      | $35453604.58   | 0.08%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.625% 11/15/2055                                                     | CUSIP: 912810UP1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   81000000 | PA      | $78038437.50   | 0.18%             | 2055-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE8135                                                                    | CUSIP: 31419KBD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      60622 | PA      | $59261.63      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMP 2024-MF23                                                                      | BROOKFIELD 2024-MF23 A TSFR1M+149.177 06/15/2041 144A                                             | CUSIP: 05593JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22372000 | PA      | $22406913.74   | 0.05%             | 2041-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| DB MASTER FIN LLC                                                                  | DB MASTER FIN LLC 4.891% 08/20/2055 144A                                                          | CUSIP: 233046AU5<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-CBDO         | CORP              | US        |   23125000 | PA      | $23193216.44   | 0.05%             | 2055-08-20      | Fixed         | 0.05%                 | 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        |    5057271 | PA      | $4326283.88    | 0.01%             | 2051-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/41 #AH4609                                                                           | CUSIP: 3138A6DP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6619 | PA      | $6477.97       | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2016-H13 FB T1Y+50 05/20/2066                                                                 | CUSIP: 38376RUU8<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     323925 | PA      | $323372.47     | 0.00%             | 2066-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 4.35% 04/05/2042                                                         | CUSIP: 21871XAK5<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    3537000 | PA      | $3024227.21    | 0.01%             | 2042-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/40 #A91160                                                                           | CUSIP: 312939JD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8555 | PA      | $8583.14       | 0.00%             | 2040-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/27 #368817                                                                           | CUSIP: 31376XVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        637 | PA      | $641.16        | 0.00%             | 2027-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C37                                                   | WELLS FARGO COML MTG TR 2016-C37 3.525% 12/15/2049                                                | CUSIP: 95000PAD6<br>LEI: 549300TRQQDPEF728F16 | Long             | ABS-MBS          | CORP              | US        |    5393194 | PA      | $5357171.87    | 0.01%             | 2049-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2041#A96822                                                                    | CUSIP: 312945SK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     366487 | PA      | $359108.74     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/33 #G01584                                                                           | CUSIP: 31283HXM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2292 | PA      | $2333.51       | 0.00%             | 2033-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 7.00% 8/26 #256430                                                                      | CUSIP: 31371MY35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        701 | PA      | $702.79        | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #584361                                                                           | CUSIP: 36201JFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        431 | PA      | $442.60        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/48#CA1564                                                                       | CUSIP: 3140Q8W27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     193646 | PA      | $192395.00     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | 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        |     149039 | PA      | $145857.78     | 0.00%             | 2033-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 21 LTD / AIMCO CLO 21 LLC                                                | AIMCO CLO 21 LTD / AIMCO CLO 21 LLC A1 TSFR3M+150 04/18/2037 144A                                 | CUSIP: 00901WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   24647000 | PA      | $24710515.32   | 0.06%             | 2037-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #704995                                                                           | CUSIP: 36296YGC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14936 | PA      | $15238.79      | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 6/41 #768770                                                                           | CUSIP: 36176K2B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54935 | PA      | $53327.12      | 0.00%             | 2041-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.8 08/10/26                                                                        | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   27050000 | NC      | $600359.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #427241                                                                           | CUSIP: 36207BS68<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         21 | PA      | $21.50         | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/37 #942981                                                                           | CUSIP: 31413ECS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25996 | PA      | $27454.63      | 0.00%             | 2037-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/31 #489936                                                                           | CUSIP: 36210EHM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1126 | PA      | $1178.98       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 08/01/2035#G02836                                                                  | CUSIP: 3128M4PV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2746 | PA      | $2761.99       | 0.00%             | 2035-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 06/20/2050#MA6710                                                                      | CUSIP: 36179VN30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26507 | PA      | $23894.74      | 0.00%             | 2050-06-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3% 2/43 #Q15438                                                                              | CUSIP: 3132J6PY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     668570 | PA      | $621278.88     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-18 FD SOFR30A+91.448 2/32                                                                | CUSIP: 31392CHM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       3900 | PA      | $3912.29       | 0.00%             | 2032-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 05/01/2029#                                                                          | CUSIP: 31293PXU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         44 | PA      | $44.02         | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 4/41 #A97942                                                                           | CUSIP: 312946ZF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1020325 | PA      | $1022529.79    | 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        |      26537 | PA      | $25672.52      | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/30 #515361                                                                           | CUSIP: 36211KQN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        463 | PA      | $476.24        | 0.00%             | 2030-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/29 #781272                                                                           | CUSIP: 36225BMV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         92 | PA      | $93.23         | 0.00%             | 2029-08-15      | Fixed         | 0.07%                 | 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        |    2590000 | PA      | $2618747.71    | 0.01%             | 2030-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/29 #323819                                                                           | CUSIP: 31374TVL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        167 | PA      | $172.13        | 0.00%             | 2029-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 03/46#MA3522                                                                           | CUSIP: 36179R4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14319 | PA      | $13826.78      | 0.00%             | 2046-03-20      | Fixed         | 0.04%                 | 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        |     300000 | NC      | $46318.74      | 0.00%             |  |  |  | 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        |      61785 | PA      | $60248.22      | 0.00%             | 2040-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 05/20/2031#MA3639                                                                    | CUSIP: 36179SBG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1796324 | PA      | $1761914.81    | 0.00%             | 2031-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727060                                                                  | CUSIP: 31402EWV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37060 | PA      | $37233.12      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | 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        |    1155647 | PA      | $1040513.02    | 0.00%             | 2042-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723430                                                                          | CUSIP: 3620A9VX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1818 | PA      | $1820.99       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3140LYWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1804752 | PA      | $1676484.63    | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 04/01/2046#Q39717                                                                    | CUSIP: 3132QWYP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240391 | PA      | $219484.46     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #581860                                                                           | CUSIP: 36201FMH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        470 | PA      | $486.35        | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #449600                                                                           | CUSIP: 36208FNR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         52 | PA      | $52.61         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | 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        |     151486 | PA      | $23266.93      | 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 3.9% 08/25/2028                                                    | CUSIP: 3137FJEH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $5005646.50    | 0.01%             | 2028-08-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9633                                                                    | CUSIP: 3140XDV37<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18226865 | PA      | $16320065.00   | 0.04%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| REGENCY CTRS LP                                                                    | REGENCY CTRS LP 3.7% 06/15/2030                                                                   | CUSIP: 75884RBA0<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              | CORP              | US        |   25000000 | PA      | $24522029.25   | 0.06%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/35 #803376                                                                          | CUSIP: 31405YQ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5398 | PA      | $5685.00       | 0.00%             | 2035-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2049#BL1665                                                                    | CUSIP: 3617JDZ69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      89021 | PA      | $81816.38      | 0.00%             | 2049-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+61.448 06/20/2064                                             | CUSIP: 38375UKG4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     112564 | PA      | $112592.86     | 0.00%             | 2064-06-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.24% 9/33 #555935                                                                       | CUSIP: 31385XSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      61226 | PA      | $61760.39      | 0.00%             | 2033-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/39 #710482                                                                          | CUSIP: 36297FJ37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      45432 | PA      | $44308.62      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.875% 08/15/2045                                                     | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  700478000 | PA      | $707263880.63  | 1.63%             | 2045-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/37 #670351                                                                           | CUSIP: 36295GWL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2067 | PA      | $2108.84       | 0.00%             | 2037-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 0.0% 10/01/2041#AI6819                                                                   | CUSIP: 3138ALSH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3117 | PA      | $3245.45       | 0.00%             | 2041-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 12/38 #702744                                                                          | CUSIP: 36296VWD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      68857 | PA      | $71001.84      | 0.00%             | 2038-12-15      | 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% 11/25/2047                                                    | CUSIP: 3137H5KC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    9072971 | PA      | $8318573.90    | 0.02%             | 2047-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2043#AL7626                                                                    | CUSIP: 3138EQPL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     253696 | PA      | $248108.33     | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 3.035%/VAR 05/28/2032                                              | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |    4469000 | PA      | $4102764.73    | 0.01%             | 2032-05-28      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 08/20/2050#MA6818                                                                      | CUSIP: 36179VSF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1058440 | PA      | $877138.04     | 0.00%             | 2050-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UBS COML MTG TR 2017-C6                                                            | UBS COML MTG TR 2017-C6 A5 3.5795% 12/15/2050                                                     | CUSIP: 90276UAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7045000 | PA      | $6930170.73    | 0.02%             | 2050-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-C35                                                   | WELLS FARGO COML MTG TR 2016-C35 TSFR1M+116.448 07/15/2048 144A                                   | CUSIP: 95000FBA3<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |    8500000 | PA      | $8502470.10    | 0.02%             | 2048-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34584                                                                    | CUSIP: 31307RCV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      50799 | PA      | $49954.77      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 07/01/2044#Q27007                                                                  | CUSIP: 3132M7NY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24397 | PA      | $23690.20      | 0.00%             | 2044-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2045#AZ3728                                                                  | CUSIP: 3138YVEA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     108849 | PA      | $98788.39      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/38 #711379                                                                           | CUSIP: 36297GJY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6011 | PA      | $6157.47       | 0.00%             | 2038-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/43#AS0080                                                                       | CUSIP: 3138W9CS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23068 | PA      | $21976.43      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST                                                                | AFFIRM MASTER TRUST 4.45% 10/16/2034 144A                                                         | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $10035306.00   | 0.02%             | 2034-10-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2047#MA3184                                                                  | CUSIP: 31418CRE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20416 | PA      | $20297.22      | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | 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        |      11796 | PA      | $12475.40      | 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        |     943116 | PA      | $842978.51     | 0.00%             | 2050-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ARES LN FDG V LTD / ARES LN FDG V LLC                                              | ARES LN FDG V LTD / ARES LN FDG V LLC A1 TSFR3M+150 07/27/2037 144A                               | CUSIP: 04020QAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   32417000 | PA      | $32501608.37   | 0.07%             | 2037-07-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 08/01/2051#CB1331                                                                  | CUSIP: 3140QLPR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22907853 | PA      | $19589552.34   | 0.05%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 2014-2 BA 3% 01/20/2044                                            | CUSIP: 38378YG78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    4524421 | PA      | $4212055.41    | 0.01%             | 2044-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC 2010-116 QB 4% 09/16/2040                                             | CUSIP: 38377LAL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |     176497 | PA      | $173345.97     | 0.00%             | 2040-09-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 1/1/43 #AB7568                                                                     | CUSIP: 31417EMS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26784 | PA      | $24727.45      | 0.00%             | 2043-01-01      | 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 VAR 07/25/2030                                                     | CUSIP: 3137HMCE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4700000 | PA      | $4739526.53    | 0.01%             | 2030-07-25      | Variable      | 0.04%                 | 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        |   12217496 | PA      | $12567382.03   | 0.03%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/31 #551116                                                                           | CUSIP: 36213DGZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        261 | PA      | $270.26        | 0.00%             | 2031-08-15      | Fixed         | 0.07%                 | 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        |    8319777 | PA      | $8294696.85    | 0.02%             | 2054-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK LIFE INSURANCE CO                                                         | NEW YORK LIFE INSURANCE CO 3.75% 05/15/2050 144A                                                  | CUSIP: 64952GAT5<br>LEI: TAE73CY392TBWJ3O3305 | Long             | DBT              | CORP              | US        |    7429000 | PA      | $5506291.67    | 0.01%             | 2050-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #704587                                                                           | CUSIP: 36296XXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10755 | PA      | $10969.84      | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | 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        |      14039 | PA      | $13607.27      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #830989                                                                           | CUSIP: 31407HF68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5815 | PA      | $6098.90       | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 4/1/43 #AT0668                                                                     | CUSIP: 3138WMW64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     137852 | PA      | $131442.28     | 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        |     133947 | PA      | $130699.02     | 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        |   87036305 | PA      | $72073319.06   | 0.17%             | 2051-08-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 5.05% 03/30/2029  | CUSIP: 161175BR4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   10610000 | PA      | $10733236.64   | 0.02%             | 2029-03-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 05/31/2032                                                                       | CUSIP: 91282CNF4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8625000 | PA      | $8741172.71    | 0.02%             | 2032-05-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.75% 05/15/2055                                                      | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  281659000 | PA      | $276773976.72  | 0.64%             | 2055-05-15      | Fixed         | 0.05%                 | 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        |     292076 | PA      | $292509.17     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735358                                                                           | CUSIP: 3620AN5T3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57150 | PA      | $57237.43      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 09/01/2035#FM4661                                                                  | CUSIP: 3140X8FB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4954018 | PA      | $4717237.27    | 0.01%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 08/01/2043#Q20785                                                                  | CUSIP: 3132JM2S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70539 | PA      | $69190.26      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | 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        |    1271918 | PA      | $1231910.07    | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 01/01/2041#                                                                        | CUSIP: 3129444V0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70425 | PA      | $70663.77      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #781027                                                                           | CUSIP: 36225BD88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $27.62         | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #726467                                                                          | CUSIP: 3620ADCC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3016 | PA      | $3020.70       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/41 #AD1892                                                                           | CUSIP: 31418PC60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1995 | PA      | $1996.48       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | 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        |      15620 | PA      | $16189.44      | 0.00%             | 2036-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 2.45% 10/29/2026                        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   17295000 | PA      | $17059926.53   | 0.04%             | 2026-10-29      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 2.625% 08/01/2031                                                                    | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   15205000 | PA      | $13078493.78   | 0.03%             | 2031-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #710848                                                                           | CUSIP: 36297FWH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43345 | PA      | $44215.06      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | 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        |      23368 | PA      | $3967.03       | 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        |    5567781 | PA      | $5805798.27    | 0.01%             | 2053-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2033#729380                                                                  | CUSIP: 31402HJZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36857 | PA      | $37026.78      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/34 #357634                                                                          | CUSIP: 31376KHK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56616 | PA      | $59342.54      | 0.00%             | 2034-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/29 #513722                                                                           | CUSIP: 36211HVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         39 | PA      | $39.66         | 0.00%             | 2029-07-15      | Fixed         | 0.07%                 | 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        |    6946281 | PA      | $6314576.53    | 0.01%             | 2035-08-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/39 #717129                                                                           | CUSIP: 3620A2VW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2718 | PA      | $2771.36       | 0.00%             | 2039-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #454375                                                                           | CUSIP: 36208LXC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        145 | PA      | $145.94        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 05/01/2045#Q33468                                                                  | CUSIP: 3132QP2A1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99311 | PA      | $90687.10      | 0.00%             | 2045-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.87% 10/35 #1M1052                                                                      | CUSIP: 3128QFEZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      25554 | PA      | $26148.40      | 0.00%             | 2035-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 4/42 #AK6572                                                                           | CUSIP: 3138EBJS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     231186 | PA      | $220886.98     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 10/41 #Q03643                                                                          | CUSIP: 3132GJWC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     629106 | PA      | $630093.98     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/42#AB6934                                                                       | CUSIP: 31417DV42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     164691 | PA      | $157115.64     | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #443837                                                                           | CUSIP: 36207WBE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        159 | PA      | $160.26        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 3/35 #787562                                                                           | CUSIP: 31405E5X9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        612 | PA      | $638.51        | 0.00%             | 2035-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #462916                                                                           | CUSIP: 36208WGZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $54.93         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 12/01/2042#AB7124                                                                  | CUSIP: 31417D4J9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     186866 | PA      | $178831.37     | 0.00%             | 2042-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2046#Q41359                                                                  | CUSIP: 3132WEQM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      37511 | PA      | $35332.45      | 0.00%             | 2046-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 12/34 #605777                                                                          | CUSIP: 36200N6N6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1655 | PA      | $1723.28       | 0.00%             | 2034-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21526                                                                  | CUSIP: 3132JNVT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     102707 | PA      | $100132.01     | 0.00%             | 2043-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2154 PT 6% 5/29                                                                               | CUSIP: 3133TKW97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      26293 | PA      | $26889.17      | 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        |    2002066 | PA      | $1830314.74    | 0.00%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/28 #781129                                                                          | CUSIP: 36225BHE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         51 | PA      | $51.34         | 0.00%             | 2028-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 9/40 #747264                                                                           | CUSIP: 3620C3FD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7476 | PA      | $7484.05       | 0.00%             | 2040-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AB3687                                                                          | CUSIP: 31417ACZ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     990080 | PA      | $968644.32     | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2045#G61796                                                                  | CUSIP: 31335B7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     379056 | PA      | $380327.34     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 4/35 #A54855                                                                           | CUSIP: 3128KHMC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67798 | PA      | $69076.67      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #448514                                                                           | CUSIP: 36208EGX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         44 | PA      | $44.33         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EATON VANCE CLO 2019-1 LTD                                                         | EATON VANCE CLO 2019-1 LTD AR2 TSFR3M+151 07/15/2037 144A                                         | CUSIP: 27830XAW6<br>LEI: 5493007R7GEORNX00105 | Long             | ABS-CBDO         | CORP              | KY        |   30522000 | PA      | $30577244.82   | 0.07%             | 2037-07-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| OCP AEGIS CLO 2025-47 LTD                                                          | OCP AEGIS CLO 2025-47 LTD A1 TSFR3M+111 01/21/2038 144A                                           | CUSIP: 67122UAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   24882000 | PA      | $24888170.74   | 0.06%             | 2038-01-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.3% 02/15/2030                                                                      | CUSIP: 00206RGQ9<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   13106000 | PA      | $13122556.29   | 0.03%             | 2030-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COML MTG TR 2016-LC25                                                  | WELLS FARGO COML MTG TR 2016-LC25 A3 3.374% 12/15/2059                                            | CUSIP: 95000JAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8288513 | PA      | $8232638.91    | 0.02%             | 2059-12-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 7/40#V81831                                                                        | CUSIP: 3132L7A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      80537 | PA      | $77346.97      | 0.00%             | 2040-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #443709                                                                           | CUSIP: 36207V3S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         65 | PA      | $66.57         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/42#AO9948                                                                         | CUSIP: 3138M2BS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44634 | PA      | $43525.51      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55504                                                                    | CUSIP: 3132XYDJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     240894 | PA      | $233044.12     | 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        |    5927579 | PA      | $5862640.12    | 0.01%             | 2032-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2005-79 ZC 5.9% 09/25/2035                                         | CUSIP: 31394FGT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |     374366 | PA      | $378888.66     | 0.00%             | 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        |     224481 | PA      | $183181.02     | 0.00%             | 2051-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 6/39 #993203                                                                           | CUSIP: 31415YKQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1789 | PA      | $1793.48       | 0.00%             | 2039-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #617454                                                                           | CUSIP: 36290T5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9675 | PA      | $9147.26       | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK AUSTRALIA                                                        | COMMONWEALTH BANK AUSTRALIA 3.61%/VAR 09/12/2034 144A                                             | CUSIP: 202712BK0<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |   12091000 | PA      | $11661457.55   | 0.03%             | 2034-09-12      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 06/01/2050#SD0393                                                                    | CUSIP: 3132DMNJ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26498 | PA      | $23742.47      | 0.00%             | 2050-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH2152                                                                           | CUSIP: 3138A3MA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     134894 | PA      | $132558.74     | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP REC 4.065 05/02/30                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   48130000 | NC      | $1508483.24    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 4/28 #G00982                                                                           | CUSIP: 31283HCT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $107.65        | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 04/01/2035#                                                                          | CUSIP: 3128MJBV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17398 | PA      | $17745.46      | 0.00%             | 2035-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 09/01/2030#                                                                          | CUSIP: 31298AYN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $55.81         | 0.00%             | 2030-09-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.15% 01/15/2030 144A                                                 | CUSIP: 05401AAX9<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    2956000 | PA      | $3004411.77    | 0.01%             | 2030-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| AES CORP                                                                           | AES CORP 2.45% 01/15/2031                                                                         | CUSIP: 00130HCG8<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |   28885000 | PA      | $26188253.07   | 0.06%             | 2031-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #781605                                                                           | CUSIP: 36225BYA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        500 | PA      | $517.23        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 2% 01/15/2029                                                          | CUSIP: 22003BAN6<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    2896000 | PA      | $2704737.53    | 0.01%             | 2029-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #628119                                                                           | CUSIP: 36291GYQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        349 | PA      | $356.94        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+179.391 05/15/2039 144A                                 | CUSIP: 53218DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33561000 | PA      | $30329418.02   | 0.07%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2050#FM6118                                                                    | CUSIP: 3140X9YQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81711 | PA      | $73213.63      | 0.00%             | 2050-08-01      | 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        |      95793 | PA      | $8249.82       | 0.00%             | 2037-06-16      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022 TSFR1M+129.524 05/15/2039 144A                                 | CUSIP: 53218DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57498000 | PA      | $55450726.21   | 0.13%             | 2039-05-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 7.875% 10/01/2029                                                                       | CUSIP: 023551AF1<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   20178000 | PA      | $22801248.96   | 0.05%             | 2029-10-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 09/01/2030#                                                                        | CUSIP: 31298ASP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         41 | PA      | $42.63         | 0.00%             | 2030-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/45#AZ9583                                                                         | CUSIP: 3140E2UH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     234071 | PA      | $227123.74     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 05/15/2042#AA1859                                                                    | CUSIP: 36177YB47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6483 | PA      | $6435.39       | 0.00%             | 2042-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+46.448 05/25/2047                                          | CUSIP: 3136AWTD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    1102562 | PA      | $1075388.50    | 0.00%             | 2047-05-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 11/01/2044#AX6493                                                                  | CUSIP: 3138Y8GB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31377 | PA      | $31448.49      | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CVS HEALTH CORP                                                                    | CVS HEALTH CORP 3% 08/15/2026                                                                     | CUSIP: 126650DF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |    2965000 | PA      | $2945324.91    | 0.01%             | 2026-08-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #710499                                                                          | CUSIP: 36297FKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50263 | PA      | $50315.66      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/29 #499474                                                                           | CUSIP: 36210Q2F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        524 | PA      | $534.49        | 0.00%             | 2029-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 06/15/2043#AD3626                                                                  | CUSIP: 36180FA36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54599 | PA      | $49883.76      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/47#V84700                                                                       | CUSIP: 3132LAGH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     592262 | PA      | $557862.89     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT AIRCRAFT LEASE LIM                                                     | THUNDERBOLT AIRCRAFT LEASE 2018-A A STEP 07/15/2038 144A                                          | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6847418 | PA      | $6850841.86    | 0.02%             | 2038-09-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2041#G60405                                                                  | CUSIP: 31335ANW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     603639 | PA      | $605359.82     | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| EQUITABLE HOLDINGS INC                                                             | EQUITABLE HOLDINGS INC 4.572% 02/15/2029 144A                                                     | CUSIP: 054561AN5<br>LEI: 549300FIBAKMNHPZ4009 | Long             | DBT              | CORP              | US        |    7172000 | PA      | $7205761.19    | 0.02%             | 2029-02-15      | Fixed         | 0.05%                 | 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        |     106457 | PA      | $99057.31      | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #731980                                                                           | CUSIP: 3620AKFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3412 | PA      | $3481.06       | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/28 #190294                                                                           | CUSIP: 31368HKF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3599 | PA      | $3782.79       | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 09/01/2039#                                                                        | CUSIP: 3128MJMN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2021 | PA      | $2027.07       | 0.00%             | 2039-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 0.0% 07/01/2041#1B8505                                                                   | CUSIP: 3128UGZV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78834 | PA      | $82007.19      | 0.00%             | 2041-07-01      | Variable      | 0.06%                 | 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        |    1000000 | NC      | $166991.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #762832                                                                           | CUSIP: 36176DHH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        900 | PA      | $900.66        | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BMO MORTGAGE TRUST                                                                 | BMO MORTGAGE TRUST 5C13 A2 4.8342% 12/15/2058                                                     | CUSIP: 09664JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4600000 | PA      | $4647605.40    | 0.01%             | 2058-12-15      | 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 3% 01/25/2049                                                      | CUSIP: 3137H5ZA8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2196034 | PA      | $2053640.50    | 0.00%             | 2049-01-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 08/01/2030#                                                                          | CUSIP: 31297YK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1885 | PA      | $1969.23       | 0.00%             | 2030-08-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| COPT DEFENSE PROPERTIES LP                                                         | COPT DEFENSE PROPERTIES LP 4.5% 10/15/2030                                                        | CUSIP: 12713UAA4<br>LEI: H0TWO5VRNEP6CQAWPX27 | Long             | DBT              | CORP              | US        |    4024000 | PA      | $4004459.82    | 0.01%             | 2030-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/26 #250495                                                                           | CUSIP: 31371FGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $6.29          | 0.00%             | 2026-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.9% 04/01/2042#AO1103                                                                  | CUSIP: 3138LRGM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24848 | PA      | $24272.96      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | 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        |     253972 | PA      | $254361.89     | 0.00%             | 2040-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 02/01/2052#QD7615                                                                    | CUSIP: 3133B5N81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     765613 | PA      | $681690.39     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | 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        |     442374 | PA      | $347061.90     | 0.00%             | 2051-06-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 11/15/2034                                                                        | CUSIP: 91282CLW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  419800000 | PA      | $424211178.64  | 0.98%             | 2034-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #722699                                                                          | CUSIP: 3620A83G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15254 | PA      | $15277.03      | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 2/37 #658285                                                                           | CUSIP: 36294SJ65<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        185 | PA      | $190.75        | 0.00%             | 2037-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/28 #432548                                                                           | CUSIP: 31379XP90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2353 | PA      | $2473.21       | 0.00%             | 2028-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4% 05/20/2049#BN2615                                                                      | CUSIP: 3617K53Y8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     166516 | PA      | $158206.74     | 0.00%             | 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        |    2643195 | PA      | $2280812.39    | 0.01%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2045#Q37070                                                                  | CUSIP: 3132QT2C9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54531 | PA      | $51643.89      | 0.00%             | 2045-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/37 #AE0265                                                                           | CUSIP: 31419AJK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     755565 | PA      | $788341.61     | 0.00%             | 2037-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #740919                                                                           | CUSIP: 3620AVDY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5951 | PA      | $5956.88       | 0.00%             | 2040-08-15      | 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        |    4200000 | NC      | $-48192.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 7/39 #931504                                                                           | CUSIP: 31412P3M1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362559 | PA      | $363265.17     | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 01/20/2050#BR8998                                                                      | CUSIP: 3617M77K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     137135 | PA      | $123492.73     | 0.00%             | 2050-01-20      | Fixed         | 0.03%                 | 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        |   93757543 | PA      | $1836354.00    | 0.00%             | 2062-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/32 #579242                                                                           | CUSIP: 36201CP32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3906 | PA      | $4041.17       | 0.00%             | 2032-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/31 #564543                                                                          | CUSIP: 36213UEQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        137 | PA      | $141.96        | 0.00%             | 2031-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 02/01/2047#BE5696                                                                  | CUSIP: 3140FRKJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19484 | PA      | $18331.05      | 0.00%             | 2047-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #569799                                                                           | CUSIP: 36200Q7L2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1612 | PA      | $1670.14       | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MASTERCARD INC                                                                     | MASTERCARD INC 3.3% 03/26/2027                                                                    | CUSIP: 57636QAR5<br>LEI: AR5L2ODV9HN37376R084 | Long             | DBT              | CORP              | US        |    3028000 | PA      | $3012523.71    | 0.01%             | 2027-03-26      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2023-3 LLC                                                   | ENTERPRISE FLEET FING 2023-3 LLC 6.4% 03/20/2030 144A                                             | CUSIP: 29374LAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12015951 | PA      | $12163743.76   | 0.03%             | 2030-03-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 12/15/2040#737712                                                                  | CUSIP: 3620ARR94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13076 | PA      | $12685.10      | 0.00%             | 2040-12-15      | Fixed         | 0.04%                 | 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        |    1461412 | PA      | $1318005.72    | 0.00%             | 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        |      72259 | PA      | $68682.90      | 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        |    8512683 | PA      | $7292388.44    | 0.02%             | 2051-12-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 07/01/2055#DE1973                                                                  | CUSIP: 3140BEFP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     481492 | PA      | $488359.79     | 0.00%             | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/27 #397106                                                                           | CUSIP: 31378FDK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          7 | PA      | $6.91          | 0.00%             | 2027-08-01      | Fixed         | 0.07%                 | 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        |    7841037 | PA      | $7028099.51    | 0.02%             | 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        |    1000000 | NC      | $79444.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #616423                                                                           | CUSIP: 36290SYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2213 | PA      | $2268.79       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SUN CMNTYS OPER LTD PRTNRSHP                                                       | SUN CMNTYS OPER LTD PRTNRSHP 2.7% 07/15/2031                                                      | CUSIP: 866677AE7<br>LEI: 549300PUNBPJCGT6X741 | Long             | DBT              | CORP              | US        |   18176000 | PA      | $16517039.40   | 0.04%             | 2031-07-15      | Fixed         | 0.03%                 | 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        |      23802 | PA      | $24258.86      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/41 #756893                                                                           | CUSIP: 36230RUS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2463 | PA      | $2513.03       | 0.00%             | 2041-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 07/01/2047#AS9968                                                                    | CUSIP: 3138WLCE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1434173 | PA      | $1390712.39    | 0.00%             | 2047-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| TACO BELL FDG LLC                                                                  | TACO BELL FDG LLC 4.821% 08/25/2055 144A                                                          | CUSIP: 87342RAK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   40265000 | PA      | $40073757.36   | 0.09%             | 2055-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#QD0109                                                                    | CUSIP: 3133AWDN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1364092 | PA      | $1121650.57    | 0.00%             | 2051-10-01      | Fixed         | 0.02%                 | 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        |     547869 | PA      | $448099.00     | 0.00%             | 2051-05-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CONSOLIDATED EDISON CO OF NEW YORK INC                                             | CONSOLIDATED EDISON CO OF NY 3.35% 04/01/2030                                                     | CUSIP: 209111FX6<br>LEI: VZFZPMWDHTQCFKYOBP05 | Long             | DBT              | CORP              | US        |    3290000 | PA      | $3186028.07    | 0.01%             | 2030-04-01      | Fixed         | 0.03%                 | 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        |    1097471 | PA      | $1068828.99    | 0.00%             | 2034-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/32 #573592                                                                           | CUSIP: 36200VF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4697 | PA      | $4874.55       | 0.00%             | 2032-02-15      | Fixed         | 0.07%                 | 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        |      91215 | PA      | $89290.38      | 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        |     674015 | PA      | $639908.69     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | 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        |      70435 | PA      | $65372.38      | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/29 #502341                                                                           | CUSIP: 36210UBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        346 | PA      | $354.81        | 0.00%             | 2029-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 8/34 #G02758                                                                           | CUSIP: 3128M4MF7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     103053 | PA      | $105007.14     | 0.00%             | 2034-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-66 DA 2% 01/25/2048                                             | CUSIP: 3136BG6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2449166 | PA      | $2069504.85    | 0.00%             | 2048-01-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| NISOURCE INC                                                                       | NISOURCE INC 2.95% 09/01/2029                                                                     | CUSIP: 65473PAH8<br>LEI: 549300D8GOWWH0SJB189 | Long             | DBT              | CORP              | US        |   40740000 | PA      | $39091952.11   | 0.09%             | 2029-09-01      | Fixed         | 0.03%                 | 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        |      49102 | PA      | $49184.82      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2029#AS7270                                                                  | CUSIP: 3138WHCG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296212 | PA      | $290492.79     | 0.00%             | 2029-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 05/01/2040#MA4016                                                                  | CUSIP: 31418DPA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     831680 | PA      | $754840.04     | 0.00%             | 2040-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                          | AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST 6.45% 04/15/2027                        | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |   59444000 | PA      | $61063554.16   | 0.14%             | 2027-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2035#                                                                          | CUSIP: 31297SPM1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7388 | PA      | $7531.00       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 04/01/2033#ZS8087                                                                  | CUSIP: 3132A86Y0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     370233 | PA      | $356540.53     | 0.00%             | 2033-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-32 PL 6% 7/29                                                                            | CUSIP: 31359WHX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      32113 | PA      | $32750.61      | 0.00%             | 2029-07-25      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 09/01/2032#ZT2008                                                                  | CUSIP: 3132AEGR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     200811 | PA      | $195717.52     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.75% 11/15/2030                                                      | CUSIP: 92277GAV9<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |   41973000 | PA      | $42562122.12   | 0.10%             | 2030-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2038#AV1874                                                                    | CUSIP: 3138XDCL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477872 | PA      | $468892.99     | 0.00%             | 2038-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/39 #702085                                                                           | CUSIP: 36296U6W5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        981 | PA      | $1001.14       | 0.00%             | 2039-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 2/41 #A97151                                                                           | CUSIP: 3129455L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      85552 | PA      | $85831.14      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 08/01/2041#AI5189                                                                  | CUSIP: 3138AJXT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9931 | PA      | $10127.78      | 0.00%             | 2041-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VOLOFIN FINANCE DESIGNATED ACTIVITY CO                                             | VOLOFIN FINANCE DESIGNATED ACTIVITY CO 5.935% 06/15/2037 144A                                     | CUSIP: 92873RAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9698211 | PA      | $9884105.10    | 0.02%             | 2037-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/30 #563583                                                                          | CUSIP: 31386HCU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1210 | PA      | $1280.22       | 0.00%             | 2030-12-01      | Fixed         | 0.07%                 | 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        |    1300000 | NC      | $103277.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 8/32 #583152                                                                           | CUSIP: 36201GZR9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        473 | PA      | $491.04        | 0.00%             | 2032-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 5% 04/25/2048                                                      | CUSIP: 3137H8BP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3653394 | PA      | $3683740.19    | 0.01%             | 2048-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 03/01/2027#                                                                        | CUSIP: 31292GRV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $9.76          | 0.00%             | 2027-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #404745                                                                          | CUSIP: 31378PTA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        940 | PA      | $955.93        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.224% 03/15/2032                                                                | CUSIP: 745310AN2<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   27319000 | PA      | $26194132.53   | 0.06%             | 2032-03-15      | Fixed         | 0.04%                 | 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        |      11777 | PA      | $12013.58      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #431989                                                                           | CUSIP: 36207G2W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        195 | PA      | $197.90        | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/29 #252806                                                                          | CUSIP: 31371HYB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        328 | PA      | $341.44        | 0.00%             | 2029-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2025-V14 MTG TR                                                          | BENCHMARK 2025-V14 MTG TR 5.1761% 04/15/2057                                                      | CUSIP: 08164BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10900000 | PA      | $11206591.93   | 0.03%             | 2057-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MOLSON COORS BEVERAGE CO                                                           | MOLSON COORS BEVERAGE CO 3% 07/15/2026                                                            | CUSIP: 60871RAG5<br>LEI: 54930073LBBH6ZCBE225 | Long             | DBT              | CORP              | US        |   48345000 | PA      | $48078415.03   | 0.11%             | 2026-07-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31296PKS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      29923 | PA      | $30484.78      | 0.00%             | 2033-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TR 2023-4                                                        | CARMAX AUTO OWNER TR 2023-4 6% 07/17/2028                                                         | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12592627 | PA      | $12755034.28   | 0.03%             | 2028-07-17      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/27 #780570                                                                           | CUSIP: 36225AT34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          8 | PA      | $8.31          | 0.00%             | 2027-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/26 #780481                                                                          | CUSIP: 36225ARA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          2 | PA      | $1.70          | 0.00%             | 2026-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 03/01/2041#A97520                                                                  | CUSIP: 312946K96<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      99031 | PA      | $101125.05     | 0.00%             | 2041-03-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 10/01/2040#V81966                                                                  | CUSIP: 3132L7FF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     202399 | PA      | $193988.85     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #251298                                                                          | CUSIP: 31371GDB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        226 | PA      | $229.38        | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 11/40 #749953                                                                          | CUSIP: 3620C6E27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      57223 | PA      | $55584.11      | 0.00%             | 2040-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.25% 11/01/2041#AJ7445                                                                 | CUSIP: 3138E0HX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45529 | PA      | $45068.88      | 0.00%             | 2041-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2028#                                                                          | CUSIP: 31292WQ38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.18         | 0.00%             | 2028-07-01      | Fixed         | 0.06%                 | 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        |     263391 | PA      | $240484.17     | 0.00%             | 2046-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/29 #323657                                                                           | CUSIP: 31374TQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        199 | PA      | $208.85        | 0.00%             | 2029-03-01      | Fixed         | 0.07%                 | 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        |    1918323 | PA      | $1878899.18    | 0.00%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 04/20/2040#004673                                                                  | CUSIP: 36202FFN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      87402 | PA      | $85844.64      | 0.00%             | 2040-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.874 10/28/30                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   44240000 | NC      | $1709839.28    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/40 #A92914                                                                           | CUSIP: 312941GX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      18577 | PA      | $18963.28      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ARES LXX CLO LTD / ARES LXX CLO LLC                                                | ARES LXX CLO LTD / ARES LXX CLO LLC A1R TSFR3M+125 01/25/2039 144A                                | CUSIP: 039951AS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   27474000 | PA      | $27486170.98   | 0.06%             | 2039-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 06/01/2040#                                                                        | CUSIP: 3129404Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14588 | PA      | $14630.52      | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#                                                                          | CUSIP: 31418D5G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17037 | PA      | $14908.86      | 0.00%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 04/01/2041#                                                                        | CUSIP: 3132GDQH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2660 | PA      | $2665.60       | 0.00%             | 2041-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 07/01/2035#843431                                                                  | CUSIP: 31407XA84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1034388 | PA      | $1053223.06    | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3.5% 10/01/2033#MA3489                                                                  | CUSIP: 31418C2X1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3506 | PA      | $3461.96       | 0.00%             | 2033-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2047#BH3646                                                                  | CUSIP: 3140GSBQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      42185 | PA      | $41977.98      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2044#AW3982                                                                  | CUSIP: 3138XTM85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22575 | PA      | $22605.99      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 3.25% 04/15/2033                                                   | CUSIP: 681936BN9<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   25245000 | PA      | $22441868.92   | 0.05%             | 2033-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 3/36 #003828                                                                        | CUSIP: 36202EHD4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16197 | PA      | $16245.54      | 0.00%             | 2036-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 2/29 #323542                                                                           | CUSIP: 31374TLX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4943 | PA      | $5195.16       | 0.00%             | 2029-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 03/15/2042#AA6826                                                                  | CUSIP: 36178ESP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5616 | PA      | $5441.63       | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2020-2 LTD / VOYA CLO 2020-2 LLC                                          | VOYA CLO 2020-2 LTD/LLC A1RR TSFR3M+131 01/20/2038 144A                                           | CUSIP: 92918HAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   10748000 | PA      | $10759726.07   | 0.02%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JACKSON FINANCIAL INC                                                              | JACKSON FINANCIAL INC 3.125% 11/23/2031                                                           | CUSIP: 46817MAL1<br>LEI: 213800WXW2KG1N4CO374 | Long             | DBT              | CORP              | US        |    5636000 | PA      | $5123907.01    | 0.01%             | 2031-11-23      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 5/29 #C00764                                                                           | CUSIP: 31292GZ58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        106 | PA      | $109.32        | 0.00%             | 2029-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.00% 11/39 #720602                                                                          | CUSIP: 3620A6RX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3339 | PA      | $3493.33       | 0.00%             | 2039-11-15      | Fixed         | 0.06%                 | 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        |    2462956 | PA      | $2232039.26    | 0.01%             | 2041-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 3.7% 03/23/2029                                                                        | CUSIP: 444859BT8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   12046000 | PA      | $11827337.15   | 0.03%             | 2029-03-23      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 2.3% 02/01/2032   | CUSIP: 161175BX1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5005000 | PA      | $4302785.64    | 0.01%             | 2032-02-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AE8783                                                                          | CUSIP: 31419KXM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3450 | PA      | $3383.49       | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 8/40 #706824                                                                           | CUSIP: 36297BG96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14651 | PA      | $14636.99      | 0.00%             | 2040-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2045#BA1614                                                                  | CUSIP: 3140E5YL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      23545 | PA      | $22211.23      | 0.00%             | 2045-11-01      | 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        |   13836499 | PA      | $510694.12     | 0.00%             | 2064-05-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 10/01/2035#SB8068                                                                  | CUSIP: 3132D56D9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9916836 | PA      | $9014985.07    | 0.02%             | 2035-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 05/15/2043#AD1390                                                                  | CUSIP: 36180CRK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25484 | PA      | $24608.07      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #420914                                                                           | CUSIP: 31379JSB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $165.99        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 6/38 #G05299                                                                           | CUSIP: 3128M7GG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27752 | PA      | $27908.61      | 0.00%             | 2038-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 5/39 #AA7165                                                                           | CUSIP: 31416Q6B6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3917 | PA      | $3925.36       | 0.00%             | 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 SOFR30A+52 03/25/2029                                              | CUSIP: 3137HCTM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12467397 | PA      | $12445210.05   | 0.03%             | 2029-03-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 8/26 #G00529                                                                           | CUSIP: 31283GSS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.59         | 0.00%             | 2026-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| PROVIDENCE PLACE GROUP LTD PARTNERSHIP                                             | PPGLP 2000-C1 A2 7.75% 7/28                                                                       | CUSIP: 743784AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283432 | PA      | $288867.56     | 0.00%             | 2028-07-20      | Fixed         | 0.08%                 | 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        |     166838 | PA      | $153814.62     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST                                        | APOLLO AVIATION SECURITIZATION EQUITY TRUST 4.335% 01/16/2040 144A                                | CUSIP: 00255UAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     456972 | PA      | $448975.05     | 0.00%             | 2040-01-16      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/34 #A21977                                                                           | CUSIP: 31296YFS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11472 | PA      | $11685.86      | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 09/01/2043#Q21900                                                                  | CUSIP: 3132JPDD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51630 | PA      | $50190.47      | 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        |     384578 | PA      | $363314.48     | 0.00%             | 2045-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2051#FM8375                                                                  | CUSIP: 3140XCJV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556121 | PA      | $514789.46     | 0.00%             | 2051-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 9/41 #Q03210                                                                           | CUSIP: 3132GJGT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      47413 | PA      | $46407.77      | 0.00%             | 2041-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2045#AS6350                                                                    | CUSIP: 3138WGBU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     489610 | PA      | $474191.78     | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 11/29 #C46106                                                                          | CUSIP: 31298EYB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        255 | PA      | $261.81        | 0.00%             | 2029-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2046#BC0824                                                                  | CUSIP: 3140EU4J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2266910 | PA      | $2135549.64    | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD1015                                                                  | CUSIP: 36180CDU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      54551 | PA      | $49479.04      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 2017-4709 FE SOFR30A+46.448 08/15/2047                             | CUSIP: 3137FANA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     537373 | PA      | $524723.35     | 0.00%             | 2047-08-15      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/42#AP9654                                                                       | CUSIP: 3138MDWQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40672 | PA      | $39000.87      | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 4.62% 04/25/2030                                                       | CUSIP: 3136BV4T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26000000 | PA      | $26473379.40   | 0.06%             | 2030-04-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 5.21% 5/36 #872503                                                                       | CUSIP: 31409JKQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      20666 | PA      | $21189.20      | 0.00%             | 2036-05-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 05/01/2043#Q18131                                                                  | CUSIP: 3132J9PR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      43148 | PA      | $41976.94      | 0.00%             | 2043-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE4058                                                                    | CUSIP: 31419EQL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136204 | PA      | $133375.42     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7386                                                                    | CUSIP: 31419JF45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     127108 | PA      | $124353.11     | 0.00%             | 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 21-96 HA 2.5% 02/25/2050                                           | CUSIP: 3136BKWX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    3388652 | PA      | $3026155.02    | 0.01%             | 2050-02-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 6/39 #720070                                                                           | CUSIP: 3620A56F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11824 | PA      | $11846.85      | 0.00%             | 2039-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #323868                                                                           | CUSIP: 31374TW54<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $51.86         | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE8996                                                                         | CUSIP: 31419K7J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     180772 | PA      | $177013.00     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 7/27 #451900                                                                           | CUSIP: 36208H7M2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         95 | PA      | $96.08         | 0.00%             | 2027-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 07/01/2051#                                                                        | CUSIP: 3132DWB93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21812174 | PA      | $20316471.75   | 0.05%             | 2051-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #564650                                                                           | CUSIP: 36213UH37<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2868 | PA      | $2965.55       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #455904                                                                          | CUSIP: 36208NNV1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        342 | PA      | $349.38        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #452821                                                                          | CUSIP: 36208KAW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        522 | PA      | $530.37        | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | 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        |    5162993 | PA      | $4914597.70    | 0.01%             | 2068-02-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                             | IPALCO ENTERPRISES INC 5.75% 04/01/2034                                                           | CUSIP: 462613AR1<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |   43698000 | PA      | $44524956.25   | 0.10%             | 2034-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 06/01/2044#AS2703                                                                  | CUSIP: 3138WCAD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19647 | PA      | $19092.33      | 0.00%             | 2044-06-01      | 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        |      14086 | PA      | $14476.97      | 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        |     273608 | PA      | $279114.56     | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 02/01/2043#Q15992                                                                  | CUSIP: 3132J7C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     190877 | PA      | $186124.67     | 0.00%             | 2043-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORP                                                                   | NTT FINANCE CORP 4.62% 07/16/2028 144A                                                            | CUSIP: 62954WAQ8<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    5650000 | PA      | $5725145.57    | 0.01%             | 2028-07-16      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/32 #582054                                                                           | CUSIP: 36201FTK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        432 | PA      | $445.69        | 0.00%             | 2032-03-15      | Fixed         | 0.07%                 | 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        |    1222711 | PA      | $998519.58     | 0.00%             | 2051-08-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 3/41 #AH6150                                                                           | CUSIP: 3138A7ZQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3306 | PA      | $3234.56       | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #823041                                                                           | CUSIP: 31406XLW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $94.25         | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AB7458                                                                  | CUSIP: 31417EJC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22247 | PA      | $20609.22      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/32 #646799                                                                          | CUSIP: 31390HRU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        455 | PA      | $484.65        | 0.00%             | 2032-10-01      | Fixed         | 0.07%                 | 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        |    4277770 | PA      | $3904404.79    | 0.01%             | 2046-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 11/20/2047#784391                                                                    | CUSIP: 3622A22Y7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6170967 | PA      | $5708166.52    | 0.01%             | 2046-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2039#A89270                                                                  | CUSIP: 312936JP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65062 | PA      | $65232.94      | 0.00%             | 2039-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02387                                                                           | CUSIP: 3132GFUL9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36271 | PA      | $36353.39      | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 9/40 #004800                                                                        | CUSIP: 36202FKM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     868897 | PA      | $847336.13     | 0.00%             | 2040-09-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2045#Q33547                                                                  | CUSIP: 3132QP5H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3402233 | PA      | $3218985.06    | 0.01%             | 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        |     100000 | NC      | $-1147.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/26 #342459                                                                           | CUSIP: 31375RMG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          3 | PA      | $2.91          | 0.00%             | 2026-04-01      | Fixed         | 0.07%                 | 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        |   37765884 | PA      | $37824220.57   | 0.09%             | 2041-05-15      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                                       | Fidelity Securities Lending Cash Central Fund                                                     | CUSIP: 31635A303<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |      36238 | NS      | $36241.29      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2051#                                                                        | CUSIP: 3140KSLL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15880 | PA      | $14786.05      | 0.00%             | 2051-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 04/01/2049#BN6248                                                                    | CUSIP: 3140JN5J5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      43079 | PA      | $38733.47      | 0.00%             | 2049-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/28 #416207                                                                           | CUSIP: 31379DKU2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        149 | PA      | $153.13        | 0.00%             | 2028-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2040#                                                                          | CUSIP: 312940C49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2446 | PA      | $2419.21       | 0.00%             | 2040-04-01      | Fixed         | 0.04%                 | 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        |      26609 | PA      | $27527.75      | 0.00%             | 2032-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 1/34 #604900                                                                           | CUSIP: 36200M7M9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3827 | PA      | $3892.04       | 0.00%             | 2034-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2046#BC9079                                                                  | CUSIP: 3140F5CR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     199764 | PA      | $199035.29     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 07/01/2041#Q02144                                                                    | CUSIP: 3132GFLZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     208031 | PA      | $203604.36     | 0.00%             | 2041-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 11/39 #G05695                                                                          | CUSIP: 3128M7UU8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2101 | PA      | $2108.28       | 0.00%             | 2039-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/29 #252568                                                                           | CUSIP: 31371HQV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2835 | PA      | $2952.44       | 0.00%             | 2029-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 4.125% 08/15/2053                                                     | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  522303000 | PA      | $462360572.38  | 1.07%             | 2053-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2055#CC0888                                                                  | CUSIP: 3140Y67A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6314768 | PA      | $6696652.31    | 0.02%             | 2055-08-01      | Fixed         | 0.07%                 | 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        |   34290000 | NC      | $1174930.05    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/26 #780412                                                                           | CUSIP: 36225AN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          7 | PA      | $7.06          | 0.00%             | 2026-08-15      | Fixed         | 0.07%                 | 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        |    9481750 | PA      | $8863673.33    | 0.02%             | 2051-06-20      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY BOND                                                        | UNITED STATES TREASURY BOND 3.625% 05/15/2053                                                     | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  192000000 | PA      | $155317499.52  | 0.36%             | 2053-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 8/53 #RA9561                                                                       | CUSIP: 3133KRTS3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3872817 | PA      | $3977676.22    | 0.01%             | 2053-08-01      | Fixed         | 0.06%                 | 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        |    2044670 | PA      | $1830767.48    | 0.00%             | 2051-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 2/38 #965753                                                                           | CUSIP: 31414GMA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1069 | PA      | $1128.64       | 0.00%             | 2038-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                                     | DEUTSCHE BANK AG NEW YORK BNCH 6.72%/VAR 01/18/2029                                               | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |   22570000 | PA      | $23629425.19   | 0.05%             | 2029-01-18      | Variable      | 0.07%                 | 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        |    7578440 | PA      | $7659406.24    | 0.02%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #446811                                                                           | CUSIP: 36208CKY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         22 | PA      | $22.49         | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/41 #AJ4794                                                                          | CUSIP: 3138AWKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5378 | PA      | $5321.64       | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | 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        |    3899197 | PA      | $3534850.91    | 0.01%             | 2035-11-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 6.34% 9/36 #893580                                                                       | CUSIP: 31410PXH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3412 | PA      | $3515.17       | 0.00%             | 2036-09-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #453745                                                                          | CUSIP: 36208LBN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         13 | PA      | $13.00         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34653                                                                    | CUSIP: 31307RE27<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     401758 | PA      | $394643.31     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2033#727221                                                                  | CUSIP: 31402E4E5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29575 | PA      | $29711.08      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 02/25/2048                                                      | CUSIP: 3136BLFC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    9462632 | PA      | $8539611.10    | 0.02%             | 2048-02-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                       | BARCLAYS PLC 4.375% 01/12/2026                                                                    | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   28767000 | PA      | $28768972.55   | 0.07%             | 2026-01-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 02/20/2043#MA0783                                                                    | CUSIP: 36179M2Q2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     153301 | PA      | $145111.27     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 08/01/2055#CC0887                                                                  | CUSIP: 3140Y66Z8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4851702 | PA      | $5146624.27    | 0.01%             | 2055-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 05/01/2036#BR1069                                                                  | CUSIP: 3140KYFK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69863 | PA      | $63312.82      | 0.00%             | 2036-05-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2024-1 LTD                                                                | VOYA CLO 2024-1 LTD A1 TSFR3M+152 04/15/2037 144A                                                 | CUSIP: 92920DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   24125000 | PA      | $24183575.50   | 0.06%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 5.168% 01/15/2037 144A                                                               | CUSIP: 20030NES6<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    6744000 | PA      | $6649372.64    | 0.02%             | 2037-01-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 6/27 #447236                                                                           | CUSIP: 36208CY92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $101.87        | 0.00%             | 2027-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                  | BX TRUST 2022-IND TSFR1M+219.7 04/15/2024 144A                                                    | CUSIP: 05609WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3163300 | PA      | $3168160.09    | 0.01%             | 2037-04-15      | Variable      | 0.06%                 | 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        |        997 | PA      | $1000.59       | 0.00%             | 2026-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 11/01/2045#Q37218                                                                  | CUSIP: 3132QUAU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242764 | PA      | $220919.10     | 0.00%             | 2045-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 07/01/2029#                                                                          | CUSIP: 31293TGY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        186 | PA      | $191.30        | 0.00%             | 2029-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.625% 12/15/2029                                                                    | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   30530000 | PA      | $29612381.16   | 0.07%             | 2029-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2049#QA5381                                                                    | CUSIP: 31346Y6S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     440636 | PA      | $394952.42     | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-2                                                  | ENTERPRISE FLEET FINANCING 2024-2 5.61% 04/20/2028 144A                                           | CUSIP: 29375RAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10500000 | PA      | $10678602.90   | 0.02%             | 2028-04-20      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #255934                                                                          | CUSIP: 31371MHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        778 | PA      | $818.21        | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | 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        |   20930000 | NC      | $110627.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARES CAPITAL CORP                                                                  | ARES CAPITAL CORP 3.875% 01/15/2026                                                               | CUSIP: 04010LAZ6<br>LEI: WEQ82666OJYSI5GUAB47 | Long             | DBT              | CORP              | US        |   54729000 | PA      | $54724807.21   | 0.13%             | 2026-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 08/20/2051#MA7535                                                                      | CUSIP: 36179WLQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1271937 | PA      | $1144611.56    | 0.00%             | 2051-08-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 3.464% 5/1/41#1B8304                                                                     | CUSIP: 3128UGTL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17988 | PA      | $18782.76      | 0.00%             | 2041-05-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 11/35 #843132                                                                          | CUSIP: 31407WVZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      44805 | PA      | $46951.31      | 0.00%             | 2035-11-01      | Fixed         | 0.06%                 | 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        |    3976068 | PA      | $3461222.89    | 0.01%             | 2049-12-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MSCI INC                                                                           | MSCI INC 5.15% 03/15/2036                                                                         | CUSIP: 55354GAS9<br>LEI: 549300HTIN2PD78UB763 | Long             | DBT              | CORP              | US        |    8619000 | PA      | $8555934.78    | 0.02%             | 2036-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 08/15/2042#AB1489                                                                  | CUSIP: 36178LUN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3894 | PA      | $3787.00       | 0.00%             | 2042-08-15      | Fixed         | 0.04%                 | 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        |    1289093 | PA      | $1267604.29    | 0.00%             | 2034-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735365                                                                           | CUSIP: 3620AN6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      29576 | PA      | $29617.45      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #710776                                                                           | CUSIP: 36297FT93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      78554 | PA      | $80129.27      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #567252                                                                          | CUSIP: 36213XEZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        769 | PA      | $793.37        | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                          | ONEOK INC 4.4% 10/15/2029                                                                         | CUSIP: 682680CC5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |   10640000 | PA      | $10675617.29   | 0.02%             | 2029-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 9/29 #252717                                                                           | CUSIP: 31371HVJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $73.89         | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #471698                                                                           | CUSIP: 36209G7K7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         27 | PA      | $26.74         | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2% 10/01/2041#FM9396                                                                    | CUSIP: 3140XDNN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4958370 | PA      | $4335837.10    | 0.01%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 9/39 #726323                                                                           | CUSIP: 3620AC4G6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      26345 | PA      | $26873.46      | 0.00%             | 2039-09-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.0% 04/01/2045#AY7471                                                                       | CUSIP: 3138YMJR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141201 | PA      | $136867.93     | 0.00%             | 2045-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.25% 08/15/2035                                                                        | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1542250000 | PA      | $1553334921.88 | 3.58%             | 2035-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CD 2017-CD5 MTG TR                                                                 | CD 2017-CD5 MTG TR 3.171% 08/15/2050                                                              | CUSIP: 12515HAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14084976 | PA      | $13872293.84   | 0.03%             | 2050-08-15      | Fixed         | 0.03%                 | 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        |     400000 | NC      | $66796.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 06/01/2029#                                                                          | CUSIP: 31293R5M9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1255 | PA      | $1288.36       | 0.00%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 11/20/2031#MA4044                                                                    | CUSIP: 36179SP50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     938109 | PA      | $918264.28     | 0.00%             | 2031-11-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/31 #568814                                                                          | CUSIP: 36213Y3X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3151 | PA      | $3266.54       | 0.00%             | 2031-10-15      | Fixed         | 0.07%                 | 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        |     329994 | PA      | $315349.37     | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM7                                      | NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM7 A1FC VAR 10/26/2065 144A                            | CUSIP: 64831YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4400000 | PA      | $4403563.56    | 0.01%             | 2065-10-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 A TSFR1M+96.27 02/15/2039 144A                                | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6200008 | PA      | $6190451.78    | 0.01%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #427209                                                                           | CUSIP: 36207BR69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        196 | PA      | $199.11        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COML MTG TR 2018-C6                                                      | CITIGROUP COML MTG TR 2018-C6 4.145% 11/10/2051                                                   | CUSIP: 17327GAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $992155.80     | 0.00%             | 2051-11-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SUBWAY FDG LLC ISSUER                                                              | SUBWAY FDG LLC ISSUER 5.566% 07/30/2054 144A                                                      | CUSIP: 864300AJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   17606160 | PA      | $17471597.88   | 0.04%             | 2054-07-30      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 2432 FG SOFR30A+101.448 3/32                                                                  | CUSIP: 31339NNN2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       2094 | PA      | $2104.79       | 0.00%             | 2032-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 02/20/2043#AD1755                                                                    | CUSIP: 36180C5Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     763147 | PA      | $723163.56     | 0.00%             | 2043-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/48#CA1545                                                                         | CUSIP: 3140Q8WF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     577246 | PA      | $558851.20     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.273%/VAR 03/01/2030                                                        | CUSIP: 14040HCN3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   32130000 | PA      | $31177452.81   | 0.07%             | 2030-03-01      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #723384                                                                          | CUSIP: 3620A9UH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2157 | PA      | $2159.17       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #433685                                                                           | CUSIP: 36207JXN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        545 | PA      | $553.40        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 03/15/2042#733816                                                                    | CUSIP: 3620AMGZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     335907 | PA      | $325524.42     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 06/20/2040#004709                                                                  | CUSIP: 36202FGS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84874 | PA      | $83455.79      | 0.00%             | 2040-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #446901                                                                           | CUSIP: 36208CNS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         66 | PA      | $66.84         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/31 #551093                                                                          | CUSIP: 36213DGA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        892 | PA      | $918.30        | 0.00%             | 2031-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 8/29 #510611                                                                           | CUSIP: 31383RGU0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        801 | PA      | $831.26        | 0.00%             | 2029-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/28 #466883                                                                           | CUSIP: 36209BUG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        716 | PA      | $735.64        | 0.00%             | 2028-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AJ5602                                                                  | CUSIP: 3138AXGL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1246174 | PA      | $1218316.92    | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/40 #734032                                                                          | CUSIP: 3620AMPR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17491 | PA      | $17846.33      | 0.00%             | 2040-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #737015                                                                           | CUSIP: 3620AQYL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     106655 | PA      | $106802.65     | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 3% 12/01/2028#AV3616                                                                    | CUSIP: 3138XFAS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9058 | PA      | $8951.49       | 0.00%             | 2028-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.75% 10/31/2032                                                                        | CUSIP: 91282CPF2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  177500000 | PA      | $175530859.38  | 0.40%             | 2032-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 2/40 #735359                                                                           | CUSIP: 3620AN5U0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31806 | PA      | $31855.24      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513652                                                                           | CUSIP: 36211HTH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        171 | PA      | $175.55        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #826971                                                                           | CUSIP: 31407CW86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $179.92        | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| SIXTH STREET SPECIALTY LENDING INC                                                 | SIXTH STREET SPECIALTY LENDING INC 6.125% 03/01/2029                                              | CUSIP: 83012AAC3<br>LEI: 549300TX61566GJWCN05 | Long             | DBT              | CORP              | US        |   15343000 | PA      | $15838624.32   | 0.04%             | 2029-03-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| ARES LV CLO LTD                                                                    | ARES LV CLO LTD A1R2 TSFR3M+137 10/15/2037 144A                                                   | CUSIP: 04018BAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19036000 | PA      | $19099960.96   | 0.04%             | 2037-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 4.0% 05/20/2041#783324                                                                    | CUSIP: 36241LVR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21730 | PA      | $21167.63      | 0.00%             | 2041-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCWEN LOAN INVESTMENT TRUST                                                        | OCWEN LOAN INVESTMENT TRUST 25-HB2 A VAR 11/25/2038 144A                                          | CUSIP: 68278FAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8300000 | PA      | $8097480.00    | 0.02%             | 2038-11-25      | Variable      | 0.03%                 | 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        |     473924 | PA      | $464013.23     | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | 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        |     228759 | PA      | $211627.96     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 09/01/2035#AB8197                                                                  | CUSIP: 31417FDB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189769 | PA      | $190615.20     | 0.00%             | 2035-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AIMCO CLO 11 LTD                                                                   | AIMCO CLO 11 LTD A1R2 TSFR3M+134 07/17/2037 144A                                                  | CUSIP: 00140NAW0<br>LEI: 549300VLRW0CEQ83RF89 | Long             | ABS-CBDO         | CORP              | KY        |   18929000 | PA      | $18975451.77   | 0.04%             | 2037-07-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #442336                                                                           | CUSIP: 36207ULR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         14 | PA      | $13.96         | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                        | BANK OF AMERICA CORPORATION 4.45% 03/03/2026                                                      | CUSIP: 06051GFU8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    3182000 | PA      | $3184292.98    | 0.01%             | 2026-03-03      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/31 #474776                                                                           | CUSIP: 36209LMZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        214 | PA      | $221.20        | 0.00%             | 2031-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 03/20/2043#AA6141                                                                    | CUSIP: 36178DZE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     321028 | PA      | $304208.67     | 0.00%             | 2043-03-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 3/38 #676892                                                                           | CUSIP: 36295P7D8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      50362 | PA      | $51824.06      | 0.00%             | 2038-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GREEN LAKES PARK CLO LLC                                                           | GREEN LAKES PARK CLO LLC ARR TSFR3M+118 01/25/2038 144A                                           | CUSIP: 39310AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   28775000 | PA      | $28746541.53   | 0.07%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/31 #575585                                                                           | CUSIP: 31386WNA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        258 | PA      | $271.56        | 0.00%             | 2031-04-01      | 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 3.187% 09/25/2027                                                  | CUSIP: 3137FBU79<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8740232 | PA      | $8647384.10    | 0.02%             | 2027-09-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 4/27 #440301                                                                           | CUSIP: 36207SDE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         20 | PA      | $20.06         | 0.00%             | 2027-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 7/41 #769513                                                                           | CUSIP: 36176LVE2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10611 | PA      | $10289.59      | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2010-160 DY 4% 12/20/2040                                                                     | CUSIP: 38377RLW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2357210 | PA      | $2312717.43    | 0.01%             | 2040-12-20      | Fixed         | 0.04%                 | 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        |    8344756 | PA      | $8245955.96    | 0.02%             | 2034-05-25      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6% 11/37 #953087                                                                             | CUSIP: 31413RJ80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22538 | PA      | $23848.36      | 0.00%             | 2037-11-01      | Fixed         | 0.06%                 | 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        |     474284 | PA      | $507435.55     | 0.00%             | 2039-09-01      | Fixed         | 0.07%                 | 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        |     196882 | PA      | $176833.68     | 0.00%             | 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        |      10663 | PA      | $10961.08      | 0.00%             | 2035-07-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 2/42 #793122                                                                           | CUSIP: 36177MPG1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     222444 | PA      | $211289.29     | 0.00%             | 2042-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/42#AP6241                                                                       | CUSIP: 3138M95B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4465 | PA      | $4268.51       | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2052#RA6986                                                                  | CUSIP: 3133KNXP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14982149 | PA      | $13978204.59   | 0.03%             | 2052-03-01      | Fixed         | 0.04%                 | 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        |    3552702 | PA      | $3516098.77    | 0.01%             | 2032-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 02/01/2051#SD7535                                                                  | CUSIP: 3132DVLQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25789075 | PA      | $22287130.19   | 0.05%             | 2051-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/39 #AA9357                                                                           | CUSIP: 31416TMF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3340 | PA      | $3346.53       | 0.00%             | 2039-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 10/35 #612663                                                                          | CUSIP: 36202XTU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      30143 | PA      | $30973.97      | 0.00%             | 2035-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 02/01/2046#Q38420                                                                  | CUSIP: 3132QVLA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7221 | PA      | $6810.16       | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #639703                                                                           | CUSIP: 31389YU41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        533 | PA      | $563.05        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | 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        |      37708 | PA      | $38468.27      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 6.05% 09/15/2033                                                         | CUSIP: 21871XAR0<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   10459000 | PA      | $11098518.69   | 0.03%             | 2033-09-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                                             | US 2YR NOTE (CBT) FUT MAR26 TUH6                                                                  | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       3068 | NC      | $58071.35      | 0.00%             |  |  |  | No            |                  1 | 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        |    1548383 | PA      | $1319529.33    | 0.00%             | 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        |   19531388 | PA      | $20115144.04   | 0.05%             | 2053-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #639393                                                                           | CUSIP: 31389YKE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        399 | PA      | $422.89        | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 10/01/2050#SD7525                                                                  | CUSIP: 3132DVLE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36306650 | PA      | $31410542.34   | 0.07%             | 2050-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 08/01/2043#AS9172                                                                    | CUSIP: 3138WKFN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24086 | PA      | $23420.64      | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                           | COREBRIDGE FINANCIAL INC 3.85% 04/05/2029                                                         | CUSIP: 21871XAF6<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |   13061000 | PA      | $12848531.23   | 0.03%             | 2029-04-05      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 12/01/2052#CB5273                                                                    | CUSIP: 3140QQ2F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6278055 | PA      | $6345128.04    | 0.01%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 3.5% 02/01/2056 #TBA                                                                    | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |    1450000 | PA      | $1334962.95    | 0.00%             | 2056-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #255815                                                                           | CUSIP: 31371MDU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        300 | PA      | $315.00        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP PAY 3.804 08/25/26                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   34790000 | NC      | $798480.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 5/40 #723747                                                                           | CUSIP: 3620AABQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      56563 | PA      | $54952.47      | 0.00%             | 2040-05-15      | Fixed         | 0.04%                 | 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        |       5670 | PA      | $137.67        | 0.00%             | 2032-11-25      | Variable      | 0.04%                 | 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        |    5907316 | PA      | $5969963.21    | 0.01%             | 2028-02-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 07/01/2033#729327                                                                  | CUSIP: 31402HHC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5000 | PA      | $5020.92       | 0.00%             | 2033-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC                                      | CEDAR FDG XII CLO LTD / CEDAR FDG XII CLO LLC ARR TSFR3M+120 01/25/2038 144A                      | CUSIP: 15033TBA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   26883000 | PA      | $26885553.89   | 0.06%             | 2038-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #626541                                                                           | CUSIP: 36291FBJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        551 | PA      | $565.53        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 11/39 #782818                                                                          | CUSIP: 36241LDX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4005 | PA      | $4012.53       | 0.00%             | 2039-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 10/01/2040#                                                                          | CUSIP: 312943B28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21545 | PA      | $21132.40      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | 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        |     145997 | PA      | $142229.41     | 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        |     684158 | PA      | $684991.72     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.0% 01/01/2043#Q15372                                                                  | CUSIP: 3132J6MW1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      35613 | PA      | $34694.00      | 0.00%             | 2043-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OVINTIV INC                                                                        | OVINTIV INC 5.15% 11/15/2041                                                                      | CUSIP: 292505AK0<br>LEI: 2549003MEX7YMKLGI239 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4302768.85    | 0.01%             | 2041-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                                         | HUMANA INC 5.375% 04/15/2031                                                                      | CUSIP: 444859CA8<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |   25106000 | PA      | $25956709.53   | 0.06%             | 2031-04-15      | Fixed         | 0.05%                 | 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        |      34497 | PA      | $34584.70      | 0.00%             | 2040-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 09/01/2032#ZS7890                                                                  | CUSIP: 3132A8XT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     294619 | PA      | $284326.98     | 0.00%             | 2032-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 06/01/2042#AO2244                                                                        | CUSIP: 3138LSP61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16512 | PA      | $17182.12      | 0.00%             | 2042-06-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 12/01/2029#                                                                        | CUSIP: 31292G7H3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1365 | PA      | $1420.34       | 0.00%             | 2029-12-01      | 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        |    8252367 | PA      | $7481254.16    | 0.02%             | 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        |    2891446 | PA      | $3020473.89    | 0.01%             | 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        |     101563 | PA      | $99150.29      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AMGEN INC                                                                          | AMGEN INC 1.65% 08/15/2028                                                                        | CUSIP: 031162DB3<br>LEI: 62QBXGPJ34PQ72Z12S66 | Long             | DBT              | CORP              | US        |   65000000 | PA      | $61265153.95   | 0.14%             | 2028-08-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 02/01/2035#AB0067                                                                    | CUSIP: 31416VCD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1638815 | PA      | $1667317.64    | 0.00%             | 2035-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 08/20/2052#MA8199                                                                    | CUSIP: 36179XDC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17416433 | PA      | $16036788.21   | 0.04%             | 2052-08-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AK2415                                                                  | CUSIP: 3138E6VH6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      35563 | PA      | $34699.41      | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/47#BE9387                                                                       | CUSIP: 3140FVND4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73822 | PA      | $73530.13      | 0.00%             | 2047-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR7033                                                                  | CUSIP: 3138W4Y70<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     124661 | PA      | $115754.88     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #462669                                                                           | CUSIP: 36208V6E0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        343 | PA      | $348.04        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CITIZENS FINANCIAL GRP INC                                                         | CITIZENS FINANCIAL GRP INC 2.638% 09/30/2032                                                      | CUSIP: 174610AW5<br>LEI: 2138004JDDA4ZQUPFW65 | Long             | DBT              | CORP              | US        |   35537000 | PA      | $30694050.33   | 0.07%             | 2032-09-30      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #462619                                                                           | CUSIP: 36208V4C6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         57 | PA      | $57.58         | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR3493                                                                  | CUSIP: 3138W03B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117054 | PA      | $108160.34     | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #476119                                                                           | CUSIP: 36209M4C5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        123 | PA      | $124.77        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 9/26 #433215                                                                           | CUSIP: 36207JGY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4 | PA      | $4.44          | 0.00%             | 2026-09-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #395593                                                                          | CUSIP: 31378DNJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         65 | PA      | $66.58         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ3751                                                                  | CUSIP: 3138MKEZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27741 | PA      | $25739.25      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 9/40#V81958                                                                        | CUSIP: 3132L7E70<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     438931 | PA      | $422558.38     | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #739091                                                                           | CUSIP: 3620ATC47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     110723 | PA      | $110930.78     | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 01/01/2038#MA3243                                                                  | CUSIP: 31418CS96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29637 | PA      | $28956.77      | 0.00%             | 2038-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SOUTHERN COMPANY                                                                   | SOUTHERN COMPANY 5.7% 03/15/2034                                                                  | CUSIP: 842587DT1<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |   27735000 | PA      | $29198552.38   | 0.07%             | 2034-03-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.5% 10/01/2054#QJ6131                                                                  | CUSIP: 3133CWY48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2103554 | PA      | $2139814.91    | 0.00%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC                            | BAIN CAP CR CLO 2023-2 LTD / BAIN CAP CR CLO 2023-2 LLC A1R TSFR3M+ 07/18/2038 144A               | CUSIP: 05684GAS5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |   31507000 | PA      | $31584727.77   | 0.07%             | 2038-07-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 05/44#AV8070                                                                       | CUSIP: 3138XK6G4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9785 | PA      | $9371.69       | 0.00%             | 2044-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #463468                                                                           | CUSIP: 36208WZ97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        386 | PA      | $387.59        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 4.5% 01/01/2056 #TBA                                                                    | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   95575000 | PA      | $93278963.55   | 0.21%             | 2056-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 10/01/2033#                                                                          | CUSIP: 31296PHP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        879 | PA      | $894.82        | 0.00%             | 2033-10-01      | 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 SOFR30A+70 09/25/2052                                              | CUSIP: 3137H8V81<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    3493162 | PA      | $3441819.57    | 0.01%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 7/39 #AC2169                                                                           | CUSIP: 31417LMT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3984 | PA      | $3920.92       | 0.00%             | 2039-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 12/37 #A69815                                                                          | CUSIP: 3128L13Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23141 | PA      | $24448.53      | 0.00%             | 2037-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 6.00% 5/33 #G01785                                                                           | CUSIP: 31283H6W0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      71563 | PA      | $74086.60      | 0.00%             | 2033-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2047#Q52086                                                                  | CUSIP: 3132XUJ89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     217107 | PA      | $203615.50     | 0.00%             | 2047-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 12/01/2045#BC0532                                                                    | CUSIP: 3140EUSW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13020 | PA      | $12633.81      | 0.00%             | 2045-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/37 #671315                                                                           | CUSIP: 36295HYL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        385 | PA      | $396.55        | 0.00%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 2/41 #004945                                                                        | CUSIP: 36202FP67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      90836 | PA      | $88549.40      | 0.00%             | 2041-02-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 03/44#AW1829                                                                       | CUSIP: 3138XRA74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27957 | PA      | $28475.55      | 0.00%             | 2044-03-01      | Fixed         | 0.05%                 | 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        |     100934 | PA      | $90721.62      | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #781031                                                                           | CUSIP: 36225BEC8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         94 | PA      | $94.90         | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/28 #465792                                                                           | CUSIP: 36209ANH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         38 | PA      | $38.07         | 0.00%             | 2028-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 5.3% 10/01/2029                                                                | CUSIP: 24703TAG1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11000000 | PA      | $11350803.53   | 0.03%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| SHELL FINANCE US INC                                                               | SHELL FINANCE US INC 4.375% 05/11/2045                                                            | CUSIP: 822905AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6392000 | PA      | $5505047.87    | 0.01%             | 2045-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2018-15 LTD                                                                | OCP CLO 2018-15 LTD AR TSFR3M+125 01/20/2038 144A                                                 | CUSIP: 67112KAG4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18401000 | PA      | $18438004.41   | 0.04%             | 2038-01-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/35 #A47571                                                                          | CUSIP: 3128K8MU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17076 | PA      | $17420.96      | 0.00%             | 2035-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 01/20/2044#MA1600                                                                    | CUSIP: 36179NX52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19604 | PA      | $18501.43      | 0.00%             | 2044-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 8/38 #690135                                                                           | CUSIP: 36296FV42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      43683 | PA      | $45039.02      | 0.00%             | 2038-08-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8% 11/01/2031#                                                                          | CUSIP: 31287LNP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        844 | PA      | $888.32        | 0.00%             | 2031-11-01      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 01/01/2031#ZS8593                                                                  | CUSIP: 3132A9RN9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51446 | PA      | $50065.44      | 0.00%             | 2031-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AD6332                                                                  | CUSIP: 36180JA95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      42213 | PA      | $38713.54      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/35 #643755                                                                          | CUSIP: 36292BE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12191 | PA      | $13008.03      | 0.00%             | 2035-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                                             | GSCM SWAP REC 3.887 09/17/30                                                                      | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DIR              | CORP              | US        |   12870000 | NC      | $347014.97     | 0.00%             |  |  |  | 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        |   18028140 | PA      | $18838263.27   | 0.04%             | 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        |    7231325 | PA      | $7197173.19    | 0.02%             | 2052-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 02/01/2041#                                                                          | CUSIP: 312945YK8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      17775 | PA      | $18151.44      | 0.00%             | 2041-02-01      | Fixed         | 0.05%                 | 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        |   12049923 | PA      | $12587639.50   | 0.03%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #582132                                                                           | CUSIP: 36201FVZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14569 | PA      | $15129.80      | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 1999-25 Z 6% 6/29                                                                             | CUSIP: 31359VU27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      25629 | PA      | $25862.26      | 0.00%             | 2029-06-25      | Fixed         | 0.06%                 | 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        |    1732943 | PA      | $1749291.71    | 0.00%             | 2052-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.0% 06/44#AW6246                                                                       | CUSIP: 3138XV5G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      22191 | PA      | $22610.40      | 0.00%             | 2044-06-01      | 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 K548 A2 VAR 09/25/2030                                             | CUSIP: 3137HNN46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12700000 | PA      | $12832695.95   | 0.03%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 02/01/2052#BU9833                                                                    | CUSIP: 3140MB4T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     360713 | PA      | $322413.56     | 0.00%             | 2052-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ALEXANDRIA REAL ESTATE EQUITIES INC                                                | ALEXANDRIA REAL EST EQUITS INC 2% 05/18/2032                                                      | CUSIP: 015271AW9<br>LEI: MGCJBT4MKTQBVLNUIS88 | Long             | DBT              | CORP              | US        |   19486000 | PA      | $16475673.53   | 0.04%             | 2032-05-18      | Fixed         | 0.02%                 | 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        |    2795212 | PA      | $2390313.77    | 0.01%             | 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        |   20700000 | PA      | $20732207.13   | 0.05%             | 2029-02-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 12/20/2041#005258                                                                    | CUSIP: 36202FZX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5319304 | PA      | $5052341.28    | 0.01%             | 2041-12-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/40 #706789                                                                           | CUSIP: 36297BF63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      95024 | PA      | $92532.11      | 0.00%             | 2040-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 05/46#MA3664                                                                           | CUSIP: 36179SB97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3491043 | PA      | $3377938.58    | 0.01%             | 2046-05-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 15YR 5% 01/01/2041 #TBA                                                                      | CUSIP: 01F050411<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |  158600000 | PA      | $160644449.16  | 0.37%             | 2041-01-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 05/01/2047#RA7313                                                                  | CUSIP: 3133KPDS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3444519 | PA      | $3207245.16    | 0.01%             | 2047-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB8529                                                                  | CUSIP: 31417FPP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     900339 | PA      | $833123.32     | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 1/28 #451746                                                                           | CUSIP: 31380VZK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        794 | PA      | $809.51        | 0.00%             | 2028-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 8/31 #769023                                                                           | CUSIP: 31404HLC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        811 | PA      | $852.02        | 0.00%             | 2031-08-01      | 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        |    5636897 | PA      | $5669914.51    | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-5                                                  | VERUS SECURITIZATION TRUST 2025-5 A1 VAR 06/25/2070 144A                                          | CUSIP: 92540XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5624535 | PA      | $5672616.59    | 0.01%             | 2070-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5% 06/01/2052#BU8753                                                                    | CUSIP: 3140MAWP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     950460 | PA      | $964178.31     | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2043#AE1959                                                                  | CUSIP: 36180UE88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15861 | PA      | $14497.06      | 0.00%             | 2043-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303890                                                                           | CUSIP: 31373URK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         22 | PA      | $21.67         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 07/01/2041#                                                                          | CUSIP: 3133KYVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      16728 | PA      | $14673.60      | 0.00%             | 2041-07-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2049#BO5404                                                                  | CUSIP: 3140K1AE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7621 | PA      | $7193.92       | 0.00%             | 2049-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2044#AW1064                                                                  | CUSIP: 3138XQFE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54906 | PA      | $54840.27      | 0.00%             | 2044-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                                | INTESA SANPAOLO SPA 5.71% 01/15/2026 144A                                                         | CUSIP: 46115HAW7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |   48607000 | PA      | $48630411.56   | 0.11%             | 2026-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2.5% 11/01/2051#SD7548                                                                  | CUSIP: 3132DVL52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2334587 | PA      | $2013921.44    | 0.00%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/41#A97555                                                                       | CUSIP: 312946MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      54817 | PA      | $54963.41      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2025-44                                                                    | OCP CLO 2025-44 LTD A TSFR3M+130 10/24/2038 144A                                                  | CUSIP: 67570UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   29697000 | PA      | $29771480.08   | 0.07%             | 2038-10-24      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                      | CITIGROUP INC 3.785%/VAR 03/17/2033                                                               | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $16685876.03   | 0.04%             | 2033-03-17      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.9% 03/01/2038                                                                      | CUSIP: 20030NCJ8<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    5001000 | PA      | $4356111.65    | 0.01%             | 2038-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2034#                                                                          | CUSIP: 31296XSH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5668 | PA      | $5773.95       | 0.00%             | 2034-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                       | BROADCOM INC 1.95% 02/15/2028                                                                     | CUSIP: 11135FCP4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    7184000 | PA      | $6895173.53    | 0.02%             | 2028-02-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                                      | HEALTHCARE REALTY HOLDINGS LP 3.5% 08/01/2026                                                     | CUSIP: 42225UAD6<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |    6318000 | PA      | $6283913.51    | 0.01%             | 2026-08-01      | 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        |   14100000 | NC      | $-161789.04    | -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+115 02/25/2055                                             | CUSIP: 3137HJFD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |   14968563 | PA      | $14979455.77   | 0.03%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 9/29 #535762                                                                           | CUSIP: 31384WFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        100 | PA      | $105.57        | 0.00%             | 2029-09-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORP                                                         | CAPITAL ONE FIN CORP 3.65% 05/11/2027                                                             | CUSIP: 14040HCE3<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |   57194000 | PA      | $56925351.77   | 0.13%             | 2027-05-11      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/45#Q34074                                                                       | CUSIP: 3132QQQ47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      49220 | PA      | $46725.24      | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #783550                                                                           | CUSIP: 36241L5K8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      18616 | PA      | $17601.16      | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 1.5% 02/01/2041#RB5099                                                                  | CUSIP: 3133KYUY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1625795 | PA      | $1381013.27    | 0.00%             | 2041-02-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC                                | MADISON PK FDG LXVII LTD / MADISON PK FDG LXVII LLC A1 TSFR3M+151 04/25/2037 144A                 | CUSIP: 55821YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   36634000 | PA      | $36719283.95   | 0.08%             | 2037-04-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 3% 02/01/2037#C91912                                                                    | CUSIP: 3128P8DR9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      32182 | PA      | $30648.61      | 0.00%             | 2037-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VERIZON COMMUNICATIONS INC                                                         | VERIZON COMMUNICATIONS INC 4.78% 02/15/2035                                                       | CUSIP: 92343VGY4<br>LEI: 2S72QS2UO2OESLG6Y829 | Long             | DBT              | CORP              | US        |    5482000 | PA      | $5397425.18    | 0.01%             | 2035-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GNR 2010-H19 FG TSFR1M+41.448 8/60                                                                | CUSIP: 38375BFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      53845 | PA      | $53692.04      | 0.00%             | 2060-08-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #357953                                                                           | CUSIP: 31376KTJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15028 | PA      | $15741.73      | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | 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        |    4899116 | PA      | $4945555.52    | 0.01%             | 2039-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM TSFR1M+71.448 12/20/2063                                             | CUSIP: 38375UDY3<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |     203337 | PA      | $203657.36     | 0.00%             | 2063-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 1/36 #850633                                                                           | CUSIP: 31408GBA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        600 | PA      | $638.06        | 0.00%             | 2036-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 12/01/2033#                                                                          | CUSIP: 31296RHY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      11609 | PA      | $11827.16      | 0.00%             | 2033-12-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 4/42 #AO0004                                                                           | CUSIP: 3138LQAE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19757 | PA      | $19281.80      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2001-31 ZC 6.5% 7/31                                                                          | CUSIP: 313920CW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      13684 | PA      | $13900.14      | 0.00%             | 2031-07-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #539796                                                                           | CUSIP: 36212PUV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         26 | PA      | $26.83         | 0.00%             | 2031-06-15      | 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        |      29930 | PA      | $29237.40      | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2024-XL4                                                            | BX COML MTG TR 2024-XL4 TSFR1M+194.132 02/15/2039 144A                                            | CUSIP: 05611VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4568717 | PA      | $4578595.24    | 0.01%             | 2039-02-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 10/29 #MA0214                                                                          | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3493 | PA      | $3532.22       | 0.00%             | 2029-10-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2045#AL6541                                                                  | CUSIP: 3138EPHT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2458253 | PA      | $2388567.87    | 0.01%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 01/01/2049#BN4472                                                                    | CUSIP: 3140JL6J8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251314 | PA      | $241734.91     | 0.00%             | 2049-01-01      | 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% 09/15/2047                                                      | CUSIP: 3137FAZ43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    6706070 | PA      | $1349172.72    | 0.00%             | 2047-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 05/01/2043#AB9341                                                                  | CUSIP: 31417GLX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      91009 | PA      | $84168.49      | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                                              | BOAM SWAP PAY 3.565 09/15/26                                                                      | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |   15730000 | NC      | $570166.10     | 0.00%             |  |  |  | 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        |     494924 | PA      | $494938.96     | 0.00%             | 2040-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #634294                                                                           | CUSIP: 31389SUT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        261 | PA      | $274.63        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | 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        |     113709 | PA      | $111388.08     | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 6/42 #MA0155                                                                        | CUSIP: 36179ME48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8728 | PA      | $8487.55       | 0.00%             | 2042-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+ 02/25/2055                                                | CUSIP: 3137HJAS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    6897187 | PA      | $6945696.40    | 0.02%             | 2055-02-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 07/01/2026#                                                                        | CUSIP: 31335GN43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $32.47         | 0.00%             | 2026-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/41 #489790                                                                          | CUSIP: 36210EC31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2768 | PA      | $2614.57       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.875% 05/15/2032                                                                       | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  763588000 | PA      | $719979962.74  | 1.66%             | 2032-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 05/01/2055#MA5700                                                                  | CUSIP: 31418FKN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2722994 | PA      | $2761832.72    | 0.01%             | 2055-05-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 8/35 #837316                                                                           | CUSIP: 31407QGZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        176 | PA      | $184.90        | 0.00%             | 2035-08-01      | Fixed         | 0.06%                 | 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        |   22147000 | PA      | $22119856.64   | 0.05%             | 2038-07-15      | Variable      | 0.05%                 | 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        |    2503032 | PA      | $2501841.50    | 0.01%             | 2037-08-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 01/01/2043#AR1276                                                                  | CUSIP: 3138NXM20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68859 | PA      | $64290.90      | 0.00%             | 2043-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 6.342%/VAR 10/18/2033                                                              | CUSIP: 61747YEY7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   58000000 | PA      | $63566372.52   | 0.15%             | 2033-10-18      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #713686                                                                           | CUSIP: 31401N2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11239 | PA      | $11291.57      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 10/41 #Q04092                                                                          | CUSIP: 3132GKF92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1623522 | PA      | $1590527.96    | 0.00%             | 2041-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/26 #250701                                                                          | CUSIP: 31371FNS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.59          | 0.00%             | 2026-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                                                  | STORE CAPITAL LLC 4.625% 03/15/2029                                                               | CUSIP: 862121AB6<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              | CORP              | US        |    8847000 | PA      | $8814404.38    | 0.02%             | 2029-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| PUGET ENERGY INC                                                                   | PUGET ENERGY INC 4.1% 06/15/2030                                                                  | CUSIP: 745310AK8<br>LEI: SYBSJ96YIDMIUY7WDR33 | Long             | DBT              | CORP              | US        |   25767000 | PA      | $25232881.53   | 0.06%             | 2030-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 08/01/2048#BK4763                                                                  | CUSIP: 3140HJJH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     240344 | PA      | $250058.19     | 0.00%             | 2048-08-01      | 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 5180 KA 2.5% 10/25/2047                                            | CUSIP: 3137H5BG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    2425912 | PA      | $2212122.86    | 0.01%             | 2047-10-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #449474                                                                           | CUSIP: 36208FJT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        873 | PA      | $888.38        | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 4.7% 04/15/2050                                                                       | CUSIP: 30161NAY7<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    3246000 | PA      | $2778071.60    | 0.01%             | 2050-04-15      | Fixed         | 0.05%                 | 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        |     775041 | PA      | $737733.74     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 08/01/2055#RJ4642                                                                    | CUSIP: 3142GVEQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17479113 | PA      | $18271393.69   | 0.04%             | 2055-08-01      | Fixed         | 0.06%                 | 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        |    9801852 | PA      | $9613197.23    | 0.02%             | 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        |     253991 | PA      | $254283.71     | 0.00%             | 2034-04-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                                        | NAKILAT INC 6.067% 12/31/2033 144A                                                                | CUSIP: 62983PAA3<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |    5106841 | PA      | $5412945.19    | 0.01%             | 2033-12-31      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CLOVER CLO 2019-1 LTD.                                                             | CLOVER CLO 2019-1 LTD 19-1A ARR TSFR3M+100 04/18/2035 144A                                        | CUSIP: 102875AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   33197000 | PA      | $33205000.48   | 0.08%             | 2035-04-18      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+120 09/25/2053                                             | CUSIP: 3136BQY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    4646344 | PA      | $4672859.20    | 0.01%             | 2053-09-25      | Variable      | 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        |      35244 | PA      | $36697.25      | 0.00%             | 2042-10-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.5% 01/01/2056 #TBA                                                                      | CUSIP: 21H042612<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37000000 | PA      | $36041585.30   | 0.08%             | 2056-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 07/01/2043#V80168                                                                    | CUSIP: 3132L5FH1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3093411 | PA      | $2865117.81    | 0.01%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 04/46#BC3920                                                                         | CUSIP: 3140EYLA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     109097 | PA      | $105790.58     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 06/01/2045#AZ1709                                                                  | CUSIP: 3138YS3T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     154897 | PA      | $155155.62     | 0.00%             | 2045-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #711616                                                                          | CUSIP: 36297GSD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     214166 | PA      | $202221.17     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 7/42 #AO9368                                                                           | CUSIP: 3138M1MS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46218 | PA      | $44125.46      | 0.00%             | 2042-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/39 #704628                                                                           | CUSIP: 36296XYZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38354 | PA      | $39122.40      | 0.00%             | 2039-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTG LN TR                                                               | LONG BEACH MTG LN TR TSFR1M+123.948 07/25/2033                                                    | CUSIP: 542514EA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     329282 | PA      | $329024.37     | 0.00%             | 2033-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 01/01/2045#G61419                                                                  | CUSIP: 31335BSG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     226065 | PA      | $216154.14     | 0.00%             | 2045-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 4/37 #916708                                                                           | CUSIP: 31411WNZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1128 | PA      | $1204.57       | 0.00%             | 2037-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2% 06/01/2035#QN2507                                                                    | CUSIP: 3133G8YC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34449211 | PA      | $32169651.59   | 0.07%             | 2035-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #623459                                                                           | CUSIP: 36291BTQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        813 | PA      | $833.60        | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 05/01/2034#ZN6003                                                                  | CUSIP: 3131YCU46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     332108 | PA      | $318206.52     | 0.00%             | 2034-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 3/32 #636867                                                                           | CUSIP: 31389VQU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $107.51        | 0.00%             | 2032-03-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AB7767                                                                  | CUSIP: 31417ETZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1214810 | PA      | $1123672.57    | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 11/40 #AE9949                                                                          | CUSIP: 31419MBT7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37974 | PA      | $37050.95      | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/29 #434145                                                                           | CUSIP: 36207KHW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1090 | PA      | $1110.85       | 0.00%             | 2029-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2002-16 ZD 6.50% 4/32                                                                         | CUSIP: 31392CVK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      18487 | PA      | $19225.65      | 0.00%             | 2032-04-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 04/01/2045#Q32568                                                                  | CUSIP: 3132QN2A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14086 | PA      | $12819.55      | 0.00%             | 2045-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 02/01/2048#CA1218                                                                  | CUSIP: 3140Q8K87<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     248826 | PA      | $247219.40     | 0.00%             | 2048-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.64% 1/35 #813730                                                                       | CUSIP: 31406MA71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4095 | PA      | $4163.71       | 0.00%             | 2035-01-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2045#Q32008                                                                  | CUSIP: 3132QNGS2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1160809 | PA      | $1100211.19    | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #433858                                                                           | CUSIP: 36207J5T6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3762 | PA      | $3812.38       | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 12/27 #461139                                                                          | CUSIP: 36208UHQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        264 | PA      | $268.96        | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 09/46#BC2843                                                                         | CUSIP: 3140EXER0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3760639 | PA      | $3659605.01    | 0.01%             | 2046-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BOEING CO                                                                          | BOEING CO 6.858% 05/01/2054                                                                       | CUSIP: 097023DT9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |   13529000 | PA      | $15194942.25   | 0.04%             | 2054-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #582240                                                                           | CUSIP: 36201FZD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        799 | PA      | $823.33        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AL2860                                                                  | CUSIP: 3138EKFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      69526 | PA      | $64434.97      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 8/41 #Q02592                                                                           | CUSIP: 3132GF2Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     468937 | PA      | $469935.59     | 0.00%             | 2041-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 01/15/2042#778794                                                                  | CUSIP: 36176W7F2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4590 | PA      | $4342.86       | 0.00%             | 2042-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CLECO CORPORATE HLDGS LLC                                                          | CLECO CORPORATE HLDGS LLC 3.375% 09/15/2029                                                       | CUSIP: 18551PAE9<br>LEI: 5493002H80P81B3HXL31 | Long             | DBT              | CORP              | US        |   15724000 | PA      | $14787014.07   | 0.03%             | 2029-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BANK 2018-BNK10                                                                    | BANK 2017-BNK4 3.428% 02/15/2061                                                                  | CUSIP: 065404BA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9802942 | PA      | $9677479.44    | 0.02%             | 2061-02-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP REC 4.075 04/24/30                                                                      | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DIR              | CORP              | US        |   29420000 | NC      | $927986.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                                      | GOLDMAN SACHS GROUP INC (THE) 3.102%/VAR 02/24/2033                                               | CUSIP: 38141GZM9<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |   47500000 | PA      | $43758214.58   | 0.10%             | 2033-02-24      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 07/01/2041#CB2014                                                                  | CUSIP: 3140QMGY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2409055 | PA      | $2169168.68    | 0.00%             | 2041-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2046#Q39250                                                                  | CUSIP: 3132QWH44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21341 | PA      | $20127.88      | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 01/01/2028#                                                                        | CUSIP: 31283G7J0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $7.76          | 0.00%             | 2028-01-01      | Fixed         | 0.09%                 | 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        |      45547 | PA      | $43969.66      | 0.00%             | 2046-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 01/01/2052#RA6604                                                                    | CUSIP: 3133KNKR3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1482149 | PA      | $1320610.16    | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.5% 8/44#AS3037                                                                             | CUSIP: 3138WCLT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      41024 | PA      | $38848.04      | 0.00%             | 2044-08-01      | 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        |     530978 | PA      | $513675.76     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/41 #AJ7472                                                                          | CUSIP: 3138E0JS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25671 | PA      | $25115.30      | 0.00%             | 2041-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 TSFR1M+196.27 02/15/2039 144A                                 | CUSIP: 05610HAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11022200 | PA      | $11008452.87   | 0.03%             | 2039-02-15      | Variable      | 0.06%                 | 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        |      77004 | PA      | $77169.50      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                       | SBNA AUTO LEASE TRUST 2024-B 5.56% 11/22/2027 144A                                                | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12540309 | PA      | $12607043.04   | 0.03%             | 2027-11-22      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 11/29 #518019                                                                          | CUSIP: 36211NPC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1547 | PA      | $1587.89       | 0.00%             | 2029-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #534007                                                                           | CUSIP: 36212HGQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        515 | PA      | $535.04        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MTG LN TR 2020-1                                                   | NEW RESIDENTIAL MTG LN TR 2020-1 3.5% 10/25/2059 144A                                             | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6171595 | PA      | $5828779.23    | 0.01%             | 2059-10-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-D                                                      | OPORTUN ISSUANCE TRUST 2025-D 4.53% 02/08/2033 144A                                               | CUSIP: 68379HAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9900000 | PA      | $9913067.01    | 0.02%             | 2033-02-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/39 #670624                                                                           | CUSIP: 36295HAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19135 | PA      | $19732.72      | 0.00%             | 2039-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #729713                                                                           | CUSIP: 31402HVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5844 | PA      | $5866.67       | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 12/39 #AC6795                                                                          | CUSIP: 31417TRR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     276728 | PA      | $277296.36     | 0.00%             | 2039-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 01/01/2056 #TBA                                                                    | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |  -17700000 | PA      | $-14958574.44  | -0.03%            | 2056-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 09/01/2035#                                                                          | CUSIP: 31297S6M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $265.72        | 0.00%             | 2035-09-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 4683 LM 3% 05/15/2047                                                                         | CUSIP: 3137BYKR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    1381862 | PA      | $1339739.75    | 0.00%             | 2047-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| VENTAS RLTY LTD PARTNERSHIP                                                        | VENTAS RLTY LTD PARTNERSHIP 4.375% 02/01/2045                                                     | CUSIP: 92277GAF4<br>LEI: 32SXKSJ72K64GM3HOU64 | Long             | DBT              | CORP              | US        |    3802000 | PA      | $3191802.34    | 0.01%             | 2045-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 3/26 #422511                                                                           | CUSIP: 36206VKY2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          4 | PA      | $4.09          | 0.00%             | 2026-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1                                           | CASTLELAKE AIRCRAFT STRUCTURED TR 2019-1A B 5.095% 04/15/2039 144A                                | CUSIP: 14855MAB4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10307675 | PA      | $9792940.22    | 0.02%             | 2039-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.0% 01/20/2045#MA2522                                                                    | CUSIP: 36179QYT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     386677 | PA      | $374141.31     | 0.00%             | 2045-01-20      | Fixed         | 0.04%                 | 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        |     967431 | PA      | $134966.55     | 0.00%             | 2045-06-25      | Fixed         | 0.06%                 | 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        |     852503 | PA      | $814783.93     | 0.00%             | 2042-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 06/01/2052#QE4073                                                                    | CUSIP: 3133BDQ24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1052281 | PA      | $1068126.68    | 0.00%             | 2052-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 11/01/2040#MA5886                                                                    | CUSIP: 31418FRG4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15891429 | PA      | $16099123.13   | 0.04%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GINNIE MAE REMIC TR 2007-075                                                       | GNR 2015-H17 GZ 4.4518% 05/65                                                                     | CUSIP: 38376REM4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      62489 | PA      | $61687.41      | 0.00%             | 2065-05-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 10/40 #AE4428                                                                          | CUSIP: 31419E4N6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54281 | PA      | $53212.50      | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 02/01/2033#ZS8685                                                                  | CUSIP: 3132A9UJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23719 | PA      | $22841.93      | 0.00%             | 2033-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CELANESE US HLDGS LLC                                                              | CELANESE US HLDGS LLC VAR 11/15/2033                                                              | CUSIP: 15089QAY0<br>LEI: CD30XVRLT4QO00B1C706 | Long             | DBT              | CORP              | US        |   11063000 | PA      | $11687130.98   | 0.03%             | 2033-11-15      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2.5% 04/01/2042#SC0270                                                                  | CUSIP: 3132D9JP0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1141719 | PA      | $1024065.62    | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 7.50% 11/30 #C01086                                                                          | CUSIP: 31292HF33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $11.76         | 0.00%             | 2030-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| WESTERN GAS PARTNERS LP                                                            | WESTERN GAS PARTNERS LP 6.35% 01/15/2029                                                          | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |   13343000 | PA      | $14041359.14   | 0.03%             | 2029-01-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 11/01/2044#Q29663                                                                  | CUSIP: 3132MAML2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     397964 | PA      | $399347.43     | 0.00%             | 2044-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #582099                                                                           | CUSIP: 36201FUY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1032 | PA      | $1070.66       | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.0% 8/45#Q35578                                                                             | CUSIP: 3132QSFU7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39200 | PA      | $36010.17      | 0.00%             | 2045-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 2.5% 05/01/2030#ZK7367                                                                  | CUSIP: 3131XBFG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22138 | PA      | $21620.21      | 0.00%             | 2030-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 11/42#G60488                                                                         | CUSIP: 31335ARH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3066352 | PA      | $3005127.48    | 0.01%             | 2042-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GOVERNMENT NAT MTG AS REMIC PT 3% 09/20/2047                                                      | CUSIP: 38380HC42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2483036 | PA      | $2264579.20    | 0.01%             | 2047-09-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/31 #543989                                                                           | CUSIP: 36212UKA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9205 | PA      | $9455.17       | 0.00%             | 2031-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/41 #773093                                                                           | CUSIP: 36176QUS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8531 | PA      | $8702.43       | 0.00%             | 2041-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| INVESCO US CLO 2024-1 LTD                                                          | INVESCO US CLO 2024-1 LTD AR TSFR3M+155 04/15/2037 144A                                           | CUSIP: 46148JAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28432000 | PA      | $28475643.12   | 0.07%             | 2037-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.625% 08/31/2029                                                                       | CUSIP: 91282CLK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  153000000 | PA      | $152976093.75  | 0.35%             | 2029-08-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 02/20/2031#MA3428                                                                    | CUSIP: 36179RYZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     111920 | PA      | $109873.68     | 0.00%             | 2031-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| MSWF COMMERCIAL MORTGAGE TRUST 23-2                                                | MSWF COMMERCIAL MORTGAGE TRUST 23-2 VAR 12/15/2056 144A                                           | CUSIP: 55361AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8200000 | PA      | $1516592.46    | 0.00%             | 2056-12-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 7/27 #190284                                                                           | CUSIP: 31368HJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        157 | PA      | $158.88        | 0.00%             | 2027-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 2.625% 07/31/2029                                                                       | CUSIP: 91282CFC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  273317000 | PA      | $264327434.41  | 0.61%             | 2029-07-31      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 11/01/2040#AB1801                                                                  | CUSIP: 31416XAB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2484592 | PA      | $2434980.88    | 0.01%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/27 #379801                                                                           | CUSIP: 31377K3J2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        939 | PA      | $953.51        | 0.00%             | 2027-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 10/42 #Q11886                                                                          | CUSIP: 3132HNCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398421 | PA      | $381060.95     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 03/01/2050#RA2362                                                                  | CUSIP: 3133KHTT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       8748 | PA      | $8156.63       | 0.00%             | 2050-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2% 10/25/2047                                                      | CUSIP: 3136BLES5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |   25998471 | PA      | $23445478.51   | 0.05%             | 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        |     446381 | PA      | $438405.59     | 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        |    8915081 | PA      | $7801592.32    | 0.02%             | 2041-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2054#DC0449                                                                  | CUSIP: 3140AMQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2774053 | PA      | $2814443.66    | 0.01%             | 2054-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #487516                                                                           | CUSIP: 36210BSD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2881 | PA      | $2948.42       | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 12/39 #704808                                                                          | CUSIP: 36296YAH5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36719 | PA      | $36810.03      | 0.00%             | 2039-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 09/01/2047#BH6749                                                                  | CUSIP: 3140GVQB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56313 | PA      | $52803.25      | 0.00%             | 2047-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 11/27 #412374                                                                          | CUSIP: 36206JCK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         37 | PA      | $37.15         | 0.00%             | 2027-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MARSH and MCLENNAN COS INC                                                         | MARSH and MCLENNAN COS INC 4.75% 03/15/2039                                                       | CUSIP: 571748BH4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    9035000 | PA      | $8698131.29    | 0.02%             | 2039-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 11/28 #572167                                                                          | CUSIP: 31386STY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        103 | PA      | $108.44        | 0.00%             | 2028-11-01      | 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        |      24841 | PA      | $24153.02      | 0.00%             | 2040-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 06/01/2040#V81792                                                                  | CUSIP: 3132L67D7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     846927 | PA      | $815949.22     | 0.00%             | 2040-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.472% 12/01/2040#AE0653                                                                 | CUSIP: 31419AWP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     529324 | PA      | $552303.17     | 0.00%             | 2040-12-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-VINO                                             | BX COMMERCIAL MORTGAGE TRUST 22-LP2 B TSFR1M+126.27 02/15/2039 144A                               | CUSIP: 05610HAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11022200 | PA      | $11008452.86   | 0.03%             | 2039-02-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AQ8767                                                                  | CUSIP: 3138MQW58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31241 | PA      | $29207.87      | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 4.56% 6/33 #780605                                                                       | CUSIP: 31342AU64<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33255 | PA      | $33775.39      | 0.00%             | 2033-06-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 2022-4 B 2.5% 05/25/2049                                           | CUSIP: 3136BLYE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    2467310 | PA      | $2203315.09    | 0.01%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2.5% 01/01/2056 #TBA                                                                      | CUSIP: 21H022614<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12700000 | PA      | $10952266.64   | 0.03%             | 2056-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/31 #538864                                                                           | CUSIP: 36212NTV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1209 | PA      | $1250.31       | 0.00%             | 2031-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 5/29 #252492                                                                           | CUSIP: 31371HNH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        586 | PA      | $608.00        | 0.00%             | 2029-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 4.4% 04/01/2033   | CUSIP: 161175CJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   11421000 | PA      | $10759358.63   | 0.02%             | 2033-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/46#Q38879                                                                         | CUSIP: 3132QV2M2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12687 | PA      | $12329.13      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 3/40 #727324                                                                           | CUSIP: 3620AEAZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5847 | PA      | $5964.53       | 0.00%             | 2040-03-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 4.801% 2/33 #695019                                                                      | CUSIP: 31400RDY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         69 | PA      | $69.46         | 0.00%             | 2033-02-01      | Variable      | 0.06%                 | 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        |     147300 | PA      | $147539.88     | 0.00%             | 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        |    7546983 | PA      | $7867774.65    | 0.02%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3.5% 06/01/2030#J31908                                                                  | CUSIP: 31307NDM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15574 | PA      | $15465.35      | 0.00%             | 2030-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 06/46#AS7009                                                                         | CUSIP: 36193SYE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     112807 | PA      | $104346.70     | 0.00%             | 2046-06-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AR2943                                                                  | CUSIP: 3138W0HV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     102691 | PA      | $95073.42      | 0.00%             | 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 SOFR30A+75 09/25/2052                                              | CUSIP: 3137H8VP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |    5572948 | PA      | $5540214.81    | 0.01%             | 2052-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 01/01/2042#AJ5572                                                                  | CUSIP: 3138AXFN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1776358 | PA      | $1740399.12    | 0.00%             | 2042-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/38 #988684                                                                           | CUSIP: 31415TJ50<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29796 | PA      | $31472.05      | 0.00%             | 2038-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 11/01/2051#                                                                        | CUSIP: 3140QNGZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      86999 | PA      | $80951.88      | 0.00%             | 2051-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 5.5% 01/01/2056 #TBA                                                                      | CUSIP: 21H052611<br>LEI: 549300M8ZYFG0OCMTT87 | Short            | ABS-MBS          | USGA              | US        | -345850000 | PA      | $-349188247.96 | -0.80%            | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2048#CA2506                                                                  | CUSIP: 3140Q9YC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1032999 | PA      | $1077753.87    | 0.00%             | 2048-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #646414                                                                           | CUSIP: 31390HDT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        392 | PA      | $411.85        | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/32 #645346                                                                           | CUSIP: 31390F5F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $82.46         | 0.00%             | 2032-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 01/01/2052#BV2214                                                                    | CUSIP: 3140MFN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426274 | PA      | $379547.64     | 0.00%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                              | ATHENE GLOBAL FUNDING 5.583% 01/09/2029 144A                                                      | CUSIP: 04685A3Q2<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |   28541000 | PA      | $29318005.61   | 0.07%             | 2029-01-09      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 2/28 #438403                                                                           | CUSIP: 36207QAC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        236 | PA      | $237.68        | 0.00%             | 2028-02-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XXVIII LTD                                                               | MAGNETITE XXVIII LTD A1RR TSFR3M+124 01/15/2038 144A                                              | CUSIP: 55955LAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   37187000 | PA      | $37190793.07   | 0.09%             | 2038-01-15      | Variable      | 0.05%                 | 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        |       4372 | PA      | $4449.56       | 0.00%             | 2029-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 08/01/2043#AU0597                                                                  | CUSIP: 3138WZUX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36731 | PA      | $33851.62      | 0.00%             | 2043-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC                                      | SYMPHONY CLO XXVI LTD / SYMPHONY CLO XXVI LLC AR TSFR3M+134.161 04/20/2033 144A                   | CUSIP: 87190GAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   17905943 | PA      | $17908825.47   | 0.04%             | 2033-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 09/01/2040#G06023                                                                    | CUSIP: 3128M8AY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34197 | PA      | $33555.84      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 9/40 #AE3950                                                                           | CUSIP: 31419EL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25994 | PA      | $25441.67      | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GENERAL MILLS INC                                                                  | GENERAL MILLS INC 2.875% 04/15/2030                                                               | CUSIP: 370334CL6<br>LEI: 2TGYMUGI08PO8X8L6150 | Long             | DBT              | CORP              | US        |    3013000 | PA      | $2849115.79    | 0.01%             | 2030-04-15      | Fixed         | 0.03%                 | 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        |      75110 | PA      | $73484.96      | 0.00%             | 2032-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #748242                                                                          | CUSIP: 3620C4HT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25663 | PA      | $24920.45      | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ4673                                                                  | CUSIP: 3138MLFP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      85067 | PA      | $78891.97      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 4/42 #G06993                                                                           | CUSIP: 3128M9C67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     143743 | PA      | $137784.80     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 2.5% 04/01/2042#BV7699                                                                  | CUSIP: 3140MMRV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1265229 | PA      | $1135397.15    | 0.00%             | 2042-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2046#V82292                                                                    | CUSIP: 3132L7RM3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     787735 | PA      | $765266.13     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 20YR 2% 06/01/2041#RB5114                                                                    | CUSIP: 3133KYVF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4558002 | PA      | $4001330.04    | 0.01%             | 2041-06-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.0% 05/15/2045#AL1539                                                                  | CUSIP: 36183WV82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2665 | PA      | $2415.26       | 0.00%             | 2045-05-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #481840                                                                          | CUSIP: 31382GHR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         39 | PA      | $41.50         | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 7/27 #451326                                                                           | CUSIP: 36208HLF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        166 | PA      | $167.63        | 0.00%             | 2027-07-15      | Fixed         | 0.08%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 5% 02/01/2038#BX6069                                                                    | CUSIP: 3140NAW74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     617996 | PA      | $627521.65     | 0.00%             | 2038-02-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| COMCAST CORP                                                                       | COMCAST CORP 3.4% 04/01/2030                                                                      | CUSIP: 20030NDG3<br>LEI: 51M0QTTNCGUN7KFCFZ59 | Long             | DBT              | CORP              | US        |    6970000 | PA      | $6759780.55    | 0.02%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 02/15/2045#AL4767                                                                  | CUSIP: 36184BJL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     187320 | PA      | $180630.76     | 0.00%             | 2045-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 02/20/2050#BS8922                                                                      | CUSIP: 3617MK4F3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8007758 | PA      | $7208656.32    | 0.02%             | 2050-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 07/20/2052#MA8149                                                                    | CUSIP: 36179XBS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29458884 | PA      | $27125295.41   | 0.06%             | 2052-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 4/28 #418412                                                                           | CUSIP: 31379FYH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $83.23         | 0.00%             | 2028-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE                                                                         | FANNIEMAE 30YR 6.5% 07/01/2054#FA0028                                                             | CUSIP: 3140W0A62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3056875 | PA      | $3222728.76    | 0.01%             | 2054-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BARINGS CLO LTD 2023-IV                                                            | BARINGS CLO LTD 2023-IV A TSFR3M+175 01/20/2037 144A                                              | CUSIP: 06763MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   42652000 | PA      | $42712395.23   | 0.10%             | 2037-01-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 02/01/2044#Q24572                                                                  | CUSIP: 3132M4W92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      36886 | PA      | $36864.25      | 0.00%             | 2044-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4% 04/20/2047#MA4383                                                                      | CUSIP: 36179S2Q9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3766533 | PA      | $3638617.30    | 0.01%             | 2047-04-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHR 3258 PM 5.5 12/36                                                                             | CUSIP: 31397CXF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      48112 | PA      | $49649.73      | 0.00%             | 2036-12-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 04/01/2046#AS7009                                                                  | CUSIP: 3138WGYF5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     613690 | PA      | $578128.22     | 0.00%             | 2046-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 98 CLO LTD                                                                  | DRYDEN 98 CLO LTD A TSFR3M+130 04/20/2035 144A                                                    | CUSIP: 26248AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   19817000 | PA      | $19827146.30   | 0.05%             | 2035-04-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 10/28 #323327                                                                          | CUSIP: 31374TD89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        688 | PA      | $722.80        | 0.00%             | 2028-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH6520                                                                  | CUSIP: 3138A8G67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11256 | PA      | $11032.88      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 5.5% 01/01/2056 #TBA                                                                    | CUSIP: 01F052615<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        | -212550000 | PA      | $-215514073.52 | -0.50%            | 2056-01-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/01/2047#AS9459                                                                  | CUSIP: 3138WKQM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      40387 | PA      | $40188.91      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #458877                                                                           | CUSIP: 36208RXE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        195 | PA      | $197.98        | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 10/01/2042#AP3667                                                                  | CUSIP: 3138M7CD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     571997 | PA      | $549044.97     | 0.00%             | 2042-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 4.5% 02/15/2031                                                                | CUSIP: 24703DBS9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   39739000 | PA      | $39682282.11   | 0.09%             | 2031-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FNR 2005-102 CO 0% 11/35                                                                          | CUSIP: 31394UHV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |      18422 | PA      | $16146.94      | 0.00%             | 2035-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 2/41 #738002                                                                           | CUSIP: 3620AR3K5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      86494 | PA      | $84086.13      | 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        |   10356632 | PA      | $8866138.82    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 01/15/2047#AX5855                                                                    | CUSIP: 36196HQG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     139753 | PA      | $133871.65     | 0.00%             | 2047-01-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 07/45#Q34946                                                                       | CUSIP: 3132QRP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168667 | PA      | $153844.01     | 0.00%             | 2045-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 12/41 #739352                                                                          | CUSIP: 3620ATL96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     198786 | PA      | $187503.99     | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | 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        |     126330 | PA      | $99111.26      | 0.00%             | 2050-12-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 05/20/2052#MA8043                                                                      | CUSIP: 36179W5C8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   68282656 | PA      | $61415326.27   | 0.14%             | 2052-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2046#AT7623                                                                    | CUSIP: 36194GPG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     213473 | PA      | $204823.65     | 0.00%             | 2046-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/29 #513680                                                                           | CUSIP: 36211HUD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        119 | PA      | $122.03        | 0.00%             | 2029-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CENOVUS ENERGY INC                                                                 | CENOVUS ENERGY INC 5.4% 03/20/2036                                                                | CUSIP: 15135UBB4<br>LEI: 549300F4XPHJ7NOSP309 | Long             | DBT              | CORP              | CA        |    6496000 | PA      | $6487477.51    | 0.01%             | 2036-03-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| HOME DEPOT INC                                                                     | HOME DEPOT INC 2.5% 04/15/2027                                                                    | CUSIP: 437076CA8<br>LEI: QEKMOTMBBKA8I816DO57 | Long             | DBT              | CORP              | US        |    3139000 | PA      | $3088483.19    | 0.01%             | 2027-04-15      | Fixed         | 0.03%                 | 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        |       3472 | PA      | $3664.85       | 0.00%             | 2035-08-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                       | UBS GROUP AG 4.55% 04/17/2026                                                                     | CUSIP: 902613BB3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    5038000 | PA      | $5046493.97    | 0.01%             | 2026-04-17      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/28 #457257                                                                          | CUSIP: 31381C5S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        230 | PA      | $233.71        | 0.00%             | 2028-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 4/39 #AB0042                                                                           | CUSIP: 31416VBL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1884387 | PA      | $1893075.86    | 0.00%             | 2039-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/30 #590851                                                                           | CUSIP: 31387QL81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12482 | PA      | $13119.46      | 0.00%             | 2030-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 10/20/2031#MA3979                                                                    | CUSIP: 36179SM46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     863735 | PA      | $845955.15     | 0.00%             | 2031-10-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/27 #405830                                                                          | CUSIP: 31378QY39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        286 | PA      | $292.76        | 0.00%             | 2027-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 1.5% 03/01/2036#SB8092                                                                  | CUSIP: 3132D57D8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      39835 | PA      | $36112.71      | 0.00%             | 2036-03-01      | Fixed         | 0.01%                 | 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        |    4296154 | PA      | $4529783.42    | 0.01%             | 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        |    2607261 | PA      | $2577578.89    | 0.01%             | 2049-02-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FHLMC MULTIFAM STRUCTURED PASS THROUGH K071 A2 3.286% 11/25/2027                                  | CUSIP: 3137FCLD4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18600000 | PA      | $18415837.68   | 0.04%             | 2027-11-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| SEMPRA                                                                             | SEMPRA 6% 10/15/2039                                                                              | CUSIP: 816851AP4<br>LEI: PBBKGKLRK5S5C0Y4T545 | Long             | DBT              | CORP              | US        |    5386000 | PA      | $5607067.56    | 0.01%             | 2039-10-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 08/01/2044#AX2369                                                                  | CUSIP: 3138Y3T35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9493 | PA      | $9466.94       | 0.00%             | 2044-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 15YR 3% 07/20/2031#MA3778                                                                    | CUSIP: 36179SFT9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23738 | PA      | $23269.80      | 0.00%             | 2031-07-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE4056                                                                    | CUSIP: 31419EQJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191193 | PA      | $187032.63     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALABAMA POWER and LIGHT                                                            | ALABAMA POWER CO 3.05% 03/15/2032                                                                 | CUSIP: 010392FX1<br>LEI: 0RL818ELFOHP5JHOFU19 | Long             | DBT              | CORP              | US        |   29471000 | PA      | $27347782.14   | 0.06%             | 2032-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3% 03/20/2043#AA6146                                                                      | CUSIP: 36178DZK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     405970 | PA      | $373993.47     | 0.00%             | 2043-03-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORP                                                           | TOYOTA MOTOR CREDIT CORP 3.375% 04/01/2030                                                        | CUSIP: 89236TGY5<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    9583000 | PA      | $9320742.81    | 0.02%             | 2030-04-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTG ASSN GTD REMIC PASS THRU SECS                                  | GNR 2014-25 HC 3% 2/44                                                                            | CUSIP: 38379AEF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-CBDO         | USGA              | US        |    2938339 | PA      | $2700090.27    | 0.01%             | 2044-02-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 12/31 #614978                                                                          | CUSIP: 31388UFT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        627 | PA      | $661.59        | 0.00%             | 2031-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 7/40 #733784                                                                           | CUSIP: 3620AMFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      17751 | PA      | $18110.77      | 0.00%             | 2040-07-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 5/42 #AO3760                                                                           | CUSIP: 3138LUFA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     666140 | PA      | $637697.49     | 0.00%             | 2042-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726923                                                                           | CUSIP: 31402ESL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33303 | PA      | $33453.75      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 1/41 #AH1256                                                                           | CUSIP: 3138A2ME6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     115814 | PA      | $113374.93     | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-1                                                 | ALLY AUTO RECEIVABLES TRUST 2024-1 5.08% 12/15/2028                                               | CUSIP: 02008FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13793471 | PA      | $13886239.46   | 0.03%             | 2028-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #562581                                                                           | CUSIP: 36213R6S1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        286 | PA      | $296.00        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA II 3.5% 01/20/2050#BR8993                                                                    | CUSIP: 3617M77E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      72087 | PA      | $66253.05      | 0.00%             | 2050-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 2% 09/20/2050#MA6864                                                                      | CUSIP: 36179VTV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19289140 | PA      | $15985072.28   | 0.04%             | 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        |    4202552 | PA      | $4122346.06    | 0.01%             | 2061-07-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/28 #467737                                                                           | CUSIP: 36209CS23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $4.92          | 0.00%             | 2028-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727849                                                                           | CUSIP: 3620AETE0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9510 | PA      | $9505.91       | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303884                                                                           | CUSIP: 31373URD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $8.93          | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 6/35 #828064                                                                           | CUSIP: 31407D5Z4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3457 | PA      | $3625.00       | 0.00%             | 2035-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 06/15/2043#AE9860                                                                  | CUSIP: 36181D5V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4701 | PA      | $4425.65       | 0.00%             | 2043-06-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2046#G60824                                                                    | CUSIP: 31335A4H8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     579324 | PA      | $563347.25     | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LIFE 2021-BMR MTG TR                                                               | LIFE 2021-BMR MTG TR TSFR1M+121.448 03/15/2036 144A                                               | CUSIP: 53218CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     501212 | PA      | $499074.52     | 0.00%             | 2038-03-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 3.50% 9/42 #AP6523                                                                           | CUSIP: 3138MAG93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29822 | PA      | $28577.22      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | 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        |       9396 | PA      | $9229.28       | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #565960                                                                           | CUSIP: 36213VWV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1911 | PA      | $1974.56       | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #723247                                                                          | CUSIP: 3620A9P88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3868 | PA      | $3875.20       | 0.00%             | 2039-10-15      | 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        |    8710565 | PA      | $8408442.35    | 0.02%             | 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        |    2108875 | PA      | $1876595.84    | 0.00%             | 2049-05-25      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/33 #727147                                                                           | CUSIP: 31402EZL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      37232 | PA      | $37403.60      | 0.00%             | 2033-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/35 #G01838                                                                           | CUSIP: 3128LXBF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     420208 | PA      | $428368.46     | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2040#AE0675                                                                  | CUSIP: 31419AXD4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      56524 | PA      | $56568.21      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MAGNE 2023-36A                                                                     | MAGNE 2023-36A AR TSFR3M+132 07/25/2038 144A                                                      | CUSIP: 559922AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   28737000 | PA      | $28807060.81   | 0.07%             | 2038-07-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 3.622%/VAR 04/01/2031                                                              | CUSIP: 6174468P7<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   41803000 | PA      | $40616817.72   | 0.09%             | 2031-04-01      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3.5% 09/20/2043#MA1285                                                                    | CUSIP: 36179NNA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4519538 | PA      | $4269511.07    | 0.01%             | 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        |     126449 | PA      | $120583.24     | 0.00%             | 2042-08-01      | 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        |     193953 | PA      | $3172.76       | 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        |      23963 | PA      | $22121.61      | 0.00%             | 2043-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 10/39 #711463                                                                          | CUSIP: 36297GML1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21741 | PA      | $21746.36      | 0.00%             | 2039-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| LAKESIDE PK CLO LTD / LAKESIDE PK CLO LLC                                          | LAKESIDE PK CLO LTD / LLC A TSFR3M+115 04/15/2038 144A                                            | CUSIP: 51218YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   20845000 | PA      | $20834285.67   | 0.05%             | 2038-04-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 11/34 #605771                                                                          | CUSIP: 36200N6G1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4539 | PA      | $4730.01       | 0.00%             | 2034-11-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6% 02/01/2029#                                                                          | CUSIP: 31293JKZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $137.80        | 0.00%             | 2029-02-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 5.375% 05/30/2030 144A                                                | CUSIP: 05401AAZ4<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   16043000 | PA      | $16469846.80   | 0.04%             | 2030-05-30      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 5/35 #G01818                                                                           | CUSIP: 3128LXAT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      65367 | PA      | $66668.32      | 0.00%             | 2035-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 10/27 #458667                                                                          | CUSIP: 36208RQU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         93 | PA      | $95.14         | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | 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        |     100694 | PA      | $100974.80     | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #698433                                                                           | CUSIP: 36296Q4S5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      34536 | PA      | $35229.66      | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 10/39 #723228                                                                          | CUSIP: 3620A9PM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      13226 | PA      | $13490.78      | 0.00%             | 2039-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 11/01/2051#FM9632                                                                    | CUSIP: 3140XDV29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9851903 | PA      | $8830484.05    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 05/01/2052#QE2376                                                                    | CUSIP: 3133BBT90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     367336 | PA      | $372867.82     | 0.00%             | 2052-05-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #564706                                                                           | CUSIP: 36213UKT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |          5 | PA      | $5.05          | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 3/41 #A97620                                                                           | CUSIP: 312946PD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14563 | PA      | $14596.25      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 3.50% 9/42 #Q11420                                                                           | CUSIP: 3132HMSH5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21758 | PA      | $20776.29      | 0.00%             | 2042-09-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 03/01/2052#BV0350                                                                    | CUSIP: 3140MDL89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10109031 | PA      | $9000931.59    | 0.02%             | 2052-03-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/28 #464231                                                                          | CUSIP: 36208XVY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1553 | PA      | $1581.09       | 0.00%             | 2028-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT 25-K761 A2 4.4% 06/25/2032                                         | CUSIP: 3137HN4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5700000 | PA      | $5746808.40    | 0.01%             | 2032-06-25      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 10/01/2027#                                                                        | CUSIP: 31292GTL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $64.07         | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 8/39 #718334                                                                           | CUSIP: 3620A4BB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4547 | PA      | $4637.96       | 0.00%             | 2039-08-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 2% 10/01/2051#RA6076                                                                    | CUSIP: 3133KMXD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   28354387 | PA      | $23297203.05   | 0.05%             | 2051-10-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 12/01/2049#RA1859                                                                    | CUSIP: 3133KHB47<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5603 | PA      | $5022.22       | 0.00%             | 2049-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3% 08/01/2051#FM9973                                                                    | CUSIP: 3140XECK8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5864891 | PA      | $5265999.00    | 0.01%             | 2051-08-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                        | AVOLON HOLDINGS FUNDING LTD 4.375% 05/01/2026 144A                                                | CUSIP: 05401AAG6<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   21306000 | PA      | $21312501.95   | 0.05%             | 2026-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 7/40 #745231                                                                           | CUSIP: 3620C04Q8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     192823 | PA      | $193099.60     | 0.00%             | 2040-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 2.967% 8/41#AI8879                                                                       | CUSIP: 3138AN2M4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      48207 | PA      | $50303.60      | 0.00%             | 2041-08-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| PAYCHEX INC                                                                        | PAYCHEX INC 5.6% 04/15/2035                                                                       | CUSIP: 704326AC1<br>LEI: 529900K900DW6SUBM174 | Long             | DBT              | CORP              | US        |    3958000 | PA      | $4145193.53    | 0.01%             | 2035-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| TIME WARNER CABLE LLC                                                              | TIME WARNER CABLE LLC 4.5% 09/15/2042                                                             | CUSIP: 88732JBD9<br>LEI: 549300U5NFR7S6E3GM41 | Long             | DBT              | CORP              | US        |   22976000 | PA      | $17669069.23   | 0.04%             | 2042-09-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/29 #502272                                                                           | CUSIP: 36210T6H4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        764 | PA      | $779.61        | 0.00%             | 2029-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 24-DPM C TSFR1M+219.158 12/15/2039 144A                 | CUSIP: 87231EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6204000 | PA      | $6211741.97    | 0.01%             | 2039-12-15      | Variable      | 0.06%                 | 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        |   15791907 | PA      | $16650686.56   | 0.04%             | 2054-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 6/26 #349340                                                                           | CUSIP: 31376ABH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $17.78         | 0.00%             | 2026-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2025-VI LTD                                                           | CIFC FUNDING 2025-VI LTD A1 TSFR3M+125 10/23/2038 144A                                            | CUSIP: 171933AA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   18542000 | PA      | $18561339.31   | 0.04%             | 2038-10-23      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 7/32 #639103                                                                           | CUSIP: 31389YAC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        115 | PA      | $121.73        | 0.00%             | 2032-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM ARM 5.12% 10/36 #1A1201                                                                      | CUSIP: 3128NFKN6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22090 | PA      | $22506.20      | 0.00%             | 2036-10-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC                                                | MSCS SWAP CZ030005 12/17/57 B                                                                     | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DCR              | CORP              | US        |   12100000 | NC      | $-21333.51     | -0.00%            |  |  |  | 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        |     171371 | PA      | $178981.71     | 0.00%             | 2036-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/31 #545159                                                                           | CUSIP: 36212VTQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12535 | PA      | $12957.41      | 0.00%             | 2031-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/28 #450349                                                                           | CUSIP: 36208GH27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        448 | PA      | $456.38        | 0.00%             | 2028-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 10/41 #479430                                                                          | CUSIP: 36209RST1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     388336 | PA      | $376970.79     | 0.00%             | 2041-10-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/34 #572257                                                                           | CUSIP: 36200TWS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7625 | PA      | $7826.30       | 0.00%             | 2034-05-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GS MTG SECS TR 2019-GC38                                                           | GS MTG SECS TR 2019-GC38 A3 3.703% 02/10/2052                                                     | CUSIP: 36252SAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1087325.14    | 0.00%             | 2052-02-10      | Fixed         | 0.04%                 | 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        |     965755 | PA      | $948688.35     | 0.00%             | 2039-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC MFD HSG COP GTD (FREDMAC                                                     | FHR 2043 ZH 6% 4/28                                                                               | CUSIP: 3133TDPN0<br>LEI: N/A                  | Long             | ABS-CBDO         | USGSE             | US        |       6624 | PA      | $6735.89       | 0.00%             | 2028-04-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/40#AE7390                                                                         | CUSIP: 31419JF86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     227039 | PA      | $222997.87     | 0.00%             | 2040-11-01      | 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        |       5593 | PA      | $5286.27       | 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        |     159386 | PA      | $156373.82     | 0.00%             | 2036-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4% 07/15/2041#769171                                                                    | CUSIP: 36176LJQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        347 | PA      | $346.02        | 0.00%             | 2041-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 2.943%/VAR 01/21/2033                                                              | CUSIP: 61747YEL5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   17500000 | PA      | $15972127.68   | 0.04%             | 2033-01-21      | Variable      | 0.03%                 | 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        |    1684072 | PA      | $1428388.22    | 0.00%             | 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        |       5015 | PA      | $5189.62       | 0.00%             | 2031-10-25      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 10/27 #401913                                                                          | CUSIP: 31378LN65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |          8 | PA      | $8.18          | 0.00%             | 2027-10-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 2.328% 07/15/2052 144A                                                               | CUSIP: 78403DAR1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    8041000 | PA      | $7727856.12    | 0.02%             | 2052-07-15      | Fixed         | 0.02%                 | 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        |    4167093 | PA      | $3749384.20    | 0.01%             | 2050-07-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.50% 8/36 #888034                                                                           | CUSIP: 31410FSX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5048 | PA      | $5297.27       | 0.00%             | 2036-08-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.50% 5/41 #Q00736                                                                           | CUSIP: 3132GDY97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     135914 | PA      | $136073.91     | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2041#AH3520                                                                  | CUSIP: 3138A44E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     141213 | PA      | $138356.56     | 0.00%             | 2041-02-01      | 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        |   10999000 | PA      | $10998998.90   | 0.03%             | 2035-06-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 7/37 #670111                                                                           | CUSIP: 36295GN40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2049 | PA      | $2110.59       | 0.00%             | 2037-07-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34598                                                                    | CUSIP: 31307RDB8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      89795 | PA      | $88120.00      | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #783276                                                                           | CUSIP: 36241LT97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25177 | PA      | $25209.09      | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 4.0% 11/15/2041#778597                                                                  | CUSIP: 36176WX22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3480 | PA      | $3382.36       | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMMUNICATIONS OPERATING LLC / CHARTER COMMUNICATIONS OPERATING CAPITAL 6.1% 06/01/2029   | CUSIP: 161175CQ5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   20760000 | PA      | $21666775.00   | 0.05%             | 2029-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 8.00% 12/27 #461047                                                                          | CUSIP: 36208UEU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         54 | PA      | $54.77         | 0.00%             | 2027-12-15      | Fixed         | 0.08%                 | 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        |     910713 | PA      | $890814.38     | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/41 #738418                                                                           | CUSIP: 3620ASK73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5074 | PA      | $5176.07       | 0.00%             | 2041-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 2/41 #AE9269                                                                           | CUSIP: 31419LJP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12734 | PA      | $12490.18      | 0.00%             | 2041-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 12/01/2033#AL5321                                                                  | CUSIP: 3138EM4F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51846 | PA      | $52086.18      | 0.00%             | 2033-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 10/01/2040#A94586                                                                  | CUSIP: 312943CX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     134002 | PA      | $134310.17     | 0.00%             | 2040-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 05/15/2043#AD9112                                                                  | CUSIP: 36180NDR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      33860 | PA      | $32073.71      | 0.00%             | 2043-05-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 4.00% 4/42 #Q07573                                                                           | CUSIP: 3132GSXA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26465 | PA      | $25986.56      | 0.00%             | 2042-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MTG ASSN HECM 2015-H19 FA TSFR1M+31.448 04/63                                      | CUSIP: 38376RFZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       7944 | PA      | $7844.42       | 0.00%             | 2063-04-20      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 02/01/2046#Q39899                                                                    | CUSIP: 3132QW7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22716 | PA      | $22067.65      | 0.00%             | 2046-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                     | OMEGA HEALTHCARE INVESTORS INC 4.5% 04/01/2027                                                    | CUSIP: 681936BF6<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |   86567000 | PA      | $86851958.65   | 0.20%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7% 04/01/2032#                                                                          | CUSIP: 31283HRL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7077 | PA      | $7437.69       | 0.00%             | 2032-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 3/42 #794581                                                                           | CUSIP: 36177PCT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     120482 | PA      | $114546.24     | 0.00%             | 2042-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2042#AK6743                                                                    | CUSIP: 3138EBP58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     100519 | PA      | $98112.15      | 0.00%             | 2042-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LT                                                                    | FLATIRON CLO LT A1R TSFR3M+136 10/19/2037 144A                                                    | CUSIP: 33883PAQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   32703000 | PA      | $32783089.65   | 0.08%             | 2037-10-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.50% 4/41 #005017                                                                        | CUSIP: 36202FSE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     472412 | PA      | $472558.71     | 0.00%             | 2041-04-20      | Fixed         | 0.04%                 | 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        |    6602660 | PA      | $6136864.73    | 0.01%             | 2037-01-01      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 11/39 #710987                                                                          | CUSIP: 36297F2U5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14828 | PA      | $15127.18      | 0.00%             | 2039-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 09/01/2043#AS0961                                                                  | CUSIP: 3138WAB71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117337 | PA      | $108085.94     | 0.00%             | 2043-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 6/32 #552620                                                                           | CUSIP: 36213E4D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        339 | PA      | $350.52        | 0.00%             | 2032-06-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| DEERE and CO                                                                       | DEERE and CO 3.1% 04/15/2030                                                                      | CUSIP: 244199BJ3<br>LEI: PWFTNG3EI0Y73OXWDH08 | Long             | DBT              | CORP              | US        |    9897000 | PA      | $9534977.64    | 0.02%             | 2030-04-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 04/47#AS9614                                                                       | CUSIP: 3138WKVG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      95437 | PA      | $94969.68      | 0.00%             | 2047-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 9/35 #840657                                                                           | CUSIP: 31407T5S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1498 | PA      | $1574.73       | 0.00%             | 2035-09-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                     | MORGAN STANLEY 5.192%/VAR 04/17/2031                                                              | CUSIP: 61747YFZ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |   26943000 | PA      | $27780171.01   | 0.06%             | 2031-04-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 4/40 #727850                                                                           | CUSIP: 3620AETF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23487 | PA      | $23500.94      | 0.00%             | 2040-04-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| ELP 2025-ELP                                                                       | ELP COML MTG TR 2025-ELP 4.71318% 11/13/2042 144A                                                 | CUSIP: 290154AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18825000 | PA      | $18824661.15   | 0.04%             | 2042-11-13      | Fixed         | 0.05%                 | 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        |    4548764 | PA      | $4796129.93    | 0.01%             | 2055-01-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 11/01/2040#AE7374                                                                    | CUSIP: 31419JFQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     174267 | PA      | $170813.37     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 5/40 #704984                                                                           | CUSIP: 36296YFZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24639 | PA      | $25130.38      | 0.00%             | 2040-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 9/27 #451459                                                                           | CUSIP: 36208HQL3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         11 | PA      | $10.92         | 0.00%             | 2027-09-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/30 #526311                                                                           | CUSIP: 36211XVC7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        268 | PA      | $273.63        | 0.00%             | 2030-05-15      | Fixed         | 0.07%                 | 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        |       1623 | PA      | $1691.41       | 0.00%             | 2037-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4% 03/01/2046#AL8321                                                                    | CUSIP: 3138ETG75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1882470 | PA      | $1823671.15    | 0.00%             | 2046-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| NBC UNIVERSAL INC                                                                  | NBC UNVL INC 5.95% 04/01/2041                                                                     | CUSIP: 63946BAG5<br>LEI: VTBDOQJ6KOGQ6K786R46 | Long             | DBT              | CORP              | US        |    6541000 | PA      | $6682071.77    | 0.02%             | 2041-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP DEL                                                                   | CENTENE CORP 4.25% 12/15/2027                                                                     | CUSIP: 15135BAR2<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |   19645000 | PA      | $19529337.51   | 0.04%             | 2027-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA ARM 3.54% 12/39 #AC8301                                                                      | CUSIP: 31417VGK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9818 | PA      | $10191.14      | 0.00%             | 2039-12-01      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 12/41 #709061                                                                          | CUSIP: 36297DWW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16999 | PA      | $16547.46      | 0.00%             | 2041-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.0% 12/01/2045#Q37749                                                                  | CUSIP: 3132QUTF0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     482105 | PA      | $439423.98     | 0.00%             | 2045-12-01      | Fixed         | 0.03%                 | 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        |     700000 | NC      | $116894.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 02/01/2042#AK3402                                                                  | CUSIP: 3138E7X82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4770 | PA      | $4654.42       | 0.00%             | 2042-02-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| AT and T INC                                                                       | AT and T INC 4.75% 05/15/2046                                                                     | CUSIP: 00206RCQ3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |   10000000 | PA      | $8664341.10    | 0.02%             | 2046-05-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 06/01/2043#AB9671                                                                  | CUSIP: 31417GW93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     995222 | PA      | $947665.39     | 0.00%             | 2043-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA GTD MTG PASS THRU CTF 2025-7 DF SOFR30A+140 09/25/2054                                       | CUSIP: 3136BUWX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |    5944026 | PA      | $5978418.48    | 0.01%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #458374                                                                           | CUSIP: 36208RFP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        244 | PA      | $245.61        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| AFLAC INC                                                                          | AFLAC INC 3.6% 04/01/2030                                                                         | CUSIP: 001055BJ0<br>LEI: 549300N0B7DOGLXWPP39 | Long             | DBT              | CORP              | US        |    9937000 | PA      | $9769114.78    | 0.02%             | 2030-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 4/40 #733601                                                                           | CUSIP: 3620AMAA0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1685 | PA      | $1718.94       | 0.00%             | 2040-04-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 05/01/2035#A38837                                                                  | CUSIP: 31297UZA1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      22626 | PA      | $22753.06      | 0.00%             | 2035-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #837280                                                                           | CUSIP: 31407QFV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1140 | PA      | $1195.71       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.00% 6/40 #729548                                                                           | CUSIP: 3620AGP90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1694 | PA      | $1728.70       | 0.00%             | 2040-06-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 4.75% 10/06/2032                                                               | CUSIP: 24703DBT7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   26492000 | PA      | $26457188.98   | 0.06%             | 2032-10-06      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| VLS COMMERCIAL MORTGAGE TRUST 2020                                                 | VLS COMMERCIAL MORTGAGE TRUST 2020 2.13% 10/10/2042 144A                                          | CUSIP: 92858TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29470000 | PA      | $25316568.93   | 0.06%             | 2042-10-10      | 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        |    8229919 | PA      | $7060445.80    | 0.02%             | 2052-01-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 7.5% 05/01/2031#                                                                        | CUSIP: 31298VSX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        291 | PA      | $305.89        | 0.00%             | 2031-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                                 | VICI PROPERTIES LP 4.95% 02/15/2030                                                               | CUSIP: 925650AC7<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |   38231000 | PA      | $38689893.19   | 0.09%             | 2030-02-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| MERCHANTS FLEET FUNDING LLC                                                        | MERCHANTS FLEET FUNDING LLC 4.66% 01/20/2039 144A                                                 | CUSIP: 588926AL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11300000 | PA      | $11338231.29   | 0.03%             | 2039-01-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 15YR 2.5% 11/01/2031#AS8387                                                                  | CUSIP: 3138WJJ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      66634 | PA      | $64538.31      | 0.00%             | 2031-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 4.00% 11/41 #005233                                                                       | CUSIP: 36202FY67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     104632 | PA      | $101845.63     | 0.00%             | 2041-11-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4% 04/01/2048#Q55661                                                                    | CUSIP: 3132XYJF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     444563 | PA      | $430076.55     | 0.00%             | 2048-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 11/01/2037#                                                                          | CUSIP: 3128L1GA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1387 | PA      | $1415.74       | 0.00%             | 2037-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/38 #889983                                                                          | CUSIP: 31410KXL3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      98357 | PA      | $103809.86     | 0.00%             | 2038-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 6/41 #AB3143                                                                           | CUSIP: 31416YP51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     246080 | PA      | $241043.88     | 0.00%             | 2041-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3% 09/01/2051#RA5901                                                                    | CUSIP: 3133KMRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1925555 | PA      | $1719299.46    | 0.00%             | 2051-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 5/1/43 #AT2720                                                                     | CUSIP: 3138WQAW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1000162 | PA      | $925735.92     | 0.00%             | 2043-05-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| DRYDEN 83 CLO LTD                                                                  | DRYDEN 83 CLO LTD AR TSFR3M+153 04/18/2037 144A                                                   | CUSIP: 26246EAL2<br>LEI: 2549001LFFVBUD1OX384 | Long             | ABS-CBDO         | CORP              | KY        |   31605000 | PA      | $31679524.59   | 0.07%             | 2037-04-18      | Variable      | 0.05%                 | 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        |      18633 | PA      | $17530.17      | 0.00%             | 2046-08-01      | Fixed         | 0.04%                 | 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        |      12233 | PA      | $2080.87       | 0.00%             | 2035-07-25      | Variable      | 0.06%                 | 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        |     455375 | PA      | $428925.76     | 0.00%             | 2046-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #552668                                                                           | CUSIP: 36213E6D3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        113 | PA      | $117.87        | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 2/30 #517827                                                                           | CUSIP: 31384AHC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2531 | PA      | $2647.32       | 0.00%             | 2030-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/28 #490977                                                                          | CUSIP: 36210FM29<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        605 | PA      | $616.98        | 0.00%             | 2028-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD                              | FEDERAL HOME LN MTG MLT CTF GT VAR K549 A2 09/25/2030                                             | CUSIP: 3137HNNC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $2022583.80    | 0.00%             | 2030-09-25      | Variable      | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 9/40 #AC9247                                                                           | CUSIP: 31417WHZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5045 | PA      | $5045.98       | 0.00%             | 2040-09-01      | Fixed         | 0.04%                 | 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        |    4526301 | PA      | $4336802.17    | 0.01%             | 2052-06-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 5/26 #303913                                                                           | CUSIP: 31373USA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $43.04         | 0.00%             | 2026-05-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TR                                                                       | SBA TOWER TR 1.884% 07/15/2050 144A                                                               | CUSIP: 78403DAP5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10516000 | PA      | $10504269.40   | 0.02%             | 2050-07-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/35 #G01839                                                                           | CUSIP: 3128LXBG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12024 | PA      | $12256.46      | 0.00%             | 2035-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 03/01/2049#BN5332                                                                  | CUSIP: 3140JM4S8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     973276 | PA      | $1012402.79    | 0.00%             | 2049-03-01      | Fixed         | 0.06%                 | 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        |    7906639 | PA      | $6773682.25    | 0.02%             | 2051-11-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.00% 6/32 #648542                                                                           | CUSIP: 31390KP36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1355 | PA      | $1438.99       | 0.00%             | 2032-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| LIFE FINANCIAL SERVICES TRUST 2022                                                 | LIFE FINANCIAL SERVICES TRUST 2022-BMR2 C TSFR1M+209.31 05/15/2039 144A                           | CUSIP: 53218DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19262000 | PA      | $17360511.22   | 0.04%             | 2039-05-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| EXELON CORP                                                                        | EXELON CORP 2.75% 03/15/2027                                                                      | CUSIP: 30161NBB6<br>LEI: 3SOUA6IRML7435B56G12 | Long             | DBT              | CORP              | US        |    6523000 | PA      | $6424250.85    | 0.01%             | 2027-03-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                                     | FEDERAL NAT MTG ASN GTD REM PA 21-M2S A3 VAR 10/25/2031                                           | CUSIP: 3136BJZQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $622116.60     | 0.00%             | 2031-10-25      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 6/39 #714690                                                                           | CUSIP: 36297K7B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1667 | PA      | $1716.37       | 0.00%             | 2039-06-15      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 05/01/2041#AI3147                                                                  | CUSIP: 3138AGP93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10432 | PA      | $10435.65      | 0.00%             | 2041-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.5% 03/01/2045#AY5719                                                                  | CUSIP: 3138YKK93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     189750 | PA      | $190066.35     | 0.00%             | 2045-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #465988                                                                           | CUSIP: 36209AUM0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        260 | PA      | $263.25        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 30YR 3.5% 07/15/2043#AF1083                                                                  | CUSIP: 36181GFY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27579 | PA      | $25961.02      | 0.00%             | 2043-07-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.00% 1/41#AH3161                                                                       | CUSIP: 3138A4QP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29288 | PA      | $28672.78      | 0.00%             | 2041-01-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 02/01/2043#AQ1281                                                                  | CUSIP: 3138MGM77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8355 | PA      | $7731.07       | 0.00%             | 2043-02-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 5/32 #587974                                                                           | CUSIP: 36201NFP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        534 | PA      | $544.13        | 0.00%             | 2032-05-15      | Fixed         | 0.07%                 | 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        |     141069 | PA      | $141212.04     | 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        |   11912085 | PA      | $11272327.44   | 0.03%             | 2046-05-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 4/29 #323645                                                                           | CUSIP: 31374TP60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.04         | 0.00%             | 2029-04-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BOFA AUTO TR 2024-1                                                                | BOFA AUTO TR 2024-1A A3 5.35% 11/15/2028 144A                                                     | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5889409 | PA      | $5949052.09    | 0.01%             | 2028-11-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 1/28 #427235                                                                           | CUSIP: 36207BSY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        210 | PA      | $212.65        | 0.00%             | 2028-01-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 07/20/2040#004737                                                                  | CUSIP: 36202FHN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7453 | PA      | $7326.34       | 0.00%             | 2040-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BX 2024-CNYN                                                                       | BX 2024-CNYN TSFR1M+194.116 04/15/2041 144A                                                       | CUSIP: 05612HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5722088 | PA      | $5736237.29    | 0.01%             | 2041-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| DCP MIDSTREAM OPERATING LP                                                         | DCP MIDSTREAM OPER LP 6.45% 11/03/2036 144A                                                       | CUSIP: 26439XAH6<br>LEI: 549300Y6CTBSE0QIPL28 | Long             | DBT              | CORP              | US        |   10621000 | PA      | $11264307.28   | 0.03%             | 2036-11-03      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 4/32 #584369                                                                           | CUSIP: 36201JFJ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        447 | PA      | $461.83        | 0.00%             | 2032-04-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 12/01/2042#AB7271                                                                  | CUSIP: 31417ECH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5446 | PA      | $5043.60       | 0.00%             | 2042-12-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| ORACLE CORP                                                                        | ORACLE CORP 6.1% 09/26/2065                                                                       | CUSIP: 68389XDT9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   18241000 | PA      | $16088424.83   | 0.04%             | 2065-09-26      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 6.5% 02/01/2054#CB8013                                                                  | CUSIP: 3140QT3X5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11240721 | PA      | $11852002.45   | 0.03%             | 2054-02-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5.0% 04/01/2041#Q00409                                                                  | CUSIP: 3132GDN24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      34002 | PA      | $34720.33      | 0.00%             | 2041-04-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 04/20/2052#MA7988                                                                      | CUSIP: 36179W2V9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   20907653 | PA      | $18804926.62   | 0.04%             | 2052-04-20      | 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 3% 01/15/2033                                                      | CUSIP: 3137AXRF2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |      70764 | PA      | $4389.69       | 0.00%             | 2033-01-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 4.0% 03/01/2041#AE1147                                                                  | CUSIP: 31419BHZ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55988 | PA      | $54637.65      | 0.00%             | 2041-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 11/40 #A95028                                                                          | CUSIP: 312943SR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      15382 | PA      | $15703.64      | 0.00%             | 2040-11-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII 30YR 4.5% 11/20/2040#004850                                                                  | CUSIP: 36202FL79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     195407 | PA      | $191774.93     | 0.00%             | 2040-11-20      | Fixed         | 0.04%                 | 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        |    3942664 | PA      | $3958342.66    | 0.01%             | 2054-09-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 6.50% 10/34 #635855                                                                          | CUSIP: 36291RMC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      19637 | PA      | $20830.52      | 0.00%             | 2034-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 04/01/2043#Q16893                                                                  | CUSIP: 3132J8C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      27947 | PA      | $26632.81      | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 10/01/2048#BK7888                                                                  | CUSIP: 3140HMXS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305770 | PA      | $319018.13     | 0.00%             | 2048-10-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #449952                                                                           | CUSIP: 36208FZR4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        323 | PA      | $328.38        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 2.5% 01/01/2052#CB2539                                                                  | CUSIP: 3140QMZD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4444438 | PA      | $3818698.00    | 0.01%             | 2052-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 7/35 #826613                                                                           | CUSIP: 31407CK22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8457 | PA      | $8876.19       | 0.00%             | 2035-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 7/35 #A36061                                                                           | CUSIP: 31297RWW3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2002 | PA      | $2041.97       | 0.00%             | 2035-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 3.50% 11/41 #489787                                                                          | CUSIP: 36210ECY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     259851 | PA      | $247222.39     | 0.00%             | 2041-11-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/32 #582277                                                                           | CUSIP: 36201F2J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6370 | PA      | $6599.04       | 0.00%             | 2032-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 11/27 #313853                                                                          | CUSIP: 31374GTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $40.07         | 0.00%             | 2027-11-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 08/01/2043#AU3742                                                                  | CUSIP: 3138X3EQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3898 | PA      | $3715.79       | 0.00%             | 2043-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726928                                                                           | CUSIP: 31402ESR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26194 | PA      | $26315.79      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 6.5% 8/31 #003120                                                                         | CUSIP: 36202DPD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        271 | PA      | $281.47        | 0.00%             | 2031-08-20      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.5% 07/01/2052#FS5486                                                                  | CUSIP: 3140XMCY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4366388 | PA      | $4083350.32    | 0.01%             | 2052-07-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 6.5% 12/01/2053#SD4621                                                                  | CUSIP: 3132DSD25<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2113876 | PA      | $2231539.42    | 0.01%             | 2053-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE COR PORATION                                            | FHLM 30YR 5.5% 11/01/2054#RJ2917                                                                  | CUSIP: 3142GTG34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11273398 | PA      | $11465898.06   | 0.03%             | 2054-11-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 4.125% 10/31/2031                                                                       | CUSIP: 91282CLU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  574600000 | PA      | $583443450.25  | 1.34%             | 2031-10-31      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.50% 3/41 #750197                                                                           | CUSIP: 3620C6NN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3393 | PA      | $3395.46       | 0.00%             | 2041-03-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 10YR 2.5% 10/01/2029#MA3795                                                                  | CUSIP: 31418DGD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     251392 | PA      | $246356.69     | 0.00%             | 2029-10-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 20YR 3.5% 10/01/2035#AS6048                                                                  | CUSIP: 3138WFWJ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123808 | PA      | $121663.40     | 0.00%             | 2035-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 6/41 #G06596                                                                           | CUSIP: 3128M8UV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3975132 | PA      | $4059212.36    | 0.01%             | 2041-06-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| TCO COML MTG TR 2024-DPM                                                           | TAUBMAN CENTERS COMMERCIAL MORTGAGE TRUST 2024-DPM B TSFR1M+179.21 12/15/2029 144A                | CUSIP: 87231EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8416000 | PA      | $8415993.27    | 0.02%             | 2039-12-15      | 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 4135 AB 1.75% 06/15/2042                                           | CUSIP: 3137AWAE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |     161125 | PA      | $152443.43     | 0.00%             | 2042-06-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAP I TR 2024-NSTB                                                  | MORGAN STANLEY CAP I TR 2024-NSTB A VAR 07/20/2032 144A                                           | CUSIP: 61690BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17432160 | PA      | $17204588.60   | 0.04%             | 2057-09-24      | Variable      | 0.04%                 | 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        |      61676 | PA      | $56760.37      | 0.00%             | 2043-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BX COML MTG TR 2023-XL3                                                            | BX COML MTG TR 2023-XL3 A TSFR1M+189.123 12/09/2040 144A                                          | CUSIP: 12434GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18400710 | PA      | $18417764.23   | 0.04%             | 2040-12-09      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 10/27 #780651                                                                          | CUSIP: 36225AWL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1037 | PA      | $1046.20       | 0.00%             | 2027-10-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 15YR 3% 06/01/2031#J34571                                                                    | CUSIP: 31307RCG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     151952 | PA      | $149302.88     | 0.00%             | 2031-06-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2044#V81065                                                                  | CUSIP: 3132L6FE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      28524 | PA      | $28481.77      | 0.00%             | 2044-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 03/01/2053#RA8778                                                                  | CUSIP: 3133KQXF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8218498 | PA      | $8093508.19    | 0.02%             | 2053-03-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 7.50% 12/28 #323424                                                                          | CUSIP: 31374TG94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        414 | PA      | $423.28        | 0.00%             | 2028-12-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 4.00% 8/39 #698479                                                                           | CUSIP: 36296Q6Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      31345 | PA      | $30559.59      | 0.00%             | 2039-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 5.00% 7/40 #AD9889                                                                           | CUSIP: 31418X7B8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12812 | PA      | $13065.45      | 0.00%             | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 3.5% 11/01/2040#V82091                                                                  | CUSIP: 3132L7KC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     422275 | PA      | $405735.28     | 0.00%             | 2040-11-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2027#                                                                        | CUSIP: 31283GYN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |          4 | PA      | $3.81          | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| HESS CORP                                                                          | HESS CORP 4.3% 04/01/2027                                                                         | CUSIP: 42809HAG2<br>LEI: UASVRYNXNK17ULIGK870 | Long             | DBT              | CORP              | US        |   23059000 | PA      | $23156542.11   | 0.05%             | 2027-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 4.5% 12/01/2040#A95413                                                                  | CUSIP: 312944AN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      42434 | PA      | $42503.85      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | 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        |    2808093 | PA      | $2701936.34    | 0.01%             | 2052-10-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 5.5% 04/01/2049#CA3384                                                                  | CUSIP: 3140QAXN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83977 | PA      | $87353.16      | 0.00%             | 2049-04-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                                               | UMBS 30YR 2.5% 01/01/2056 #TBA                                                                    | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |   17850000 | PA      | $15085342.02   | 0.03%             | 2056-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 12/27 #433517                                                                          | CUSIP: 36207JSE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         49 | PA      | $49.18         | 0.00%             | 2027-12-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.00% 12/40 #AA4757                                                                          | CUSIP: 31416NJB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      83900 | PA      | $82251.25      | 0.00%             | 2040-12-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| UST NOTES                                                                          | UST NOTES 3.875% 08/15/2033                                                                       | CUSIP: 91282CHT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1134063000 | PA      | $1124627244.28 | 2.59%             | 2033-08-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 8.5% 05/01/2027#                                                                        | CUSIP: 31283GYU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $19.22         | 0.00%             | 2027-05-01      | Fixed         | 0.09%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 4.50% 8/33 #726949                                                                           | CUSIP: 31402ETE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74255 | PA      | $74591.74      | 0.00%             | 2033-08-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA II GTD PASS THRU CTF MULTIPLE ISSUER                                          | GNII II 3% 05/20/2050#MA6656                                                                      | CUSIP: 36179VMD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1441065 | PA      | $1299061.18    | 0.00%             | 2050-05-20      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS                              | GOVERNMENT NAT MA 2016-H20 FM TSFR1M+51.448 12/20/2062                                            | CUSIP: 38376RYJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |      28668 | PA      | $28571.60      | 0.00%             | 2062-12-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 6.00% 10/34 #AL2130                                                                          | CUSIP: 3138EJLL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     181865 | PA      | $190219.62     | 0.00%             | 2034-10-01      | 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        |    4160000 | PA      | $4113509.92    | 0.01%             | 2051-07-10      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 7/28 #463983                                                                           | CUSIP: 36208XM81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        320 | PA      | $325.00        | 0.00%             | 2028-07-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                                         | FNMA 30YR 3.0% 11/01/2042#AQ1886                                                                  | CUSIP: 3138MHCY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      21418 | PA      | $19719.10      | 0.00%             | 2042-11-01      | Fixed         | 0.03%                 | 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        |    7112828 | PA      | $6353161.87    | 0.01%             | 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        |    3437685 | PA      | $3364567.25    | 0.01%             | 2040-09-25      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                                  | DELL INTL/EMC CORP 4.15% 02/15/2029                                                               | CUSIP: 24703DBR1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   20070000 | PA      | $20048243.52   | 0.05%             | 2029-02-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 30YR 5% 08/01/2035#                                                                          | CUSIP: 31297SW84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1111 | PA      | $1133.58       | 0.00%             | 2035-08-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| FED HOME LOAN MTG CORP - GOLD                                                      | FHLG 5.00% 1/40 #A90893                                                                           | CUSIP: 3129387E7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     176455 | PA      | $180158.13     | 0.00%             | 2040-01-01      | 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        |    2812235 | PA      | $2754975.09    | 0.01%             | 2035-09-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.00% 3/28 #436264                                                                           | CUSIP: 36207MTV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        101 | PA      | $102.54        | 0.00%             | 2028-03-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 7.50% 8/27 #353768                                                                           | CUSIP: 36203M6D7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         99 | PA      | $99.26         | 0.00%             | 2027-08-15      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| GNMA GUARANTEED PASS THRU CERT                                                     | GNMA 5.50% 5/39 #670200                                                                           | CUSIP: 36295GRV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21280 | PA      | $21931.72      | 0.00%             | 2039-05-15      | Fixed         | 0.06%                 | 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        |     320435 | PA      | $306355.01     | 0.00%             | 2043-04-01      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

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

**Signature:** Laura M. Del Prato

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

**Title:** President and Treasurer